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Articles 271 - 274 of 274
Full-Text Articles in Finance and Financial Management
Performance Persistence Of Hedge Fund: A Result Of Different Systematic Risk Exposure, Prapakan Pimpasan
Performance Persistence Of Hedge Fund: A Result Of Different Systematic Risk Exposure, Prapakan Pimpasan
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper has made the statement that the different systematic risk exposure style affects hedge fund performance and performance persistence. Employing maintain low systematic risk exposure (LSR) style leads superior performance for hedge fund during the full-time period. The outperformance of LSR style in this finding challenges the principle of standard Capital Asset Pricing Model (CAPM) and being supported by the "Low-volatility anomaly" in the equity market. However, the market timing, one of systematic risk exposure style, is still crucial and should be taken into consideration when managing portfolios systematic risk exposure, especially during the crisis period. Moreover, there is …
Gender And Financial Access Of Smes In Southeast Asia, Wannaporn Phongapai
Gender And Financial Access Of Smes In Southeast Asia, Wannaporn Phongapai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines gender and cultural differences in financial access of small and medium-sized enterprises (SMEs) in six countries within Southeast Asia (SEA): Thailand, Laos, Cambodia, Myanmar, Indonesia, and Malaysia. This study uses World Bank Enterprise Surveys dataset which covers 2015 and 2016 to investigate the gender gap in financial access of SMEs in SEA and compare the business performance of enterprises that are owned by males and females. The result shows that there is no significant difference between the financial access of female- and male-owned SMEs in SEA which means that there is no gender gap in financial access …
A Study Of The Effect Of Dark Pool Using Market Simulation, Wasin Surarak
A Study Of The Effect Of Dark Pool Using Market Simulation, Wasin Surarak
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper extend a limit order book model of security trading from Goettler, et al. (2005) by adding a dark pool which does not publicly display trading orders. This model is a sequential game with risk-neutral traders. We use a stochastic algorithm followed by Pakes and McGuire (2001) to solve a Markov-perfect equilibrium as the optimal action of a trader. We find that when added a dark pool, market quality worsens (market depth declines and bid-ask spread widen), and total fill rate decreases. The deterioration of market quality in a limit order book results from an order migration to a …
Plan MemberS Heterogeneity, Economic Regime Effect And Their Implication On The Management And Sustainability Of Retirement Funds, Thepdanai Danswasvong
Plan MemberS Heterogeneity, Economic Regime Effect And Their Implication On The Management And Sustainability Of Retirement Funds, Thepdanai Danswasvong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research studies the importance of plan members' heterogeneity to the management of defined benefit (DB) pension fund. We propose a new multi-member model of DB pension fund that allows for heterogeneity in plan members' retirement ages, salary growths, and other characteristics. We first solve analytically for optimal management strategy and show that the sponsor's supplementary contribution and the fund's allocation in risky assets are determined by the cross-product between the fund's expected retirement liabilities and some heterogeneity-adjusted discount factors. We then demonstrate that the presence of heterogeneity can have a significant influence on the optimal management strategy and that …