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Articles 46051 - 46080 of 149653
Full-Text Articles in Business
How Does Loan Portfolio Diversification Affect Bank Profitability?, Kornkanok Sittichobtham
How Does Loan Portfolio Diversification Affect Bank Profitability?, Kornkanok Sittichobtham
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Impact Of Single Stock Futures Block Trade Transactions On Underlying’S Volatility And Return : Evidence From Stock Exchange Of Thailand, Chotiwit Jiratananuwong
The Impact Of Single Stock Futures Block Trade Transactions On Underlying’S Volatility And Return : Evidence From Stock Exchange Of Thailand, Chotiwit Jiratananuwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
After the introduction of Single Stock Futures Block trade into the market, the concern of futures trading which is a high leverage product has been being in attention among investors. This paper examines the impact of Block trade trading volume on underlying’s volatility and return by using linear regression model covering 86 stocks from year 2017-2019. For the impact on volatility, this paper use 2 different measurements of volatility to investigate the impact which is Parkinson variance estimator and 30 minutes price historical volatility. The results found a positive relation between Parkinson variance estimator and Block trade trading volume, and …
Equity Term Structure Of Property Funds And Reits In Thailand, Chenchai Chotchuangnava
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 …
The Relation Between Portfolio Turnover And Mutual Fund Performance: Evidence From Thailand, Pailin Yapiangplook
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 …
The Effect Of Petroleum And Petrochemical Prices On Abnormal Return And Firm Profitability, Chansiri Pruksaphong
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 …
Bank Of Japan Intervention And Its Impact On Price Efficiency Of Underlying Stocks In Etfs, Kunyarat Ngamboriruk
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 …
Shareholder Involvement And M&A Announcement Returns : Evidence From Thailand, Chanon Thanaphumphong
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 …
The Impacts Of Volatility Spread And Timing On Writing Non-Directional Options Strategies, Thapanon Rungwittayatiwat
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.
Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors, Ciin Muan Khai
Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors, Ciin Muan Khai
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Flow-Performance Relationship Of Etfs In International Market, Thaweeporn Krailaksanawarapar
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 …
Characteristic Approach To High Risk Low Return Puzzle In Set, Putchara Poomgumarn
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 …
Costly Signal In Open Market Repurchase: Evidence In Thailand, Thanawat Anavachapongpan
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 …
Investors Attention Properties Regarding Target Prices,Pe Ratios And Their Investment Implications, Poomipong Chirabandhu
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) …
Do Thai Property Fund And Reit Investors Herd?, Palat Lertphitchaphong
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 …
Is There Risk Reduction In Conglomerate Acquisition?, Paskamon Luntavanich
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 …
How Many Mutual Funds Do You Need To Create A Diversified Portfolio?, Rujira Lertsawatwong
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 …
Performance Of Smart Beta Etfs In Us Stocks Market, Angkawipa Kangsanarak
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 …
Does The Introduction Of Equity Etfs In The Emerging Markets Improve The Liquidity Of The Underlying Stocks?, Luxmon Teerachannarong
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.
Dynamics Of The Impact Of Currency Fluctuations On Stock Exchange Of Thailand:Assessing The Pricing Of Exchange Rate Risk., Bussarakum Rukchuen
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 …
How Does The Stock Market Value Bank Diversification In Thailand?, Nawarat Boonchai
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 …
Do Investors React To Purchase Price Allocation?, Nonthawan U-Thisanonth
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 …
Bond Market Reaction Surrounding Share Repurchase Announcement, Phasaporn Kitjakarnkoson
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 …
Market Reaction To Ifrs 9 Adoption In The United States, Pichaya Yodruk
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 …
The Determinants Of Thb Swap Spreads, Parkorn Wattanaskolpant
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 …
The Analysis Of Long Term Lng Contract Pricing Structure, Yossaran Pichiansoontorn
The Analysis Of Long Term Lng Contract Pricing Structure, Yossaran Pichiansoontorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
The Commitment On The Stated Use Of Ipo Proceeds And Long-Run Performance, Vitaya Tangwongpatikul
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 …
The Disclosure Of The Intended Uses Of Proceeds And Aftermarket Trading Volume, Pornpimol Wongsiri
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. …
Impact Of Esg Ratings On The Borrowing Cost, Evidence From Asia-Pacific Region, Nattawan Tantinakom
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. …
The Effect Of Consumer Boycotting On The Stock Market, Anthony Levesque, Jouahn Nam
The Effect Of Consumer Boycotting On The Stock Market, Anthony Levesque, Jouahn Nam
Honors College Theses
No abstract provided.
Option Implied Volatility, Skewness, And Kurtosis And The Cross-Section Of Expected Stock Returns, Turan Bali, Jianfeng Hu, Murray Scott
Option Implied Volatility, Skewness, And Kurtosis And The Cross-Section Of Expected Stock Returns, Turan Bali, Jianfeng Hu, Murray Scott
Research Collection Lee Kong Chian School Of Business
We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of ex-ante expected stock returns. While expected returns are related to both the systematic and unsystematic components of volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns after controlling for other variables known to be related to the cross section of expected stock returns or analyst forecast bias.