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2019

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Equity Term Structure Of Property Funds And Reits In Thailand, Chenchai Chotchuangnava Jan 2019

Equity Term Structure Of Property Funds And Reits In Thailand, Chenchai Chotchuangnava

Chulalongkorn University Theses and Dissertations (Chula ETD)

The equity term structure of property funds and REITs in Thailand is upward-sloping. This result contradicts with various studies suggesting that the term structure of risk premia is decreasing. A tenet of those studies is that, by holding long-term equity, investors are willing to forego a part of the compensation to avoid immediate risks which seems to be reverse for property funds and REITs in Thailand. There is evidence that the correlation between size and return is positive. Unlike U.S. REIT, the momentum factor has no application to explain the difference in excess returns. High turnover property funds and REITs …

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The Relation Between Portfolio Turnover And Mutual Fund Performance: Evidence From Thailand, Pailin Yapiangplook Jan 2019

The Relation Between Portfolio Turnover And Mutual Fund Performance: Evidence From Thailand, Pailin Yapiangplook

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines whether the active management strategy can outperform the market by using turnover ratio as the proxy. Turnover ratio is the percentage of changing fund’s holding in a given year. Therefore, a high turnover ratio can indicate an active management. This paper will focus on an active equity fund in Thailand from 2010 to 2019. The first objective is to examine the effect of the different levels of turnover ratio on fund performance. This objective sorts mutual funds based on their turnover ratio. The findings are the performance of the high-turnover funds are indifferent from the low-turnover funds …

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The Effect Of Petroleum And Petrochemical Prices On Abnormal Return And Firm Profitability, Chansiri Pruksaphong Jan 2019

The Effect Of Petroleum And Petrochemical Prices On Abnormal Return And Firm Profitability, Chansiri Pruksaphong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper extends the understanding of an impact of oil prices on stock market and financial performance of oil and gas firms over the past decade. Firstly, this paper investigates the impact of crude oil, petroleum and petrochemical prices on accounting measures of firm performance using a sample of refinery and petrochemical firms in Thailand. Secondly, it examines whether these commodity prices are an essential factors in explaining abnormal returns. The findings show that the price of crude oil and petrochemicals positively and significantly affect firm profitability performance as represented by Gross Integrated Margin (GIM), return on equity (ROE), and …

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Bank Of Japan Intervention And Its Impact On Price Efficiency Of Underlying Stocks In Etfs, Kunyarat Ngamboriruk Jan 2019

Bank Of Japan Intervention And Its Impact On Price Efficiency Of Underlying Stocks In Etfs, Kunyarat Ngamboriruk

Chulalongkorn University Theses and Dissertations (Chula ETD)

Price efficiency of stock market is one of classic stories in financial and economics world. This paper aims at quantitatively identify the impact of government intervention in stock market on price efficiency of the stocks rather than testing whether stock market is efficient or not. The government intervention in this paper is the intervention from the Bank of Japan to stimulate Japan’s economy through the purchase of ETFs. First, we test whether price efficiency of the underlying stocks in ETFs are improved or deteriorated as a result of the intervention. The results suggest that in aggregate stocks with high exposure …

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Shareholder Involvement And M&A Announcement Returns : Evidence From Thailand, Chanon Thanaphumphong Jan 2019

Shareholder Involvement And M&A Announcement Returns : Evidence From Thailand, Chanon Thanaphumphong

Chulalongkorn University Theses and Dissertations (Chula ETD)

How corporate governance mechanism helps prevent underperformance of acquiring firms is controversial, especially with little evidence in Asia-Pacific literature. I examined how shareholder involvement by means of mandatory shareholder voting (class 1) and required information disclosure (class 2) under the SET’s Acquisition and Disposition Rule affected the market reaction on mergers and acquisitions. I did not find significant differences in the CARs among transaction classes with different degree of shareholder involvement. The results were consistent both in univariate and multivariate analysis which deal- and firm-level factors are controlled. I investigated further and found that concentrated ownership in Thai firms did …

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The Impacts Of Volatility Spread And Timing On Writing Non-Directional Options Strategies, Thapanon Rungwittayatiwat Jan 2019

The Impacts Of Volatility Spread And Timing On Writing Non-Directional Options Strategies, Thapanon Rungwittayatiwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

The study examines the impacts of volatility spread and time-to-maturity on the returns of writing non-directional options strategies on SET50 index options in Thailand Futures Exchange. The study allows to use over-lapping data for the periods of 1-month, 2-month and 3-month maturities to test with the same expiration date to examine the impacts of time-to-maturity. Also, this paper adds the data of in-the-money and out-of-the-money by 25 points and 50 points call and put options to build strangle in various moneyness to find the difference of the impact of volatility spread and time-to-maturity from various moneyness.

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Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors, Ciin Muan Khai Jan 2019

Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors, Ciin Muan Khai

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

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The Flow-Performance Relationship Of Etfs In International Market, Thaweeporn Krailaksanawarapar Jan 2019

The Flow-Performance Relationship Of Etfs In International Market, Thaweeporn Krailaksanawarapar

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper uses sample from 15 countries from different regions around the world to examine how past performance of exchange-traded funds (ETFs) impact on their fund flow in the following period. Piecewise-linear regression following (Sirri & Tufano, 1998) which allow past performance to be non-linear are employed in the model to examine the different sensitivity of past performance ranking to flow. The evidence confirms that past bad-performing ETFs associate with outflow and past good-performing ETFs associate with inflow in the following period. Furthermore, I also find that investors are more sensitive to bad performers than good performers suggesting that there …

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Characteristic Approach To High Risk Low Return Puzzle In Set, Putchara Poomgumarn Jan 2019

Characteristic Approach To High Risk Low Return Puzzle In Set, Putchara Poomgumarn

Chulalongkorn University Theses and Dissertations (Chula ETD)

Theoretically investing in high risk asset generates high return. However, actual payoff in market is in the opposite side. In several empirical studies documented high risk stocks paid low return even lower than the portfolio of the lowest volatile stocks. I examine whether the cause of this anomaly is the lottery stocks. Lottery stocks which are low price, high skewness and high kurtosis might be desired by many investors even institutional investors. The assumption is that this high demand of lottery stocks might push the price up and cause low average return finally. Therefore, I set up the hypothesis these …

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Costly Signal In Open Market Repurchase: Evidence In Thailand, Thanawat Anavachapongpan Jan 2019

Costly Signal In Open Market Repurchase: Evidence In Thailand, Thanawat Anavachapongpan

Chulalongkorn University Theses and Dissertations (Chula ETD)

Several studies argue that open market share repurchase has the lowest power to signal the inside information to the market. In this study I explore the market reaction to the announcement of stock repurchase plan with the firm’s characters argued in prior literature that they can increase the market confident. Referred from prior literatures, the stated motivation in the press release, insider “BUY” prior announcement, percentage of majority shareholder, and the amount of repurchasing plan are introduced to reflect the level of information signal sent by management. I find that investors have skepticism with an information sent via open market …

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Investors Attention Properties Regarding Target Prices,Pe Ratios And Their Investment Implications, Poomipong Chirabandhu Jan 2019

Investors Attention Properties Regarding Target Prices,Pe Ratios And Their Investment Implications, Poomipong Chirabandhu

Chulalongkorn University Theses and Dissertations (Chula ETD)

Several studies have studied the return and liquidity characteristics of target price and P/E ratio trading strategy. Many previous literatures found that investors tend to pay attention to stocks with high target price expected return (TPER) and low P/E stocks. This paper tries to study further from those the previous literatures so it will examine whether investors in Thailand exhibit the attention characteristics to target price more than P/E ratio. Moreover, this paper finds investment implication of creating abnormal returns from TPER trading strategy in Thailand stock market. In this study, several approaches have been applied which are Fama-French (1993) …

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Do Thai Property Fund And Reit Investors Herd?, Palat Lertphitchaphong Jan 2019

Do Thai Property Fund And Reit Investors Herd?, Palat Lertphitchaphong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper is the first to examine herding behavior in Thai Property Fund and Real Estate Investment Trusts or REIT market for the period of 2015-2019. The empirical results suggest that those market is exhibit herding behavior significantly. The herding is present in both up and down market and also present in medium to high volume days. Besides, the herding is motivated by cross-sectional premium to NAV, however, on high dividend yield days as well. Herding on high dividend yield days also robust when controlled the dividend yield by the Government bond yield. These results are sensational as herding might …

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Is There Risk Reduction In Conglomerate Acquisition?, Paskamon Luntavanich Jan 2019

Is There Risk Reduction In Conglomerate Acquisition?, Paskamon Luntavanich

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines risk effect in conglomerate acquisitions through portfolio diversification framework. We find that based on asset diversification potential, acquirers’ risks are expected to decline when they engage in diversifying acquisitions. Interestingly, our result suggests that focus acquisitions are also associated with firms’ risk decrease. With this finding, it indicates that asset diversification potential is also pronounced even when the two assets, i.e., firms from similar industry are combined together. In addition, our results suggest that risks are expected to decline more when diversified firms make further diversifying acquisitions than focus acquisitions but this evidence could not be observed …

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How Many Mutual Funds Do You Need To Create A Diversified Portfolio?, Rujira Lertsawatwong Jan 2019

How Many Mutual Funds Do You Need To Create A Diversified Portfolio?, Rujira Lertsawatwong

Chulalongkorn University Theses and Dissertations (Chula ETD)

The goals of this study are to examines diversification benefit when holding multiple equity funds in the portfolio for Thai market and identify the optimal number of equity funds that enough to eliminate diversifiable risk. Moreover, this study examines whether considering adding index funds in the portfolio better reduce portfolio volatility. By creating random portfolio and measure the risks by using historical return, the empirical results suggest that holding multiple funds in the mutual fund portfolio allow investor achieve diversification benefits, but in the decreasing rate. These findings are consistent with previous study of O’Neal (1997), Potter (2001) and Lhabitant …

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Performance Of Smart Beta Etfs In Us Stocks Market, Angkawipa Kangsanarak Jan 2019

Performance Of Smart Beta Etfs In Us Stocks Market, Angkawipa Kangsanarak

Chulalongkorn University Theses and Dissertations (Chula ETD)

This project empirically analyses the performance of Smart Beta ETFs through absolute return, relative return and the risk-adjusted return basis over the last decade as well as examine the components of the risk factors exposure in Smart Beta strategy. The samples data that provide in this paper consists of Smart Beta Exchanged Traded Funds (ETFs) in US stocks market. The results show that Smart Beta strategy does not be able to keep up with its persistent performance through time as shown during 2009-2019 period. Moreover, there is no such year that Smart Beta ETFs could generate an abnormal return that …

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Does The Introduction Of Equity Etfs In The Emerging Markets Improve The Liquidity Of The Underlying Stocks?, Luxmon Teerachannarong Jan 2019

Does The Introduction Of Equity Etfs In The Emerging Markets Improve The Liquidity Of The Underlying Stocks?, Luxmon Teerachannarong

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

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Dynamics Of The Impact Of Currency Fluctuations On Stock Exchange Of Thailand:Assessing The Pricing Of Exchange Rate Risk., Bussarakum Rukchuen Jan 2019

Dynamics Of The Impact Of Currency Fluctuations On Stock Exchange Of Thailand:Assessing The Pricing Of Exchange Rate Risk., Bussarakum Rukchuen

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines the exposure of eight Thai industries in Stock Exchange of Thailand to the exchange rate movement for the period February 2005 – December 2019 by using a panel regression analysis on a two-factor APT model. The empirical evidences on cross-sectional analysis reveal that relationship between stock returns and exchange rate movements existed during the periods with an appreciation in Thai Baht. However, no causal relationship between the two during the periods with sideway exchange rate movements. Moreover, the cross-sectional results divulge that investors in the Stock Exchange of Thailand expect a risk premium from the additional exchange …

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How Does The Stock Market Value Bank Diversification In Thailand?, Nawarat Boonchai Jan 2019

How Does The Stock Market Value Bank Diversification In Thailand?, Nawarat Boonchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the impact of bank diversification on stock market-based value and risk in Thai banking system. Particularly, this paper is focused on income diversification. More specifically, the influence of various kinds of diversification business on bank risk and value is analyzed in this paper, the effect of each components of non-interest shares on bank value and risk is examined. Additionally, alternative income diversity measure is computed and used for robustness tests. The results show that income diversification has a positive influence on a bank market value. The stock market investor anticipation is that there would be more benefits …

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Do Investors React To Purchase Price Allocation?, Nonthawan U-Thisanonth Jan 2019

Do Investors React To Purchase Price Allocation?, Nonthawan U-Thisanonth

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the influence of Purchase Price Allocation (PPA) on investors’ decision making in Thailand by utilising the completed M&A deals which the acquirers listed on the Stock Exchange of Thailand and are over 50% owned after transactions during 2010 – 2019. I investigate how purchase price allocation to goodwill impacts on stock return reaction surrounding the announcement of final PPA information and inspect an association between percentage of goodwill allocated to the identifiable intangible assets and potential earnings per share (EPS) dilution. However, I do not find the supporting evidence to indicate that the investors react to the …

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Bond Market Reaction Surrounding Share Repurchase Announcement, Phasaporn Kitjakarnkoson Jan 2019

Bond Market Reaction Surrounding Share Repurchase Announcement, Phasaporn Kitjakarnkoson

Chulalongkorn University Theses and Dissertations (Chula ETD)

I reexamine the bond market reaction to share repurchase announcement. The wealth transfer hypothesis suggests that shareholders expropriate wealth from debtholders hence the debtholders should react negative to this news. I collect daily yield-to-maturity of corporate bond during 2005-2019 to calculate excess change in bond yield spread and classify bond characteristics into five subsamples which are sensitive to the wealth redistribution effect: payment rank, issuer rating, bond rating, bond maturity, and size of repurchase. However, I do not find evidence supporting wealth redistribution effect in all bond attributes. Moreover, firm ratings of repurchasing firms are less likely to be downgraded …

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Market Reaction To Ifrs 9 Adoption In The United States, Pichaya Yodruk Jan 2019

Market Reaction To Ifrs 9 Adoption In The United States, Pichaya Yodruk

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study aims to investigate the investors’ reaction to International Financial Reporting Standards 9 (IFRS 9): Financial Instruments adoption in the U.S. capital market. We examine by using companies in the S&P 500 stock market index encompassing the 22 events relating to IFRS 9 process preparation from 2009 to 2014. The findings indicate that the U.S. capital market positively react to the event which increase the probability of IFRS 9 adoption, although most listed companies in the U.S. market have applied US GAAP as accounting standard for their financial reporting. These results show the convergence benefits in accounting standards of …

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The Determinants Of Thb Swap Spreads, Parkorn Wattanaskolpant Jan 2019

The Determinants Of Thb Swap Spreads, Parkorn Wattanaskolpant

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to investigate the determinants of THB swap spreads by combining the traditional explaining variables of previous researches, e.g., default risk premium, liquidity premium and slope of the government bond yield curve, with additional explaining variables that might be missed in the previous studies and unique in THB swap spreads, e.g., TED and macroeconomic factors during the different states of economy, which are classified by Bank of Thailand monetary policy rate and the presence of negative swap spread. The motivation is to investigate the different effect of the determinants of THB swap spread in the different market conditions …

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The Analysis Of Long Term Lng Contract Pricing Structure, Yossaran Pichiansoontorn Jan 2019

The Analysis Of Long Term Lng Contract Pricing Structure, Yossaran Pichiansoontorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

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The Commitment On The Stated Use Of Ipo Proceeds And Long-Run Performance, Vitaya Tangwongpatikul Jan 2019

The Commitment On The Stated Use Of Ipo Proceeds And Long-Run Performance, Vitaya Tangwongpatikul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research paper examines the relationship between the commitment to the stated use of IPO proceed and long-run performance. This also examines the effect of hot market condition on the probability of commitment. Furthermore, this paper investigates the effect of the specificity of the disclosure in the filling document on the probability of commitment. The data comprises of the firms that went public in both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) during the period of 2000 – 2018. The stated use of IPO proceed is classified into 3 groups: Investment, Debt Repayment, and …

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The Disclosure Of The Intended Uses Of Proceeds And Aftermarket Trading Volume, Pornpimol Wongsiri Jan 2019

The Disclosure Of The Intended Uses Of Proceeds And Aftermarket Trading Volume, Pornpimol Wongsiri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study aims to provide empirical evidence to support the idea of signaling in a situation with high information asymmetry. We attempt to understand how IPO issuer’s expectation on its aftermarket trading volume may affect its disclosure decision of the intended use of proceeds. The sample consists of IPOs between January 1, 2000 and December 31, 2019 from 5 countries, including Australia, Indonesia, Philippine, Singapore, and Thailand. By using the expected turnover estimated from 3 approaches, we find empirical evidence suggesting that IPO issuers with low expected aftermarket turnover tend to disclose highly detailed information on the uses of proceeds. …

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Impact Of Esg Ratings On The Borrowing Cost, Evidence From Asia-Pacific Region, Nattawan Tantinakom Jan 2019

Impact Of Esg Ratings On The Borrowing Cost, Evidence From Asia-Pacific Region, Nattawan Tantinakom

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper studies the impact of ESG ratings, in conjunction with the particular dimension, on the companies’ borrowing cost. Also, this is the first paper that study the impact of level of ESG disclosure, voluntary and mandatory disclosure, on the borrowing cost of the firms. The findings show that only ESG disclosure score has significantly lower the borrowing cost of the companies through the environmental and corporate governance dimensions. It can be concluded that lending institutions do take into account the ESG disclosure score, which integrated risk management framework of firm, as an additional explanation factor over the financial factors. …

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Location Determinants Of Foreign Direct Investment In Real Estate : Evidence From China, Yi Tang Jan 2019

Location Determinants Of Foreign Direct Investment In Real Estate : Evidence From China, Yi Tang

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this paper is to examine factors affecting locational choice of foreign direct investment (FDI) in China’s real estate. The panel data selected 32 provinces of China during 2003 to 2017 are used in the analysis. The results show that GDP per capita, population, and loan rate are important factors affecting FDI in China’s real estate market. This reflects that China's economic growth made a significant contribution to the growing trend of FDI in the real estate market. However, the investment of foreign real estate developers in cities in the eastern, central and western parts of China is …

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Which Types Of Investor Investment Flow Affect Thailand Stock Market Index, Net Teeramungcalanon Jan 2019

Which Types Of Investor Investment Flow Affect Thailand Stock Market Index, Net Teeramungcalanon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the effect of types of investor investment flow on Thailand Stock Market Index returns. Daily data on investment types, namely, foreign investors, institutional investors, proprietary investors, and retail investors from the Stock Exchange of Thailand for the period 2015 to 2020 is used. The results from the OLS model show that proprietary investors dominate the SET index. We also conduct a Granger causality test to understand the relationship between the SET index and investor investment flow. This study also examines the relation between SET volatility and investor behavior. The result shows that when the SET index has …

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Impact Of Growth In International Tourism Industry Contributed To Co2 Emission In Cambodia, Philippines And Thailand, Juthamard Laohawattanajinda Jan 2019

Impact Of Growth In International Tourism Industry Contributed To Co2 Emission In Cambodia, Philippines And Thailand, Juthamard Laohawattanajinda

Chulalongkorn University Theses and Dissertations (Chula ETD)

Tourism is generally considered a clean industry, one of the reasons is tourism increasing investment in traveling facilities, instead of investment in factories. Furthermore, increasing tourism development relies on the protection of the natural environment and ecology. However, tourism development, like all industrial development, also comes with the higher demand in energy consumption and lack of management in the tourism industry resulting in environmental degradation The paper investigated the effect of environmental degradation in both aspects of destination factors and tourist factors based on the EKC hypothesis by incorporating trade openness and CO2 emission in Cambodia, Philippines, and Thailand which …

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The Effect Of Outward Fdi Of China On The Export Of China To Asean Countries, Ziang Li Jan 2019

The Effect Of Outward Fdi Of China On The Export Of China To Asean Countries, Ziang Li

Chulalongkorn University Theses and Dissertations (Chula ETD)

With the guidance of the Chinese "One Belt One Road" policy and the development of China-ASEAN Free Trade Area, trade and investment between China and ASEAN have become more frequent. Based on the panel data from 2005 to 2018, this paper starts from two steps to empirically analyze the determinants of Chinese outward Foreign Direct Investment to ASEAN and its impacts on the export of China to ASEAN. As a result, China's motives for FDI to ASEAN are more inclined to seek market size, and China tends to invest in ASEAN countries with political stability and a high degree of …

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