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Full-Text Articles in Finance and Financial Management
The Impact Of Esg Performance On Equity Mispricing: Evidence From Asia-Pacific Markets, Visut Poochum
The Impact Of Esg Performance On Equity Mispricing: Evidence From Asia-Pacific Markets, Visut Poochum
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the relationship between ESG performance and equity mispricing in Asia-Pacific markets from 2010 to 2023, using the Rhodes-Kropf et al. (2005) decomposition method. The results show that stronger ESG performance is significantly associated with lower mispricing, particularly among undervalued firms, suggesting that ESG improves pricing efficiency by reducing information asymmetry. ESG performance has limited influence on overvalued firms, indicating its impact is more pronounced when valuations are suppressed. Further analysis reveals that the environmental, social, and governance pillars each independently contribute to mitigating mispricing, highlighting their distinct roles in enhancing pricing accuracy. ESG controversy does not significantly …
Arbitrage Opportunity On Set Index Futures With Multi-Regime Machine Learning Approaches, Supakrit Nititsopon
Arbitrage Opportunity On Set Index Futures With Multi-Regime Machine Learning Approaches, Supakrit Nititsopon
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates mispricing between SET50 Index Futures and the spot market through a multi-regime framework that integrates traditional asset pricing theory with machine learning. Using data from 2010-2023, K-means clustering identifies distinct market regimes, while XGBoost models regime behavior based on micro- and macroeconomic features. OLS regression shows that mispricing is primarily driven by microstructural factors, with macroeconomic variables contributing marginally in specific regimes. A regime-specific pairs trading strategy between SET50 futures and the TDEX ETF reveals persistent, regime-dependent arbitrage opportunities. Notably, one regime generates consistent net returns after transaction costs, although limited trade frequency raises robustness concerns. The …
Corporate Climate Risk And Cash Holdings, Parima Limwong
Corporate Climate Risk And Cash Holdings, Parima Limwong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper studies how companies manage their cash when they face different types of climate risks. It uses data from public companies in the United States from 2002 to 2023. The study measures climate risks such as transition risk, physical risks, and regulatory risk by looking at climate related words in companies’ earnings calls and reports. It also uses a special index that shows how uncertain climate policy is, based on news articles. The results show that companies with high regulatory risk usually keep more cash because they expect extra costs from new rules. However, risks from natural disasters or …
The Impact Of Morningstar Rating On Mutual Fund Performance, Risk, And Flows Evidence In Thailand Equity Mutual Funds, Maythavee Leeruangsakul
The Impact Of Morningstar Rating On Mutual Fund Performance, Risk, And Flows Evidence In Thailand Equity Mutual Funds, Maythavee Leeruangsakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the role of Morningstar ratings in predicting mutual fund performance, persistence, and fund flows in the Thai mutual fund market. The research focuses on three main objectives. First, it examines the relationship between Morningstar ratings and performance metrics including net return, 1-factor alpha, 4-factor alpha, Sharpe ratio, and Sortino ratio and risk metrics, including maximum drawdown, standard deviation, and Value-at-Risk, using both matched-pair analysis and regression methods. Second, it explores the persistence of fund performance through quintile transition matrices, regression analysis of lagged 4-factor alpha, and the cross-product ratio. Third, it analyzes the relationship between Morningstar ratings …
The Impact Of Maturity Mismatch On Default Risk: Evidence From Thailand, Rujirat Tangjitsamarnmitr
The Impact Of Maturity Mismatch On Default Risk: Evidence From Thailand, Rujirat Tangjitsamarnmitr
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of maturity mismatch on default risk among listed companies in the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from 2011 to 2023. It also investigates the moderating roles of external and internal factors that affect the relationship between maturity mismatch and default risk. The study employs a naïve probability approach, a simplified version of the Merton model, to estimate default probability. The results show that maturity mismatch significantly increases the probability of default, meaning that firms that rely on short-term financing to fund long-term investments face a higher likelihood of …
Mispricing Of Set50 Index Futures Calendar Spreads: Evidence From The Thailand Futures Exchange, Lapat Nangsue
Mispricing Of Set50 Index Futures Calendar Spreads: Evidence From The Thailand Futures Exchange, Lapat Nangsue
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the mispricing of SET50 Index Futures calendar spreads on the Thailand Futures Exchange (TFEX), focusing on deviations from the cost-of-carry model. Using end-of-day data from 2019 to 2024, the study analyzes how mispricing evolves as contracts approach expiration. The findings reveal that mispricing intensifies during the rollover period—particularly within 10 trading days before maturity—suggesting increased cost and risk for investors. Open interest in deferred contracts is found to be significantly correlated with mispricing, while net positions by investor types do not show statistical significance. The study also examines the 6-month calendar spread, which demonstrates more pricing stability …
The Impact Of Board Gender Diversity On Corporate Financial Performance In Southeast Asia: The Moderating Role Of Internationalization, Phanuwat Jianwattananukul
The Impact Of Board Gender Diversity On Corporate Financial Performance In Southeast Asia: The Moderating Role Of Internationalization, Phanuwat Jianwattananukul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of board gender diversity on corporate financial performance and investigates the moderating role of internationalization in the context of Southeast Asia. Using a panel dataset of publicly listed firms from five Southeast Asian countries (Indonesia, Malaysia, the Philippines, Singapore, and Thailand) over the period 2014–2023, the analysis employs fixed effects regression models incorporating country, industry, and year fixed effects. The results show that board gender diversity is negatively and significantly associated with Tobin’s Q, indicating that increased female representation on boards is linked to lower market valuation. However, no significant effect is found on accounting-based …
Determinants Of M&A In Japan And Effect Of Governance Reform, Maytakorn Lumyongsathien
Determinants Of M&A In Japan And Effect Of Governance Reform, Maytakorn Lumyongsathien
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the evolving role of private equity (PE) in Japan’s mergers and acquisitions (M&A) landscape, with particular attention to three critical stages: target selection, deal completion, and the influence of board independence. Analyzing M&A transactions across the pre- and post-2015 period, we find that PE acquirors consistently target firms characterized by low profitability, high leverage, and high asset tangibility suggesting an emphasis on unlocking value through operational turnaround and debt-financed restructuring. The probability of deal completion increases when targets exhibit weaker financial performance but stronger collateral, consistent with the use of leveraged buyout strategies. Importantly, the implementation of …
Tax-Incentivized Esg Funds And Esg Bond Yields: Evidence From An Emerging Market, Phanjarat Daengnimvikul
Tax-Incentivized Esg Funds And Esg Bond Yields: Evidence From An Emerging Market, Phanjarat Daengnimvikul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the presence of an ESG yield spread in Thailand’s bond market and evaluates the impact of the Thai ESG Fund policy launched in Q4 2023. Using a matched sample of ESG and conventional bonds issued from 2018–2024, we apply Exact Matching, Propensity Score Matching (PSM), and Difference-in-Differences (DiD) techniques to examine whether ESG bonds offer lower yields and whether the introduction of tax-incentivized ESG funds has influenced bond pricing. Results indicate a significant ESG yield spread in both corporate and government segments prior to the policy. However, while the spread remained unchanged for government bonds, it narrowed …
Share Pledging And Firm Performance: Evidence From Thailand, Natchakan Kanjanaphan
Share Pledging And Firm Performance: Evidence From Thailand, Natchakan Kanjanaphan
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the relationship between share pledging intensity in credit balance accounts and firm performance and risk among publicly listed companies in Thailand. Using a balanced panel dataset of all common stocks listed on the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from December 2015 to December 2024, the analysis explores how pledging activity relates to firm outcomes across different firm sizes. Firm performance is measured using Return on Assets (ROA) and Tobin’s Q, while firm risk is assessed through cash flow volatility, stock return volatility, and idiosyncratic volatility. Employing fixed effects panel regression …
The Impact Of Carbon Emissions On Stock Price Movements: Evidence From The Thai Market, Punnawit Saengchanthanu
The Impact Of Carbon Emissions On Stock Price Movements: Evidence From The Thai Market, Punnawit Saengchanthanu
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of carbon emissions on stock price movements in the Thai market, focusing on whether direct (Scope 1) and indirect (Scope 2 & 3) emissions influence stock returns. Additionally, it investigates how financial leverage moderates this relationship. Using data from 173 firms listed on the Stock Exchange of Thailand (SET) between 2019 and 2023, the study applies an abnormal return model to assess investor reactions to changes in carbon scores. The findings indicate that carbon emissions do not significantly impact stock prices, suggesting that Thailand’s market may not fully price carbon risk. These results align with …
The Effect Of Reit Characteristics And Regulations On Dividend Payment: Evidence From Thailand, Nitinat Vienthong
The Effect Of Reit Characteristics And Regulations On Dividend Payment: Evidence From Thailand, Nitinat Vienthong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study aims to examine the effects of various characteristics of Real Estate Investment Trusts (REITs) on dividend payouts among Thai REITs listed on the Stock Exchange of Thailand (SET) from 2018 to 2024. Specifically, it investigates how dividend smoothing, asset ownership structure, managerial gender, and regulatory policies influence dividend distributions. The analysis is conducted using a Fixed Effects panel regression model. The purpose of this study is to provide empirical insights to better understand the key drivers of dividend payment behavior among Thai REITs. The result of this study finds that. First, it investigates the extent to which Thai …
The Impact Of Quantitative Easing Policy On Bank Riskiness, Sandar Pyae Phyoe
The Impact Of Quantitative Easing Policy On Bank Riskiness, Sandar Pyae Phyoe
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of Quantitative Easing (QE) on bank riskiness across 18 countries from 2001 to 2023. Using a panel dataset and Generalized Method of Moments (GMM) estimation, this research explores the relationship between QE and bank risk-taking behavior, with a particular focus on differences between advanced and emerging economies. The results indicate that QE generally increases bank riskiness, as reflected by a significant decline in Z-Scores, particularly in advanced economies where prolonged monetary easing compresses net interest margins and incentivizes riskier lending practices. In emerging markets, however, the impact of QE appears delayed, with positive effects on …
The Impact Of Carbon Emissions On Corporate Financial Performance: The Moderating Role Of Corporate Governance, Pornpitak Jomsubjaroen
The Impact Of Carbon Emissions On Corporate Financial Performance: The Moderating Role Of Corporate Governance, Pornpitak Jomsubjaroen
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the relationship between corporate carbon emissions and financial performance, focusing on the moderating role of corporate governance. Using panel data from 1,368 firms across 22 countries in high-carbon-emitting industries between 2015 and 2024, the analysis incorporates Scope 1, Scope 2, Scope 3, and total emissions as independent variables. Financial performance is measured using both Return on Assets (ROA) and Tobin’s Q, while corporate governance is evaluated through ESG governance pillar scores. The findings reveal that Scope 1 emissions are positively and significantly associated with ROA, indicating that emission-intensive firms—especially in production-driven industries—may achieve higher profitability. Scope 2 …
Competitiveness And The Impact Of Esg Scores On The Cost Of Debt, Jiranan Luangkrajang
Competitiveness And The Impact Of Esg Scores On The Cost Of Debt, Jiranan Luangkrajang
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between Environmental, Social, and Governance (ESG) scores and the cost of debt across Asian markets, focusing on the moderating role of market competition and the distinction between sustainability-focused and non-sustainability-focused firms. The analysis employs cross-sectional regression techniques and comprehensive statistical approaches, incorporating industry-level competitiveness measures and firm-level ESG performance. By examining how varying ESG scores influence borrowing costs under different competitive pressures, the study provides critical insights into corporate financial outcomes.
Comparative Effects Of Esg Disclosure And Performance On Corporate Debt Financing Costs: Evidence From The Asia-Pacific Region, Chanakan Mungkarak
Comparative Effects Of Esg Disclosure And Performance On Corporate Debt Financing Costs: Evidence From The Asia-Pacific Region, Chanakan Mungkarak
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines the comparative effects of ESG disclosure and ESG performance on corporate debt financing costs of the firms in Asia-Pacific countries during the year 2014 to 2023. Grounded in signaling and stakeholder theories, the analysis assesses whether lenders respond more to transparency or actual ESG implementation. The findings show that ESG performance consistently has a stronger and more significant impact on reducing borrowing costs than ESG disclosure. In models including both variables, only ESG performance remains significant. Robustness checks using an ESG gap score reveal that in developed economies, firms with misaligned disclosure and performance are penalized, while …
Esg Performance And Its Impact On Systematic Risk And Idiosyncratic Risk: Evidence From Emerging Asia, Kunlaphat Trongpanich
Esg Performance And Its Impact On Systematic Risk And Idiosyncratic Risk: Evidence From Emerging Asia, Kunlaphat Trongpanich
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the relationship between ESG performance and corporate risk, focusing on systematic and idiosyncratic components. Using panel data from 264 listed companies in six Emerging Asian markets between 2014 and 2023, the analysis employs fixed-effects regression models. The results indicate that ESG performance significantly reduces idiosyncratic risk but has no clear effect on systematic risk. Among ESG pillars, the Social Score shows the strongest risk-reducing effect. Additionally, ESG proves more effective in mitigating firm-specific risk during periods of economic crisis, such as the COVID-19 pandemic, China stock market crash and the Russia–Ukraine conflict. Firms involved in ESG controversies …
The Impact Of Esg And Digital Transformation On Firm Value: Evidence From Thailand, Chaiyavit Jungprasert
The Impact Of Esg And Digital Transformation On Firm Value: Evidence From Thailand, Chaiyavit Jungprasert
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the impact of Environmental, Social, and Governance (ESG) scores, digital transformation, and their incremental effect influence on corporate value, measured by Tobin's Q, among SET100 companies. The paper uses a fixed-effects panel regression with data from 2017 to 2023 to determine how these characteristics influence firm valuations. The result shows that ESG scores has a statistically significant positive effect on business value, implying that investors prefer companies with high ESG scores, particularly in the environmental and social domains. However, governance scores don't appear to have a major impact on firm value. Furthermore, the study shows that digital …
Investors' Response On Movie Distributors' Achievements, Kanathip Bumroongchai
Investors' Response On Movie Distributors' Achievements, Kanathip Bumroongchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research examines the impact of movie-related factors on the abnormal returns of movie distributor stocks in the United States, focusing specifically on gross opening revenues and industry awards. The study analyzes nine firms using monthly data from 1995 to 2024 and applies the Ordinary Least Squares (OLS) model to test the hypotheses. The findings reveal that only awards received by competitors significantly reduce a firm’s abnormal returns, supporting both the Asymmetric Information Theory and Social Comparison Theory. In contrast, the gross opening revenues of a firm’s own movies do not lead to abnormal returns, aligning with the Efficient Market …
Impact Of Diversity, Inclusion, And People Development (Dip) To Firm’S Value: Moderating Role Of Institutional Ownership And Governance In Emerging Asia, Jaruwan Wankeaw
Impact Of Diversity, Inclusion, And People Development (Dip) To Firm’S Value: Moderating Role Of Institutional Ownership And Governance In Emerging Asia, Jaruwan Wankeaw
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of Diversity, Inclusion, and People development (DIP) on firm value (Tobin’s Q) in Emerging Asia by utilizing DIP index during 2016-2023 and explore the moderating roles of institutional ownership and corporate governance. This study employs OLS regression models with fixed effect controls. The results reveal that the composite DIP score is positively and significantly associated with firm value, indicating that firms investing in people-centered practices benefit from enhanced market valuation. This study suggests that institutional ownership significantly moderates the effect of people development, they enhance the effectiveness of firm-level investments in employees. However, it does …
กลยุทธ์การขาย Straddle Options ในคู่สกุลเงิน Usd/Thb: การศึกษาประสิทธิภาพในระยะยาว, กิตติพร ศันสนะวาณี
กลยุทธ์การขาย Straddle Options ในคู่สกุลเงิน Usd/Thb: การศึกษาประสิทธิภาพในระยะยาว, กิตติพร ศันสนะวาณี
Chulalongkorn University Theses and Dissertations (Chula ETD)
No abstract provided.
Following The Experts: Identifying What Influences Returns From Analyst Recommendations, Patitan Suppasupanya
Following The Experts: Identifying What Influences Returns From Analyst Recommendations, Patitan Suppasupanya
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of analyst consensus recommendations on stock returns in the Thai market, focusing on whether factors such as analyst qualifications, institutional ownership, and macroeconomic indicators influence the effectiveness of these recommendations. Using panel data from 30 stocks in the SET Index, this research employs a fixed effects regression model to analyze the relationship between analyst consensus and future stock performance. The findings reveal that while analyst consensus provides a general direction for investment decisions, its predictive power varies based on institutional ownership, consumer confidence, and unemployment rates. Institutional ownership appears to enhance the accuracy of recommendations, …
The Impact Of Internationalization On Cash Holdings: Evidence From Southeast Asia, Suparat Patarasupanit
The Impact Of Internationalization On Cash Holdings: Evidence From Southeast Asia, Suparat Patarasupanit
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research examines the impact of internationalization on cash holdings among multinational corporations (MNCs) in Southeast Asia (SEA), focusing on the roles of geographic dispersion, intangible assets, and managerial ownership. The study highlights how international operations influence corporate liquidity strategies in the presence of heightened information asymmetry. This study employs 1,431 firm-year observations from 2017 to 2021 and dynamic panel model to test hypotheses. The findings indicate that geographic dispersion and intangible assets increase cash holdings, affirming Pecking Order Theory. Conversely, their interaction unexpectedly reduces cash holdings, suggesting that complexities prompt more conservative liquidity management. Also, increased managerial ownership results …
Capm With Independent Regimes For The Alpha And Beta And An Application In Portfolio Optimization, Suwapith Payakapong
Capm With Independent Regimes For The Alpha And Beta And An Application In Portfolio Optimization, Suwapith Payakapong
Chulalongkorn University Theses and Dissertations (Chula ETD)
We develop a regime-dependent Capital Asset Pricing Model (CAPM), in which alpha and beta follow independent regime-switching processes, and use it in the mean-variance optimization (MVO) framework. Although the model does not significantly improve predictive metrics, we find that the predicted returns from the model have a larger rank correlation with the realized future returns than those from the historical mean and the common-regime CAPM, which assumes shared regime shifts between alpha and beta. The mean-variance portfolio derived from our model yields a superior out-of-sample risk-adjusted return compared to the portfolios derived from the equal-weight strategy, market index replication, the …
A Panel Partial Break Model For Forecasting Stock Returns With Parameter Instability, Nuttapat Bumrungrat
A Panel Partial Break Model For Forecasting Stock Returns With Parameter Instability, Nuttapat Bumrungrat
Chulalongkorn University Theses and Dissertations (Chula ETD)
Predicting stock returns is one of the most fascinating problems in finance. However, predicting stock returns is also one of the most challenging problems due to the instability and noisy nature of stock returns. One of the promising directions to handle both problems is to use a panel break model. Recently, a panel common break model has been proposed and shown to generate superior predictive performance. However, the model assumes that every parameter breaks simultaneously, which is not aligned with empirical data. In this article, we propose a novel panel break model that addresses the main limitation of the common …
Option Pricing Based On A Stochastic Volatility With Co-Jump Model And Application In Thai Market, Lu Tang
Option Pricing Based On A Stochastic Volatility With Co-Jump Model And Application In Thai Market, Lu Tang
Chulalongkorn University Theses and Dissertations (Chula ETD)
The correlated jumps in returns and volatility serve different, but complementary purposes in studying asset dynamic properties. In this paper, we choose Heston’s square-root stochastic volatility model, simultaneously incorporating jumps in returns and volatility, and propose a closed-form solution for European call option pricing. Applied to SET50 index in Thailand stock market, comparisons between the stochastic volatility with co-jump (SVCJ) model and the classical stochastic volatility (Heston) model are made to emphasize the significance of contemporaneous jumps appeared in asset dynamics. Empirical research demonstrates the superiority of SVCJ model in both out-of-sample pricing and hedging performance.
Does Observability Of Downgrade Risk Matter For Corporate Investment?, Thanwarat Limwattananukul
Does Observability Of Downgrade Risk Matter For Corporate Investment?, Thanwarat Limwattananukul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines firms’ capital investment decisions in relation to their credit ratings. As firms approach near-BBB credit ratings, they tend to change their behavior due to the fear of a downgrade. I found that, in general, Thai firms’ credit ratings do not influence investment decisions. However, as firms near BBB ratings, their behavior tends to shift. To clarify, firms at the lower end of the investment grade are inclined to make conservative investment decisions due to the risk of being downgraded to speculative grade. Therefore, the threat of a downgrade to speculative grade encourages managers to adopt more conservative …
The Effect Of Bank Liquidity Creation On Performance And Stock Returns: Evidence From Thailand, Wanlaya Boonsongkhoh
The Effect Of Bank Liquidity Creation On Performance And Stock Returns: Evidence From Thailand, Wanlaya Boonsongkhoh
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between bank liquidity creation, performance, and stock returns across 11 banks in Thailand from 2012 to 2021, spanning the economic crisis in Thailand and the COVID-19 pandemic. Liquidity creation measures the extent to which banks generate a money supply for the public, classified into liquidity created on the balance sheet and liquidity created both on and off the balance sheet categories. After controlling for macroeconomic and bank-specific variables, the results of a fixed-effects regression model reveal that next-period performance and stock returns deteriorate as liquidity creation levels increase. An inverted U-shaped relationship between liquidity creation …
The Effect Of Goodwill Impairment Avoidance On Future Performance Growth: Evidence From Thailand, Chantanit Limapichat
The Effect Of Goodwill Impairment Avoidance On Future Performance Growth: Evidence From Thailand, Chantanit Limapichat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study explores the impact of goodwill impairment avoidance on the future financial performance growth of firms listed on the Stock Exchanges of Thailand (SET). Spanning 14 years from 2008 to 2021, the research analyzes 405 observations from 124 distinct firms, utilizing multivariate regression models to uncover the relationship. The study also focuses on understanding how Big 4 auditors can impact this dynamic. The study finds evidence that firms avoiding timely goodwill impairment exhibit lower performance growth in the subsequent year. Interestingly, the negative impact of goodwill avoidance is less pronounced for firms audited by one of the Big 4 …
Utilizing Asymmetric Shock On Volatility And Asymmetric Beta For Enhanced Investment Strategies In The Stock Exchange Of Thailand, Nuttapol Sirinakorn
Utilizing Asymmetric Shock On Volatility And Asymmetric Beta For Enhanced Investment Strategies In The Stock Exchange Of Thailand, Nuttapol Sirinakorn
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impacts of asymmetric shock on volatility and beta within the Thai stock exchange. It finds that portfolios composed of stocks that demonstrate lower sensitivity to negative shocks and heightened responsiveness to market trends consistently outperform in various market conditions. The empirical analysis, spanning from 2018 to 2022, underscores the benefits of integrating asymmetry into investment strategies. A long-short strategy, in particular, is identified as highly effective, providing a means to capitalize on this asymmetry. The comparison of asymmetry-based portfolios with traditional ones and the SET index further illuminates the advantages of such strategies in enhancing risk-adjusted …