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 …

Feasibility Study Of Portable Spirometer Development, Chawanrat Trekarnjanavong

Chulalongkorn University Theses and Dissertations (Chula ETD)

The peak flow meter is suggested by WHO and GINA for daily use by asthma patients in order to monitor symptoms and manage exacerbations. Even though the peak flow meter is compact, affordable, and portable, it only provides PEFR information. In comparison, the spirometer delivers more thorough lung information. However, it is expensive and difficult to carry, especially the conventional spirometer used in hospitals. The patient must visit the hospital to use it. This research aims to study the functionalities requires for developing the portable spirometer, targeted user and acceptable price in Thai market. Users place a high value on …

Inducing Compliance With Postmarket Studies For Drugs Under Fda's Accelerated Approval Pathway, Liang Xu, Hui Zhao, Nicholas C. Petruzzi

Research Collection Lee Kong Chian School Of Business

Problem definition: In 1992, the Food and Drug Administration (FDA) instituted the accelerated approval pathway (AP) to allow promising drugs to enter the market based on limited evidence of efficacy, thereby permitting manufacturers to verify true clinical benefits through postmarket studies. However, most postmarket studies have not been completed as promised. We address this noncompliance problem. Academic/practical relevance: The prevalence of this noncompliance problem poses considerable public health risk, thus compromising the original purpose of a well-intentioned AP initiative. We provide an internally consistent and implementable solution to the problem through a comprehensive analysis of the myriad complicating factors and …

Employee Perceptions Related To Specific Work Processes Within The Crime Control Model Known As The Stratified Model, Robert William Steinkraus

Theses and Dissertations

The purpose of this study was to measure employee perceptions of satisfaction as they relate to specific work processes and products within the Stratified Model. The Stratified Model is a crime-reduction model that was developed and gradually implemented first within the Port St. Lucie Police Department between 2004-2011. The full implementation of this crime-reduction model occurred in 2012. The Port St. Lucie Police department has since achieved greater reductions of the overall crime rate than other cities in Florida consisting of similar populations. In 2019, Port St. Lucie had the 7th largest population in Florida.

Currently, it is unknown how …

Video Meetings In A Pandemic Era: Emotional Exhaustion, Stressors, And Coping, Betty J. Johnson

Antioch University Dissertations & Theses

In the first quarter of 2020, societal upheavals related to the COVID-19 pandemic included employers’ work-from-home mandates and an almost overnight adoption of video meetings to replace in-person meetings no longer possible due to contagion fears and social distancing requirements. This exploratory study aimed to address, in part, the scientific knowledge gap about video meetings as a source of emotional labor. The study used mixed methods to explore three hypotheses concerning how the contemporary use of video meetings related to emotional exhaustion, stressors, and coping. Data were gathered through an online survey questionnaire. Emotional exhaustion, the dependent variable in the …

How Male Technology Leaders Navigate Inclusion And Diversity Expectations Using A Paradoxical Leadership Framework, Lori Ann Hofmann

Antioch University Dissertations & Theses

Male technology leaders have faced mounting expectations regarding topics related to inclusion, diversity, and equity (IDE). The impact of COVID-19, events exposing racial injustice, as well as political discord in the US have increased sensitivities to when and how leaders should respond to this highly charged arena. This study seeks to understand more about male leaders’ experiences of navigating the tensions and expectations that often accompany enacting IDE practices. Leaders that have experience in leading technology organizations as well as a background in technology or product development participated in interviews exploring various aspects of their experience with IDE topics. The …

Uncertainty Due To Infectious Diseases And Stock–Bond Correlation, Konstantinos Gkillas, Christoforos Konstantatos, Costas Siriopoulos

All Works

We study the non-linear causal relation between uncertainty-due-to-infectious-diseases and stock–bond correlation. To this end, we use high-frequency 1-min data to compute daily realized measures of correlation and jumps, and then, we employ a nonlinear Granger causality test with the use of artificial neural networks so as to investigate the predictability of this type of uncertainty on realized stock–bond correlation and jumps. Our findings reveal that uncertainty-due-to-infectious-diseases has significant predictive value on the changes of the stock–bond relation.

Process Mining Analytics For Industry 4.0 With Graph Signal Processing, Georgios Drakopoulos, Eleanna Kafeza, Phivos Mylonas, Spyros Sioutas

All Works

Process mining is the art and science of (semi)automatically generating business processes from a large number of logs coming from potentially heterogeneous systems. With the recent advent of Industry 4.0 analog enterprise environments such as floor shops and long supply chains are bound to full digitization. In this context interest in process mining has been invigorated. Multilayer graphs constitute a broad class of combinatorial objects for representing, among others, business processes in a natural and intuitive way. Specifically the concepts of state and transition, central to the majority of existing approaches, are inherent in these graphs and coupled with both …

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 …