Business Commons^™

The Evidence Of The Beta Anomaly In The European Reit Market, Nutpapol Tantratananuwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper finds empirical evidence of the beta anomaly in the European REIT market in the period 2012 – 2021. The alpha of a low minus high beta strategy is positive and statistically significant which can interpret that the low beta REITs have a higher risk-adjusted return than high beta REITs. To examine the explanation behind the beta anomaly, the controlling variables which may cause the beta anomaly including the lottery-like stock return factor, the skewness factor, and the institutional ownership factor are added into the Fama-French 3-factor model. For the result, only the institutional ownership factor which refers to …

Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand), Preeyada Kanakupt

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigated the impact of environmental policy announcements to the stocks in the Stock Exchange of Thailand. The announcements are related to climate change in the world forum (Paris Agreement) and plastic waste management. Investors are aware of the environmental policy which could have an impact to firms. We found that 7 out of 8 announcements experienced significant cumulative abnormal returns (both positive and negative). In terms of industry, the only industry which reacted to all announcements is industrials. The majority of firms in the industrials industry are operators related to chemicals, automotive and general manufacturing which are more …

The Hedging Effectiveness Of Disruptive Technology Etfs To Asia Emerging Markets, Theerapong Theerahsapphawittaya

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the role of hedge and safe haven of four disruptive technology ETFs to six Asia emerging markets and assess whether if COVID-19 pandemic has altered the dynamic conditional correlations and hedge effectiveness between these assets. Using daily return data from February 23, 2018 to January 28, 2022, first, the results indicate that despite the outperformance of disruptive technology ETF’s returns during COVID-19 pandemic, these ETFs do not have a hedge or safe haven property against Asia emerging market downturns as their returns were still positively correlated. They can only be used as diversifier tools to the Asia …

Mutual Fund Performance Evaluation With Active Peer Benchmarks Of Domestic Equity Funds In Thailand, Pornthip Supasinthanaphat

Chulalongkorn University Theses and Dissertations (Chula ETD)

We use the active peer benchmarks (APB) methodology suggested by Hunter et al. (2014) to capture commonalities or common idiosyncratic noise in fund strategies. These commonalities cannot be captured by the Carhart 4-factor model and it also decreases the accuracy in fund performance evaluation. Firstly, we examine the efficiency of the APB methodology compared with the Carhart 4-factor model. Then we also use the APB methodology to evaluate the performance of actively managed Thai open-end domestic equity funds from January 2006 through December 2020. In the APB methodology, we focus on two dimensions: fund returns and the fund’s investment objectives. …

The Impact Of Institutional Ownership And Valuation On Stock Price Around Set50 Index Inclusion And Exclusion, Pranittra Ritthiwitthayasakun

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of institutional ownership and valuation on stock price around the changes in index constituents. Specifically, this paper studies the significant SET50 index during the period of 2014 – 2021. According to the empirical result, there is an asymmetric price response between index additions and index deletions. The effects from exclusions are considerably stronger than from inclusions. The findings also show that percentage ownership of institutional investors and abnormal return are positively correlated in case of exclusions but not for inclusions (though insignificant). Companies deleted from the index result in lower institutional holdings and subsequently exhibit …

The Impact Of Esg Performance On Firm-Idiosyncratic Risk In The Us And Canada, Nutcha Kongpreecha

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to examine how environmental, social, and governance (ESG) performance affects the idiosyncratic risk of firms in the United States and Canada between 2007 and 2020. This study retrieves ESG scores and other factors from the Refinitiv DataStream, the firms used for analysis in this paper are 480 listed companies. Results show that ESG performance can reduce idiosyncratic risk in different firms' characteristics and periods. First, ESG performance can subdue the idiosyncratic risk in both sensitive and non-sensitive industries at the same level. Second, only the environmental pillar in the sensitive industry has an additional negative influence on …

Does Bond Market Development Impact The Flight-To-Quality From Stock To Bond During Covid-19?, Patcharee Sae-Tiaw

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper analyzed flight to quality effect from stocks to government bonds in 46 countries including developed and emerging countries during COVID pandemic. The empirical result from panel data framework shows that the flights exist and government bonds remain offered diversification benefit to investors when they are most needed. The negative stock-bond correlation was also amplified when pandemic is more severe in developed countries. Moreover, this study reveals that countries with a higher degree of bond market development can support bonds act as a safe haven better and have more negative in stock-bond correlation.

The Inflation Hedging Ability Of Real Estate Investment In Thailand, Pimpimuk Rodnikorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

Diversification Benefits Of Domestic And International Reits For Set Index Before And During Covid-19 Crisis, Korn Kongkittiwong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the diversification benefit of Thailand, the US, Europe, Singapore, and Japan REIT indices for the SET index. The time scope for this study starts from 1st January 2011 to 31th January 2022. It also compares the diversification benefit degree between pre and during Covid-19 periods. The DCC-GARCH model is used for the diversification benefit examination. The results posit 3 main points. First, all the REIT indices provide diversification benefit for the SET index. Second, the Covid-19 pandemic reduces diversification benefit generated by the US, Europe, and Japan REIT indices. Finally, the US provides the highest diversification benefit …

How Sensitive Are Ipos To The Fear Of The Covid-19 Pandemic In Emerging Markets?, Kavisara Vachekrilas

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the relationship between COVID-19-related pandemic fear and the short-term performance of initial public offerings in emerging markets. This paper investigates whether the short-term fear of COVID-19 continues to influence post-IPO performance. In doing so, the fundamental methodology is cross-sectional ordinary least squares (OLS) regression and numerous variables are included to the model as control variables. The results show that whether looking at the first-day trading price of an IPO or the subsequent trading prices, the effect of pandemic fear (GFI, RCI and RDI) was positive. However, results were somewhat different for HighGFI, which was a dummy variable …

The Role Of A Banking Market Concentration In The Effect Of Monetary Policy On Bank Risk: Evidence From Thailand, Sasichanok Khongtip

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research investigates the effect of monetary policy on bank risk exposure and the role of banking market concentration in affecting their relationship by using the data of 11 commercial banks listed in the Stock Exchange of Thailand at the quarterly frequency over the period of 2001-2019. The different measurements of bank risk exposure variables and monetary policy indicators given interest rate changes from the previous quarters, interest rate variations relative to their long-term trends, low interest rates and prolonged low interest rates are applied to secure the robustness in estimation results based on dynamic model namely the two-step system …

Mutual Fund Flow And The Real Economy, Sadanan Ekkaewnumchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper empirically examines the comparative relationship between flow of equity and bond fund with the expected and real economy among US, UK and Japan market. Two objectives are set in according to the implication of information-response theory. The first objective is to study the relationship between mutual fund flow and the expectation in the future economic conditions capturing by predictive variable. Due to investors’ sensitivity to economic conditions, the second objective is to study the ability of mutual fund flows to predict the real economic conditions. The analytical period covers from 2001: Q1 to 2020: Q4. The study found …

Oil Shocks And Corporate Investment: Evidence From Stock Exchange Of Thailand (Set), Pakkawat Kitsirikarn

Chulalongkorn University Theses and Dissertations (Chula ETD)

This special project empirically examines the impact from the different type of oil price shocks on corporate investment. This study follows the method proposed by Kilian (2009). He uses the structural vector autoregression model to decompose oil price shock into 3 type which comprised with oil supply shock, oil aggregate demand shock, and oil specific demand shock. Moreover, this work also incorporates industrial competition to investigate how it link to the impact of oil shock on corporate investment. The empirically examine period is Jan 2007 to Dec 2018. This study uses the firm-level data of companies listed in the stock …

Causality Between Corporate Social Responsibility And Corporate Financial Performance, Yatida Palasri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines the causality relationship between corporate social responsibility (CSR) and corporate financial performance (CFP) of the listed companies in Asian Pacific emerging markets from 2010 to 2020. This paper analyzes the direction of causality between CSR and CFP in five different industries including energy, consumer non-cyclical, financial, technology and healthcare industries. This paper aims to study whether aggregated CSR scores and non-aggregate CSR scores (i.e., environmental, social and governance scores) toward the CFP measures (i.e., return-on-equity and Tobin’s Q ratios) have unidirectional or bidirectional relationship. In doing so, the bivariate panel vector autoregressive model and Granger causality test …

Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper empirically investigates whether or not Thai Baht (THB) is actually one of the safe haven currencies. Moreover, we also extend analysis to see if its safe haven pattern is persistent during the COVID-19 pandemic. We are not only study for THB, but also take into account other traditional well known safe- haven currencies namely U.S. Dollar (USD), British pound sterling (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY). By investigating between 2010 - 2019, our results do not support the idea that THB is a safe haven currency. Nevertheless, this paper found that for other well-known …

Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets, Viriyah Vorasitchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

When investors from different countries invest abroad in the same destination country and same asset is invested, they may achieve different foreign asset return or value after converting back to the home currency in each country, in other words, the value of such investment and its return could differ from what they retain in the that foreign currency. This phenomenon leads to the risk called “currency risk”. The currency risk could also be seen in several different ways such as economic risk, transaction risk as so on. Considering the value of the asset return after converting back to home currency, …

Safe-Haven Property Of Gold Toward Multi Asset Portfolio During Covid-19 Pandemic, Naratporn Thamthonsiri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study test whether gold has a property of safe-haven asset during the COVID-19 pandemic by performing multivariate time series analysis against multiple asset classes (equity, fixed income, property fund and REIT, and BITCOIN). Dividing testing period into pre- (2015 -2019) and on-going COVID-19 period (2020), the result of long run cointegration test came out that gold is shown to have a cointegrating relationship only during COVID-19 and no cointegration during pre-pandemic. This can be indicated that gold does not have the property of being a hedging instrument over a long run but consider itself to be a hedging asset …

Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines how Thailand GDP announcement surprise affects AEC stock markets which are Thailand, Indonesia, Malaysia, Singapore, Philippines, and Vietnam. In the sample of 44 GDP announcements in Thailand during 2009-2019, our result suggests that there is no impact to AEC stock markets on GDP announcement date. However, we find pre-and post- GDP announcement effect spillover to other countries in AEC. In addition, the direction of Thailand GDP announcement has no reaction on abnormal return on AEC stock exchanges. In contrast, our findings report the influence of macroeconomic conditions in Thailand on the abnormal return in Malaysia, Singapore, and …

The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this paper is to investigate the impact of air pollution on stock returns in Thailand and Indonesia from January 1, 2016, to June 30, 2021. Further effects of air pollution on stock returns during the seasonal pollution period, full moon period, new moon period, and high pollution period are also studied. The result shows that a lagged day of air pollution proxy significantly reduces stock returns in Thailand. The significant negative effect of air pollution on stock returns is similar to that after controlling for the January effect. This is consistent with the finding of Li and …

Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng

Chulalongkorn University Theses and Dissertations (Chula ETD)

We examine the relation between cross-sectional return dispersion and actively domestic open-ended fund performance in Thailand, with the rationale mechanism that in the time of high return dispersion, where provide the opportunity for the fund managers to generate the positive value of abnormal return. Consist to the finding in US data that the period of the highest return dispersion the most activeness fund significant outperform the least activeness fund. Thai data provided the added value that active fund with the moderate to high activeness earn positive abnormal return in the period of the highest return dispersion. we also find the …

Complex Model Versus Complex Data In An Application Of Predicting Mortgage Loan, Yu Weng

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research aims to measure the benefits of complex model versus those of meaningful information, through an application of credit risk prediction for mortgage loans. The neural network represents complex model and the regression model represents simple model. Two types of data are applied in this analysis: simple data and complex data. The complex data is obtained from the simple dataset using information extraction techniques and data transformation. The two specific variables constructed in our complex data are Loan-to-value and Housing Expense ratio. Applied to the monthly Single-Family Loan-Level Dataset of Freddie Mac from year 2010 to year 2018 in …

The Cross-Sectional Return Dispersion With Momentum Strategyand The Spill Over Across Fx And Equity Markets, During Covid-19, Pisit Grittiyarangsan

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the relation of momentum strategy and the return dispersion across currency and global equity markets by using 30 currency pairs and 30 global equity indices during last 2 decades. This paper also examines the lead-lag relationship of return dispersions through spillover from one market to another. In addition, we are successfully detected the relation between return dispersion of those market and the significant return by momentum strategy on currency market. However, we cannot detect significant positive return by using momentum strategy on global equity indices, so we cannot use the return dispersion from the lead market as …

Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this study is to investigate conditional correlations between the Dow Jones Emerging Market index and commodity indices (i.e., agriculture, energy, industrial metals, livestock, precious metals) and Islamic stock indices (i.e., JKII, KLFTEMSI, MSCI Bahrain, MSCI Kuwait, and MSCI Qatar). Additionally, this paper classifies the properties of assets whether it is a diversifier, a hedger, or a safe-haven assets to the Dow Jones Emerging Market index. The estimation method is the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to estimate the conditional correlations during the period of 2007-2021 which covers the Global financial crisis (GFC) and …

Do Issuers Affect Derivative Warrants Overpricing? Evidence Of Thailand, Sarunporn Thupthong

Chulalongkorn University Theses and Dissertations (Chula ETD)

Derivative warrants have become increasingly popular in many countries. However, numerous literatures provide the empirical evidences that derivative warrants are overpriced relative to the comparable options. Many researchers found that the derivative warrant overpricing can be explained by hedging cost, liquidity premium, market power, and asymmetric information of investors. These explanations are likely to be related to characteristics of derivative warrant issuer. Therefore, this paper comes up with the objective to reconfirm the overpricing phenomenon in Thailand and investigate the issuer identity effect on the derivative warrant overpricing as well as examine what issuer’s characteristics cause the level of overpricing …

Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates one of the most famous seasonal anomalies, namely Halloween effect. It is based on the observation that return during November to April so-called winter period tend to perform better than return during May to October so-called summer period. Using a sample of 97 Thailand equity funds during 2012-2021, we extend previous research by focusing on the Halloween effect in mutual funds market. Our research consists of three main objectives. First, we investigate the existence of Halloween effect in Thailand equity mutual funds. Second, we look into different characteristics of funds by categorizing based on categories from Morningstar …

Corporate Innovation In A World Of Common Ownership, Cheng-Huei Chiao, Bin Qiu, Bin Wang

Finance Faculty Research and Publications

Purpose

The purpose of this paper is to examine the impact of common ownership on corporate innovation, including innovation input, innovation output and postgrant patents.

Design/methodology/approach

This paper uses the ordinary least square model and the difference-in-differences technique to evaluate the effect of institutional interlocking shareholdings on the life cycle of corporate innovation.

Findings

The results show that common ownership impedes innovation measured by patent grants and citations through reduced R&D expenditures. However, common ownership protects postgrant patents by lowering the likelihood that a co-owned firm gets involved in patent litigation and by accelerating the settlement of lawsuits between co-owned …

Cleaning Corporate Governance, Jens Frankenreiter, Cathy Hwang, Yaron Nili, Eric L. Talley

Faculty Scholarship

Although empirical scholarship dominates the field of law and finance, much of it shares a common vulnerability: an abiding faith in the accuracy and integrity of a small, specialized collection of corporate governance data. In this paper, we unveil a novel collection of three decades’ worth of corporate charters for thousands of public companies, which shows that this faith is misplaced.

We make three principal contributions to the literature. First, we label our corpus for a variety of firm- and state-level governance features. Doing so reveals significant infirmities within the most well-known corporate governance datasets, including an error rate exceeding …

Short-Term Capital Flows, Exchange Are Expectation And Currency Internationalization: Evidence From China, Mingming Li, Fengming Qin, Zhaoyong Zhang

Research outputs 2014 to 2021

This paper intended to employ a portfolio approach to assess the effect of exchange rate expectation on Chinese RMB internationalization and empirically test the interactive effects among short-term capital flows, RMB appreciation expectation and the internationalization process using a VAR model with monthly data ranging from February 2004 to December 2020. The results suggest that RMB exchange rate appreciation could lead to an increase in the foreign demand for RMB and RMB denominated assets, while RMB internationalization would attract more short-term capital inflow due to the reduced transaction costs. The empirical evidence from the VAR model estimation confirms the finding …

A Megastudy Of Text-Based Nudges Encouraging Patients To Get Vaccinated At An Upcoming Doctor’S Appointment, Katherine L. Milkman, Mitesh S. Patel, Linnea Gandhi, Heather N. Graci, Dena M. Gromet, Hung Ho, Brigitte C. Madrian

Faculty Publications

Many Americans fail to get life-saving vaccines each year, and the availability of a vaccine for COVID-19 makes the challenge of encouraging vaccination more urgent than ever. We present a large field experiment (N = 47,306) testing 19 nudges delivered to patients via text message and designed to boost adoption of the influenza vaccine. Our findings suggest that text messages sent prior to a primary care visit can boost vaccination rates by an average of 5%. Overall, interventions performed better when they were 1) framed as reminders to get flu shots that were already reserved for the patient and 2) …