To What Extent Can The Yield Curve Spread Serve As A Tool For Market Timing In The Thailand Stock Market?,
2023
Faculty of Commerce and Accountancy
To What Extent Can The Yield Curve Spread Serve As A Tool For Market Timing In The Thailand Stock Market?, Chanon Rungruanglit
Chulalongkorn University Theses and Dissertations (Chula ETD)
Despite its simplicity, the yield curve is one of the best predictors of future economic activity. Empirical studies suggest that the yield curve is capable of forecasting market downturn in major economies. In this paper, the relationship between the yield curve and stock market downturn will be studied with the focus on predicting market downturn in Thailand. Also, this paper seeks to answer the question if a market-timing strategy, based on yield-curve information, can outperform the market. The results of this study suggest that the spread between government bond indices with maturities of 3 to 7 years and 7 to …
The Effect Of Earnings Quality On Financial Analysts’ Dividend Forecast Error : The Moderating Roles Of Investor Sentiment And Economic Uncertainty,
2023
Faculty of Commerce and Accountancy
The Effect Of Earnings Quality On Financial Analysts’ Dividend Forecast Error : The Moderating Roles Of Investor Sentiment And Economic Uncertainty, Tanabordee Jutaputthi
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the influence of earnings quality on the accuracy of financial analysts' dividend forecasts for companies listed on the Thailand Stock Market Exchange (SET) and the Market for Alternative Investment (mai) for the period from 2015 to 2022. using a sample of 891 observations. focusing on the moderating roles of investor sentiment and economic uncertainty. The findings reveal that good earnings quality helps reduce dividend forecast errors. We find no evidence of the moderating roles of investor sentiment and economic uncertainty, implying that analysts might possess the expertise to incorporate the implications of economic uncertainty into their forecasts …
The Impact Of Esg Performance On Stock Volatilityin Asia-Pacific Markets: The Moderating Rolesof Corruption And Economic Development,
2023
Faculty of Commerce and Accountancy
The Impact Of Esg Performance On Stock Volatilityin Asia-Pacific Markets: The Moderating Rolesof Corruption And Economic Development, Thosaporn Tonghui
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of Environmental, Social, and Governance (ESG) disclosures and scores on stock volatility in Asia-Pacific markets. The paper also assesses the moderating roles of corruption and economic development in this relationship. Using data from 2010 to 2022, the research employs the Fama-French multi-factor models to analyze the relationship between ESG metrics and stock idiosyncratic volatility. The findings indicate that both ESG disclosure and higher overall ESG scores significantly reduce stock volatility, underscoring the importance of transparency and robust ESG practices in mitigating firm-specific risks. Additionally, the study reveals that the social and governance pillars of ESG …
The Intervention Of Shareholder Activism, Does It Actually Improve Firm Performance? Evidence From Apac,
2023
Faculty of Commerce and Accountancy
The Intervention Of Shareholder Activism, Does It Actually Improve Firm Performance? Evidence From Apac, Burist Chertchoo
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the influence of shareholder activism on the performance of 420 Asia-Pacific firms from 2013 to 2022, utilizing the Capital Asset Pricing Model and the Fama-French-Carhart model to assess abnormal returns. Findings indicate a generally positive trend in firm performance post-activism, particularly over long periods, suggesting activism's potential to drive sustained firm value improvements. In addition, there is no enough evidence to conclude that the target firms experience the pump-and-dump pattern after the departure of shareholder activists. However, the impact of specific activism strategies and outcomes on performance often lacks statistical significance, highlighting the multifaceted nature of activism's …
Board’S Gender Diversity And Educational Backgrounds As Determinants Of Cost Of Debt: Managerial Hierarchy Perspectives In Thai Financial Landscape,
2023
Faculty of Commerce and Accountancy
Board’S Gender Diversity And Educational Backgrounds As Determinants Of Cost Of Debt: Managerial Hierarchy Perspectives In Thai Financial Landscape, Pitchaya Thuwanaka
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of board gender diversity, financial background, and educational diversity on the cost of debt for Thai listed companies, focusing on the SET50 firms from 2015-2016 and 2021-2022. Utilizing data from Refinitiv DataStream, SETSMART, and annual reports, this research examines whether the presence of women on boards, financial expertise, and diverse educational backgrounds influence borrowing costs. The findings reveal that female board members do not significantly impact the cost of debt, challenging common assumptions about gender diversity's financial benefits. In contrast, boards with directors possessing financial backgrounds, particularly those in chairman and executive management positions, are …
The Moderating Role Of Asset Tangibility, Economic Policy Uncertainty, And Control Of Corruption On The Impact Of Public Debt On Cost Of Debt And Investment,
2023
Faculty of Commerce and Accountancy
The Moderating Role Of Asset Tangibility, Economic Policy Uncertainty, And Control Of Corruption On The Impact Of Public Debt On Cost Of Debt And Investment, Raksit Lomtakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research aims to explore two main objectives: first, to investigate the impact of public debt on corporate borrowing costs and investment activities; and second, to examine how moderating factors like Asset Tangibility (TAN), the World Uncertainty Index (WUI), and Control of Corruption (CC) shape this relationship. The findings reveal that higher public debt levels significantly increase corporate borrowing costs and reduce investment activities, underscoring the need for policymakers to adopt prudent fiscal strategies that balance debt management with fostering a supportive environment for private sector investment. Furthermore, the study highlights the moderating effects of Asset Tangibility, WUI, and Control …
Determinants Of Asset Growth Premium: Evidence From Thailand,
2023
Faculty of Commerce and Accountancy
Determinants Of Asset Growth Premium: Evidence From Thailand, Ramita Raksakunpanich
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the asset growth anomaly in the Thai stock market, examining whether new factor constructed from decomposed asset components offers superior explanatory power for stock returns compared to the original aggregate asset growth factor. The research analyzes key components of total assets, including both sides of the balance sheet covering investing and financing activities. Our findings reveal that all the new factors constructing based on each component of asset is spanned by all the Fama-French factor. The overall explanatory power of total asset growth is superior. This suggests that total asset growth is the best predictor of investment …
Household Debt On Retirement Preparedness For Thai Population,
2023
Faculty of Commerce and Accountancy
Household Debt On Retirement Preparedness For Thai Population, Sutudta Phainoun
Chulalongkorn University Theses and Dissertations (Chula ETD)
Thailand household debt problem are key barriers to retirees achieving financial freedom. This study aims to access the relationship between mortgage debt, credit card debt and education debts with the retirement preparedness of working-age population aged 30-60 years old in Thailand by utilizing multiple linear regression analysis. The findings revealed that Thai populations are at a moderate level of retirement preparedness. The private sector is particularly concerned about the lack of savings for later life. Moreover, not all kinds of debts are bad debt, mortgage debt could fall into the category of good debt since it may be tax-deductible, credit …
The Impact Of Financial Advisor Reputation On Ipo Underpricing: Evidence From Thailand,
2023
Faculty of Commerce and Accountancy
The Impact Of Financial Advisor Reputation On Ipo Underpricing: Evidence From Thailand, Suparat Kongsompot
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study explores the role of financial advisors (FAs) in the initial public offering (IPO) process, particularly focusing on how their involvement affects IPO underpricing. IPO underpricing, a well-documented phenomenon where shares are priced below their market value on the first trading day, has been extensively studied, often with an emphasis on the role of underwriters (UWs). However, this research addresses the gap in literature regarding the distinct contributions of FAs, who are crucial yet often conflated with UWs. Drawing on the context of Thailand, where regulatory requirements mandate the involvement of FAs separate from UWs, this study investigates the …
Investor Sentiment Influence On The Preference For Lottery-Like Stocks Among Thai Mutual Fund,
2023
Faculty of Commerce and Accountancy
Investor Sentiment Influence On The Preference For Lottery-Like Stocks Among Thai Mutual Fund, Pichayapong Srisawad
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the preferences of Thai mutual funds for lottery-like stocks, characterized by stock skewness. Given that market sentiment fluctuates over time, the study also explores how the preferences of Thai mutual funds for lottery-like stocks vary with market sentiment. The research aims to understand if holding these stocks can generate significant excess returns and to evaluate the impact of fund size and age on these investment preferences during different market sentiment periods. By analyzing data from the first quarter of 2020 to the third quarter of 2023, this study provides a comprehensive view of the strategic decisions made …
Impact Of Morningstar Sustainability Rating On Mutual Fund Flow: Evidence From Thailand,
2023
Faculty of Commerce and Accountancy
Impact Of Morningstar Sustainability Rating On Mutual Fund Flow: Evidence From Thailand, Jiratchaya Thamhaisuk
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of Morningstar Sustainability Ratings on Thai mutual fund flows, focusing on three aspects: the impact of the ratings' introduction, the differential effects of varying ESG ratings, and the influence of ESG ratings during the COVID-19 pandemic. The analysis encompasses various methodological approaches, including event studies, propensity score matching, cross-sectional, and panel regression analyses, to provide comprehensive insights into investor behavior to Morningstar Sustainability Ratings. Globally, sustainability ratings have a significant impact on mutual fund flows. This study finds that there is a strong initial impact following the publication of the Morningstar Sustainability Ratings, particularly for …
The Influence Of Interest Rates On Small And Medium Enterprises In Thailand,
2023
Faculty of Commerce and Accountancy
The Influence Of Interest Rates On Small And Medium Enterprises In Thailand, Minthra Srimanchanda
Chulalongkorn University Theses and Dissertations (Chula ETD)
Small and medium-sized enterprises (SMEs) are crucial to economic development, significantly contributing to employment and economic activities in Thailand. However, despite their importance, SMEs often face financial challenges that can hinder their operations and growth prospects. This research investigates the determinants of non-performing loans (NPLs) of SMEs in Thailand, with a particular focus on the impact of interest rates and other macroeconomic indicators such as GDP growth, unemployment rates. The study employs three Ordinary Least Squares (OLS) models to analyze the relationship between these variables and NPLs. The findings reveal that higher GDP growth significantly reduces NPLs, suggesting that economic …
Corruption And Informal Economies In Asia,
2023
Faculty of Commerce and Accountancy
Corruption And Informal Economies In Asia, Min Thiha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis explores the dynamic interaction between corruption, the informal economy, and the political and economic institutional qualities in 39 Asian countries from 2001 to 2021, using 819 observations and fixed-effect estimation method. The findings indicate that corruption significantly enlarges the shadow economy, supporting the notion that corruption can facilitate business operations in heavily regulated environments. Conversely, higher economic freedom and democratic governance are linked to smaller shadow economies, underscoring the importance of transparent and accountable institutions. Additionally, higher tax burdens and rapid GDP growth are associated with larger informal sectors, while increased FDI inflows and population growth tend to …
Relationship Between Institutional Ownership And Stock Returns: Evidence From Thailand,
2023
Faculty of Commerce and Accountancy
Relationship Between Institutional Ownership And Stock Returns: Evidence From Thailand, Warit Chitpaiboon
Chulalongkorn University Theses and Dissertations (Chula ETD)
Institutional investors play a crucial role in financial markets. Understanding how their ownership affects stock returns can provide valuable insights for both institutional investors and individual investors in making informed investment decisions. In financial markets, the relationship between institutional ownership and stock returns has been a subject of extensive debate. Institutional investors, including mutual funds, pension funds, and hedge funds, wield significant influence over equity markets due to their holdings' sheer magnitude and ability to execute large-scale trades. Understanding how their investment decisions impact stock returns is not only crucial for investors seeking to optimize their portfolios but also for …
How Avoiding Positions During Macroeconomic News Announcement Periods Enhances Gold Trading Strategies,
2023
Faculty of Commerce and Accountancy
How Avoiding Positions During Macroeconomic News Announcement Periods Enhances Gold Trading Strategies, Patipan Piyakulmala
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the impact of macroeconomic news announcements on trading performance and evaluates the efficacy of avoiding trades during these periods. The study employs three trading strategies: Exponential Moving Average (EMA), Moving Average Convergence Divergence (MACD), and Momentum, analyzing their performance across eight major news events: Non-Farm Payrolls (NFP), Consumer Price Index (CPI) for the US and China, ISM Manufacturing Index (ISM), Industrial Production (IP) for the US and China, German IFO Business Climate, and EU Interest Rates. Utilizing a multifactor regression model, we assess the return performance of trades avoided during news announcements, incorporating control variables such as …
Underpricing And Overpricing Of Stocks Following Extreme Returns: Evidence Of Thailand,
2023
Faculty of Commerce and Accountancy
Underpricing And Overpricing Of Stocks Following Extreme Returns: Evidence Of Thailand, Manasnant Tejahwandee
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates how investors in Thailand's stock market react to extreme losses and gains, focusing on underpricing and overpricing phenomena. The objective is to analyze these market behaviors and trading strategies comprehensively. We employ statistical methods, including the Carhart four-factor model, to assess risk-adjusted performance and explore the effects of capital gains overhang and investor sentiment on stock returns. Our methodology involves forming quintile portfolios based on extreme loss and gain returns, using Winsorizing to handle outliers. We analyze both raw and cumulative returns, comparing stocks with the highest and lowest extreme returns. Additionally, we examine the influence of …
National Elections And Volatility Of Stock Returns, Case Study Of Thailand,
2023
Faculty of Commerce and Accountancy
National Elections And Volatility Of Stock Returns, Case Study Of Thailand, Sirawit Triyasuk
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study explores how electoral factors, including final week surprises, political donations, pre-election polls, election results, and prime minister vote outcomes, affect the volatility of stocks return which are listed on the Thai Stock Exchange. Employing regression models, it assesses how these elements impact market fluctuations, revealing that unexpected events and significant political contributions during election weeks crucially affect market stability differently. The findings indicate that pre-election polls and political donations significantly contribute to increased market volatility. This suggests that during election periods, heightened political activity and financial contributions can lead to greater uncertainty in financial markets, providing key insights …
Interrelationships In Inventory Turnover Performance Between Supplier And Customer Firms,
2023
Rowan University
Interrelationships In Inventory Turnover Performance Between Supplier And Customer Firms, Joseph J. Henry, Peter Christensen, James C. Brau
Faculty Publications
Using inventory turnover to measure the efficiency of corporate inventory management, we perform econometric analyses to verify whether the inventory efficiency of a firm’s supply chain partners is a statistically significant driver of the firm’s own inventory efficiency. We test two mutually exclusive hypotheses. First, suppliers hold inventory on behalf of customers, effectively displacing inventory up the supply chain and resulting in a negative correlation between supplier and customer inventory turnover. Alternatively, inventory efficiency is integrated along the supply chain, resulting in a positive correlation between supplier and customer inventory turnover. Our bivariate and multivariate analyses of both firm- and …
From Market Making To Matchmaking: Does Bank Regulation Harm Market Liquidity?,
2023
Cornell University
From Market Making To Matchmaking: Does Bank Regulation Harm Market Liquidity?, Gideon Saar, Jian Sun, Ron Yang, Haoxiang Zhu
Research Collection Lee Kong Chian School Of Business
Post-crisis bank regulations raised market-making costs for bank-affiliated dealers. We show that this can, somewhat surprisingly, improve overall investor welfare and reduce average transaction costs despite the increased cost of immediacy. Bank dealers in OTC markets optimize between two parallel trading mechanisms: market making and matchmaking. Bank regulations that increase market-making costs change the market structure by intensifying competitive pressure from non-bank dealers and incentivizing bank dealers to shift their business toward matchmaking. Thus, post-crisis bank regulations have the (unintended) benefit of replacing costly bank balance sheets with a more efficient form of financial intermediation.
Presidential Economic Approval Rating And The Cross-Section Of Stock Returns,
2023
Singapore Management University
Presidential Economic Approval Rating And The Cross-Section Of Stock Returns, Zilin Chen, Zhi Da, Dashan Huang, Liyao Wang
Research Collection Lee Kong Chian School Of Business
We construct a monthly presidential economic approval rating (PEAR) index from 1981 to 2019, by averaging ratings on the president’s handling of the economy across various national polls. In the cross-section, stocks with high betas to changes in the PEAR index significantly under-perform those with low betas by 1.00% per month in the future, on a risk-adjusted basis. The low PEAR beta premium persists up to one year, and is present in various sub-samples and even in other G7 countries. PEAR beta dynamically reveals a firm’s perceived alignment to the incumbent president’s economic policies and investors seem to misprice such …
