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Full-Text Articles in Finance and Financial Management
High-Yield Or Nothing? Investor Preferences For Riskier Bonds In Thailand, Thamon Chongkwanyuen
High-Yield Or Nothing? Investor Preferences For Riskier Bonds In Thailand, Thamon Chongkwanyuen
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the determinants of investor demand for high-yield corporate bonds in Thailand's primary market between 2014 and 2024, focusing on whether investors exhibit reach-for-yield behavior and how they respond to past issuance patterns. Utilizing panel regression, with the Take-Up Ratio serving as the key measure of investor participation, the findings reveal that investor behavior is highly conditional. In normal or tightening monetary periods, high nominal yields and credit spreads are generally associated with lower subscription rates, suggesting investors interpret elevated returns as a signal of greater credit risk. However, this risk aversion is reversed during accommodative monetary conditions …
The Determinants Of Short-Term And Long-Term Performance Of Initial Public Offering: Evidence From The Stock Exchange Of Thailand (Set) And Market For Alternative Investment (Mai), Chittakrij Peungsugk
The Determinants Of Short-Term And Long-Term Performance Of Initial Public Offering: Evidence From The Stock Exchange Of Thailand (Set) And Market For Alternative Investment (Mai), Chittakrij Peungsugk
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the determinants of short and long-term IPO performance in the SET and mai market. Using samples of SET and mai IPOs from 2014-2021, the research investigates how underwriter reputation, institutional investor ownership, and big-4 auditor influence cumulative abnormal returns across time horizons. From information asymmetry, certification, and signaling theories, the study uses multiple linear regression with OLS to analyze IPO performance. Results are different between the two markets. In SET, underwriter reputation shows no certification effect across all time horizons for all reputation measures. Institutional investor ownership demonstrates no short-term impact but exhibits negative impacts with long-term …
Disaggregating Foreign Investor Influence: Direct Holdings, Nvdrs, And Stock Price Crash Risk In The Thai Equity Market, Ploypailin Rattanaphongchirakun
Disaggregating Foreign Investor Influence: Direct Holdings, Nvdrs, And Stock Price Crash Risk In The Thai Equity Market, Ploypailin Rattanaphongchirakun
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis investigates the relationship between foreign ownership and stock price crash risk in the Stock Exchange of Thailand during the period 2005 to 2024. It focuses on differentiating between direct foreign investors who hold voting shares and Non-Voting Depository Receipts (NVDRs), which provide economic benefits similar to regular shares but do not confer voting rights at shareholder meetings. Additionally, this study examines whether information asymmetry and stock liquidity moderate the relationship between foreign ownership and stock price crash risk. The analysis utilizes panel data from the top 100 companies by market capitalization listed on the Stock Exchange of Thailand. …
The Effect Of Economic And Climate Policy Uncertainties On Momentum Strategies Across Different Esg Levels, Siwaphat Prommana
The Effect Of Economic And Climate Policy Uncertainties On Momentum Strategies Across Different Esg Levels, Siwaphat Prommana
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis investigates the impact of Economic Policy Uncertainty (EPU) and Climate Policy Uncertainty (CPU) on ESG momentum strategies in U.S. equity markets from 2011 to 2023. Momentum portfolios are constructed within high- and low-rated ESG pillar groups to assess how policy uncertainty influences their performance across different firm characteristics, including sectoral classification and geographic operations. Empirical analysis reveals that policy uncertainty, particularly through Forecast and News channels, significantly affects momentum returns, with the strongest effects concentrated among low ESG-rated and domestically focused firms. Cyclical sectors display heightened sensitivity to both EPU and CPU, while international firms show weaker or …
The Effect Of Trading Volume From Different Investor Types On Trading Friction Anomaly Returns In Thailand: Evidence From Market Microstructure Data Of The Stock Exchange Of Thailand, Suparkit Assavanig
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study introduces a novel approach to understanding how trading volumes from individual, institutional, and foreign investors influence anomaly returns in Thailand's stock market. I integrate comprehensive analysis of seven trading friction anomalies with unique market microstructure data from the Stock Exchange of Thailand's database. This approach enables construction of long-short portfolio strategies, while accounting for the distinct trading behaviors of different investor groups during the period from 2011 to 2021.Remarkably, I discovered asymmetric effects where retail trading amplifies certain anomalies while reducing others, contradicting traditional noise trader theories. Furthermore, the integration of investor-type volume indicators with long-short anomaly strategies …
The Information Spillover Effects Of Earnings Announcements: Evidence From Thailand, Panatakorn Piyawannasuth
The Information Spillover Effects Of Earnings Announcements: Evidence From Thailand, Panatakorn Piyawannasuth
Chulalongkorn University Theses and Dissertations (Chula ETD)
AbstractThis research investigates spillover effects during announcement days in the Thai stock market, covering the period from 2015 to 2024, covering all publicly traded companies on the Stock Exchange of Thailand. The paper aims to determine whether limited spillover effects in developed markets persist in emerging markets whose institutional features are quite different.The empirical evidence strongly confirms that Thai earnings announcements are made up predominantly of firm-specific information, as compared with industry-level information, consistent with developed-market profiles. The conditional spillover study, however, reveals characteristic Thai capital market characteristics. Firms reporting significant earnings surprises demonstrate no systematic evidence in precipitating larger …
Governance Rating Disagreement And Earnings Management In Asean Listed Firms, Pawat Dumrongkiate
Governance Rating Disagreement And Earnings Management In Asean Listed Firms, Pawat Dumrongkiate
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the relationship between corporate governance ratings and earnings management among publicly listed firms across six ASEAN countries—Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam—during the period 2015–2023. It examines whether the coverage, level, and disagreement of governance ratings influence the degree of discretionary accruals, which are used as a proxy for earnings management. The Modified Jones Model and Kothari’s performance-matched approach were employed to estimate discretionary accruals, with firm, country, industry, and year fixed effects applied to control for unobserved heterogeneity. The results reveal that governance rating coverage and overall rating levels do not significantly affect earnings …
Flight From Liquidity And Bond Yields: Evidence From Thai Market, Sasipim Sinithanon
Flight From Liquidity And Bond Yields: Evidence From Thai Market, Sasipim Sinithanon
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates how liquidity risk influences mutual fund selling behavior and bond pricing in the Thai bond market during periods of distress. Using quarterly mutual fund holdings from Morningstar and transaction-level data from the Thai Bond Market Association (ThaiBMA) between 2015 and 2024, the analysis examines whether mutual funds exhibit “Flight from Liquidity” behavior—selling their most liquid assets under stress—and how such behavior affects bond yield spreads.Three hypotheses are tested. First, whether mutual funds are more likely to sell government bonds than corporate bonds during distress periods. Second, whether funds exhibit flight-from-liquidity behavior within each bond segment by selling …
The Moderating Role Of Investor Sentiment Regimes On The Impact Of Flow Types On Capital Structure Decisions (Evidence From Thailand), Shiva Sachaphimukh
The Moderating Role Of Investor Sentiment Regimes On The Impact Of Flow Types On Capital Structure Decisions (Evidence From Thailand), Shiva Sachaphimukh
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study analyzes how foreign and domestic capital flows influence the leverage of SET100 Thai non-financial firms, considering investor sentiment regimes and firm cyclicality (2013–2023). It contrasts fundamental foreign portfolio flows with speculative domestic trading turnover. Sentiment regimes powerfully amplify flow effects. Bullish domestic sentiment and high domestic turnover significantly increase leverage (sentiment-exploitation). Conversely, deteriorating sentiment and foreign outflows intensify debt reliance (stress-compensation). Domestic flows have stronger, more immediate leverage effects than foreign flows, revealing a behavioral asymmetry. Cyclical firms respond aggressively to domestic factors and sentiment, while non-cyclical firms prioritize foreign capital stability.The findings highlight the critical role of …
Salience, Trading Volume And 52-Week High Effects On Stock Returns: Evidence From Thai Stock Market, Tonnsaai Anantrechai
Salience, Trading Volume And 52-Week High Effects On Stock Returns: Evidence From Thai Stock Market, Tonnsaai Anantrechai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the interaction between salience effects and the 52-week high phenomenon in the Thai stock market, with particular attention to the mediating role of trading volume. Using data from SET100 constituents spanning May 2005 to December 2024, we employ the salience measure developed by Bordalo et al. (2012) and Cosemans and Frehen (2021) to investigate whether stocks with salient payoffs exhibit different return patterns when approaching their 52-week highs. Following Lin (2024), we test whether abnormal trading volume amplifies these behavioral effects. Our findings reveal a notable discrepancy: while historical portfolio sorts show extreme return differentials between salience …
How Integrity Culture Affects Trade Credit Availability, Sarocha Limchaisiri
How Integrity Culture Affects Trade Credit Availability, Sarocha Limchaisiri
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines whether corporate integrity culture plays a role in shaping firms’ access to trade credit. Focusing on a panel of U.S. publicly listed firms from 2002 to 2021, it employs a text-based proxy for integrity constructed from annual reports and uses pooled OLS regression with industry and year fixed effects. The goal is to understand how ethical culture, as a non-financial factor, influences trade credit availability beyond traditional financial metrics. While the measure used—accounts payable to COGS ratio—is commonly applied in the literature, it reflects both the willingness of suppliers to extend credit and the firm’s decision to …
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 …
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 …
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.
The Influence Of Intellectual Property Mergers And Acquisitions On Long- Term Financial Performance: Insights From Chinese Companies, Mingyue Fang
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the long-term financial effects of intellectual property-related M&As (IP M&As) in China, using ROIC as the main performance metric. Based on a panel of listed firms from 2000–2020, it first applies a DID model to compare IP M&As with regular deals, then extends to a DDD framework to assess directional heterogeneity (North-to-South, South-to-North, intra-regional). Results show IP M&As improve ROIC, especially in North-to-South transactions. Mechanism analysis confirms enhanced innovation output, though its financial conversion may face institutional or integration frictions. The study highlights the strategic value of IP M&As and the importance of regional context in post-deal …
Abnormal Stock Return Predictability: Evidence From Excess Trading Volume In The Stock Exchange Of Thailand, Siriphum Bunnamma
Abnormal Stock Return Predictability: Evidence From Excess Trading Volume In The Stock Exchange Of Thailand, Siriphum Bunnamma
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the predictive power of excess trading volume on abnormal stock returns in the Stock Exchange of Thailand, examining 11,575 stock-month observations from SET100 constituents over 2014-2023. Drawing on behavioral finance theories including attention effect, disposition effect, and investor overconfidence, the research develops a novel technical indicator called "Excess Trading Volume" (ExV), defined as the deviation between short-term (21-day) and long-term (200-day) moving averages of trading volume.Using cross-sectional regression analysis with CAPM-adjusted abnormal returns, the study tests two hypotheses: (1) high excess volume during positive return months predicts negative future abnormal returns, and (2) high excess volume during …
The Impact Of Underwriters On Ipo Underpricing: The Moderating Role Of Auditor, Nontapat Poonsinwiwat
The Impact Of Underwriters On Ipo Underpricing: The Moderating Role Of Auditor, Nontapat Poonsinwiwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the impact of underwriter reputation on IPO underpricing and the moderating role of Big-4 auditors in Thailand's capital markets. Using a comprehensive dataset of IPO firms listed on both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from 2018 to 2024, this research investigates whether certification mechanisms operate differently across market segments with varying information asymmetry levels. The analysis employs multiple linear regression with robust standard errors and fixed effects models to test two main hypotheses examining underwriter reputation effects and Big-4 auditor moderation. The findings reveal dramatically different certification dynamics across …
The Evolution Of Monetary Policy Transmission In Defi Market, Lynn Ko Maung
The Evolution Of Monetary Policy Transmission In Defi Market, Lynn Ko Maung
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates how U.S. monetary policy affects decentralized finance (DeFi), focusing on capital flows and interest rate sensitivity across over 500 DeFi pools from 2022 to 2024. Using three models: (1) static TVL regression, (2) rolling DeFi deposit beta, and (3) rolling DeFi interest beta, the analysis captures both cross-sectional and time-varying monetary transmission effects. Model 1 shows that DeFi deposits decline in response to rising interest rates. Model 2 confirms that DeFi deposit betas are weakly negative overall, with stablecoin pools exhibiting stronger sensitivity. Model 3 finds limited responsiveness in DeFi lending rates, suggesting that APYs are primarily …
Performance Of Lottery Stocks Held By Thai Mutual Funds, Suparerk Saardeiam
Performance Of Lottery Stocks Held By Thai Mutual Funds, Suparerk Saardeiam
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper evaluates the performance of lottery stocks held by Thai mutual funds using stock price data of all stocks (both SET and MAI) and actively managed Thai open-ended domestic equity fund holdings from 2014 to 2023. The first objective is to examine whether any Thai mutual funds hold lottery stocks, and if such holdings generate positive raw returns or alphas based on the Fama-French 4-factor model. The second objective is to test the predictive power of lottery stocks held by Thai mutual funds using simplified version of cross-sectional Fama-Macbeth regression. The last objective is to examine whether long-short portfolios—long …
The Impact Of Corporate Strategic Aggression On Esg Scores: The Moderating Role Of Institutional Investors, Kittiphat Petchpradub
The Impact Of Corporate Strategic Aggression On Esg Scores: The Moderating Role Of Institutional Investors, Kittiphat Petchpradub
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the relationship between corporate strategic aggression and Environmental, Social, and Governance (ESG) scores, with particular focus on the moderating role of institutional investors. Using a comprehensive dataset of NASDAQ-listed companies from 2018 to 2023, this research investigates whether firms pursuing more aggressive strategies demonstrate superior ESG outcomes and how institutional ownership influences this relationship.The analysis employs a panel regression model with firm and year fixed effects to test three main hypotheses. First, I examine whether corporate strategic aggression positively affects ESG scores. Second, I investigate potential non-linear relationships where excessive strategic aggression may lead to diminishing returns …
Can Thai Mutual Fund Investors Benefit From Volatility Managed? Evident From Thailand, Nattapong Shutimayotingul
Can Thai Mutual Fund Investors Benefit From Volatility Managed? Evident From Thailand, Nattapong Shutimayotingul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines whether Thai mutual fund investors can benefit from volatility-managed strategies using Thai open-ended domestic equity funds from January 2005 to December 2024. The study investigates whether volatility-managed strategies improve risk-adjusted returns across both active and passive funds, examines the performance drivers through volatility timing and return timing analysis, and analyzes whether investors implement these strategies in practice through fund flow behavior.The results show that volatility-managed strategies improve risk-adjusted performance and survive transaction costs but only work effectively during specific market conditions. Thai mutual fund investors demonstrate awareness of volatility timing benefits, as evidenced by reducing fund positions …
The Impact Of Environmental Performance On The Green Bond Premium In U.S.: Moderating Roles Of Social And Governance Performance, Teerapat Thuwanuti
The Impact Of Environmental Performance On The Green Bond Premium In U.S.: Moderating Roles Of Social And Governance Performance, Teerapat Thuwanuti
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the existence of the Green Bond Premium in the U.S. secondary corporate bond market and investigates the impact of a firm’s environmental performance on the green premium. It further analyzes the moderating effects of social and governance performance on the relationship between environmental performance and the green bond premium.The analysis uses a sample of 66 matched pairs of green and conventional corporate bonds, matched through Propensity Score Matching (PSM) to ensure comparability across key bond characteristics. Key variables are obtained from Bloomberg for the period 2019 to 2024.The results confirm the existence of a modest green bond …
Performance Comparison Of Modern And Traditional Machine Learning Approaches For Unsecured Retail Credit Risk Prediction, Anupong Guersanor
Performance Comparison Of Modern And Traditional Machine Learning Approaches For Unsecured Retail Credit Risk Prediction, Anupong Guersanor
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates performance comparison between modern and traditional machine learning approaches for unsecured retail credit risk prediction. Performance is compared by assessing the ability of a model to rank probability of default of modern approaches which are random forest and gradient boosting, versus traditional approach which is logistic regression. The findings indicate that modern machine learning models significantly outperform the traditional logistic regression model in both the overall unsecured retail market and the subprime market. This superior performance is likely due to modern models' ability to capture various customer profile, non-linear relationships and interactions among variables, which are more …
Are Healthcare Stocks A Safe Haven During Covid-19? : An Analysis Of Stock Return And Sector Segmentation Across Developed And Emerging Markets, Attani Tuwatchai
Are Healthcare Stocks A Safe Haven During Covid-19? : An Analysis Of Stock Return And Sector Segmentation Across Developed And Emerging Markets, Attani Tuwatchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines whether the healthcare sector functioned as a safe haven during the COVID-19 pandemic by analyzing its time-varying correlation with major market indices across developed and emerging economies. Utilizing a multi-method approach—centered on the DCC-GARCH model and supported by OLS regression—the research investigates how health crises and public policy responses influenced sector-level market dynamics. The analysis focuses on three main areas: the evolution of correlation structures before and during the pandemic, the influence of pandemic-related factors on correlation strength, and differences between developed and emerging markets. Although a Probit model was initially applied to estimate the likelihood of …
The Effect Of Financial Flexibility On The Leverage-Performance Relationship In The Set Market For The Pre-To-Post Covid-19 Situation, Akesuwat Sanjaingamworapat
The Effect Of Financial Flexibility On The Leverage-Performance Relationship In The Set Market For The Pre-To-Post Covid-19 Situation, Akesuwat Sanjaingamworapat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the effect of financial flexibility on the relationship between leverage and firm performance across three distinct economic phases—pre-COVID-19, pandemic, and post-pandemic recovery—in the Thai stock market (SET). Using panel data from SET-listed firms between Q1’2018 and Q4’2023, The analysis employs the fixed-effects and random-effects regression models with interaction terms to capture the dynamic role of financial flexibility and economic context. The findings confirm that leverage exerts a significantly negative effect on firm performance, particularly during the pandemic period, as measured by return on equity (ROE) and return on assets (ROA). However, this adverse impact is found to …
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 …
The Magnet Effect Of Circuit Breakers And Its Interaction With Price Limit On Thai Stock Market, Arthinsha Shinvoranont
The Magnet Effect Of Circuit Breakers And Its Interaction With Price Limit On Thai Stock Market, Arthinsha Shinvoranont
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the magnet effect of circuit breakers and their interaction with daily price limits in the Thai stock market during the COVID-19 crisis. Using high-frequency intraday data from March 2020 and an AR(2)-GARCH(1,1) framework, the analysis examines whether returns and trading activity accelerate near circuit breaker thresholds and how firm characteristics influence this effect. Results reveal significant magnet effects at the individual stock level, especially among smaller firms, while evidence at the index level is weak. The study also finds that circuit breakers and price limits reinforce each other, amplifying price movements when both thresholds are approached. These …
Impact Of The Gold-To-Platinum Price Ratio On Mutual Fund Flows In Thailand, Luxamee Choktarm
Impact Of The Gold-To-Platinum Price Ratio On Mutual Fund Flows In Thailand, Luxamee Choktarm
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study explores whether the gold-to-platinum price ratio can explain mutual fund flows in Thailand by focusing on two key indicators: the abnormal GP ratio (AGP) and the fund sensitivity to monthly changes in GP (β∆GP). These measures are used to assess whether investors perceive the GP ratio as a proxy for economic uncertainty. The analysis uses monthly data from January 2017 to December 2023, covering both active equity funds and corporate bond funds. The models include fund level characteristics such as size, expense ratio, age, past flows, and return volatility, along with macroeconomic variables including inflation, exchange rates, interest …
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 …