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Full-Text Articles in Finance and Financial Management
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 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 …
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. …
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) …
An Analysis Of Momentum Strategy’S Failure In Stock Exchange Of Thailand, Intha Thithapand
An Analysis Of Momentum Strategy’S Failure In Stock Exchange Of Thailand, Intha Thithapand
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the negative return characteristic of momentum strategy, also known as momentum crashes, in Stock Exchange of Thailand from January 2001 to December 2018. This study aims to answer one main question. Do momentum crashes exist in Stock Exchange of Thailand? The result show that momentum crashes do exist in Stock Exchange of Thailand, where momentum portfolio perform poorly during panic state, defined by period that market rebound from its decline with high volatility. This poor performance is mainly driven by the option-like payoff characteristic of momentum portfolio, where the portfolio behave itself as a short call option, …
The Effect Of Control-Ownership Disparity On Earnings Management: Evidence From Korean Large Business Groups, Jaehyeok Kim
The Effect Of Control-Ownership Disparity On Earnings Management: Evidence From Korean Large Business Groups, Jaehyeok Kim
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines the difference in the use of earnings management at family-controlled firms belonging to Korean large business groups (chaebol) versus non-chaebol firms belonging to Korean large business groups from 2002 to 2016. Firms belonging to large business groups are subject to similar regulations by authorities. This study also tests whether a divergence between voting rights and cash flow rights affects earnings management by controlling shareholders. This study examines both accrual-based earnings management (AEM) and real-activities earnings management (REM), using two measures of accrual-based earnings management and three measures of real-activities earnings management. This study finds that chaebol firms …
The Effect Of U.S. Presidential Elections On Stock Market Liquidity In Emerging Economies, Phatarakorn Thongsathit
The Effect Of U.S. Presidential Elections On Stock Market Liquidity In Emerging Economies, Phatarakorn Thongsathit
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines the effect of uncertainties that arises from U.S. presidential elections on emerging stock market liquidity over five period of elections from 2000 to 2016. The U.S. presidential elections created two uncertainties, which are political uncertainty and election uncertainty, before the election day. It is argued that the political uncertainty affects the emerging stock market liquidity through the change in future macroeconomic fundamentals while the election uncertainty is an uncertainty about the eventual winner of the election that affects the emerging stock market liquidity through market sentiment. Using monthly Iowa Electronic Markets data, this paper finds the evidence …
A Neural Network-Based Method For Solving A Dynamic Investment And Consumption Problem With Transaction Costs And Stochastic Volatility, Kittipong Noonoi
A Neural Network-Based Method For Solving A Dynamic Investment And Consumption Problem With Transaction Costs And Stochastic Volatility, Kittipong Noonoi
Chulalongkorn University Theses and Dissertations (Chula ETD)
Optimal investment and consumption problem with proportional transaction costs known as Davis \& Norman problem is a challenging portfolio free-boundary problem to solve. According to the HJB equation, see Davis and Norman (1990), there are three optimal regions i.e. no-trade region, buy region, and sell region in which different actions are prescribed. However, the two boundaries separating the three regions are unknown and it is crucial to discover them in order to obtain the optimal policy. Nonetheless, under a special class of model in which the excess return of stock is assumed to be positively linear in variance reflecting the …
A Reinforcement Learning Model For Lending Problems With Limited Budget And Insufficient Data, Radaporn Autravisittikul
A Reinforcement Learning Model For Lending Problems With Limited Budget And Insufficient Data, Radaporn Autravisittikul
Chulalongkorn University Theses and Dissertations (Chula ETD)
Traditional lending policy requires sufficient data for making lending decisions, therefore, some small companies could not access to the fund. In this study, we propose a decision making model that can decide whether to accept or reject a sequence of unfamiliar loan applications while having a limited budget. Our model does not have any knowledge about the incoming loans, therefore, it can predict the default probability with low accuracy at the beginning. The model can learn by observing the outcomes of the accepted loans. The model's budget increases every time the model accepts a fully paid loan and decreases when …
การควบคุมราคาหุ้นก่อนถึงวันหมดอายุหุ้นใบสำคัญแสดงสิทธิ; หลักฐานจากตลาดหลักทรัพย์ไทย, วัฒนพาศน์ รุ่งจรูญ
การควบคุมราคาหุ้นก่อนถึงวันหมดอายุหุ้นใบสำคัญแสดงสิทธิ; หลักฐานจากตลาดหลักทรัพย์ไทย, วัฒนพาศน์ รุ่งจรูญ
Chulalongkorn University Theses and Dissertations (Chula ETD)
การแทรกแซงของ บริษัท ในตลาดหุ้นเกิดขึ้นทั่วโลกผ่านการเปิดเผยข้อมูลการดำเนินงานด้านบัญชีและการเงินที่ใช้ประโยชน์จากความไร้ประสิทธิภาพของตลาดที่มีอยู่ มันเกิดจากความไม่สมดุลของข้อมูลที่ยังคงมีอยู่ระหว่างฝ่ายต่าง ๆ มักจะทำให้เกิดการสูญเสียที่หลีกเลี่ยงไม่ได้กับนักลงทุน การวิจัยนี้ตรวจสอบผ่านเครื่องมือทางการเงินที่ช่วยให้เกิดความกระจ่างว่าการจัดการราคาของ บริษัท ดำเนินการอย่างไรในตลาดหุ้นไทยโดยเฉพาะก่อนวันใช้สิทธิ การผันผวนของราคาหุ้นก่อนวันหมดอายุของใบสำคัญแสดงสิทธิจะถูกตรวจสอบเพื่อกำหนดลักษณะการปรับราคาและระดับความอ่อนไหว ผลแสดงให้เห็นว่าผลตอบแทนที่ผิดปกติเชิงลบเกิดขึ้นในช่วงเวลา [42, 84] วันก่อนที่ใบสำคัญแสดงสิทธิ ITM จะหมดอายุ ตัวแปรขององค์กรพิสูจน์แล้วว่ามีผลกระทบต่อระดับความอ่อนไหวของการเคลื่อนไหวในราคาหุ้นซึ่งเป็นผลมาจาก บริษัท มีอัตราส่วน D/E สูง CGR และ MCAP แสดงให้เห็นถึงความต้านทานต่อการเคลื่อนไหวของราคาหุ้นติดลบ การปรับราคามีความเป็นไปได้ที่จะได้รับผลกำไรจากการเคลื่อนไหวของราคาหุ้น อย่างไรก็ตามทางงานวิจัยจำเป็นต้องมีข้อมูลเพิ่มเติมเกี่ยวกับวิธีการดำเนินการจัดการเพื่อยืนยันทฤษฎีนี้ ผู้ลงทุนควรตระหนักถึงความเสี่ยงและหลีกเลี่ยงการซื้อขายในทางตรงกันข้ามของทิศทางของการเคลื่อนไหวในราคาหุ้นในช่วงเวลาที่ใบสำคัญแสดงสิทธิใกล้วันหมดอายุ
Heterogeneity In Reactions To Monetary Policy Of Thai Stock Returns, Siraphop Swingthong
Heterogeneity In Reactions To Monetary Policy Of Thai Stock Returns, Siraphop Swingthong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper investigates the effect of Thailand and U.S. monetary policy shock on stock market in Thailand for three level; market, industries and firm level from June 2000 to December 2018. In addition, this paper studies which firm characteristic cause the heterogeneity effect of stock and industry return on monetary policy innovation. Structural Vector Error Correction model follows Kim & Roubini (1999) and Ivrendi & Gulogu (2010) is applied to identify monetary policy shock.This paper finds that SET index return is statistically decrease 1.12 percentage point, on average in reaction to one standard deviation of unexpected increase in Thailand monetary …
InvestorS Hindsight Effect And True Timing Ability Of Tax Saving Mutual Funds, Krittapon Chaleoykitti
InvestorS Hindsight Effect And True Timing Ability Of Tax Saving Mutual Funds, Krittapon Chaleoykitti
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper analyze the cash flow timing ability of mutual fund investors both non-tax-saving and tax-saving funds which have constraints such as lock-up period to block investor's ability to make cash flow timing, after controlling for the hindsight effect. We analyze the sample of Thai mutual funds in the period of 2006-2017.
We find that investors have bad timing ability and make return underperformance. The tax-saving funds that have investment constraints to block investor's timing ability have better timing ability and tends to have smart money effect and make return over performance. In addition, volatility affect investors to increase the …
Regulatory Change And Corporate Acquisitions, Arya Rishi
Regulatory Change And Corporate Acquisitions, Arya Rishi
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis investigates the impact on foreign investment activities of the equity market liberalization introduced in response to the 1997 crisis, which primarily involves the relaxation of the foreign ownership restrictions as well as improvements in corporate governance practices. These regulatory changes, which occurred in Indonesia, the Philippines, Malaysia, and Thailand, should have resulted in a lower amount of frictions in the capital market. With this lowering of frictions, we should observe higher gains from cross-border corporate acquisitions in addition to a higher volume of cross-border acquisitions. When I use combined announcement excess returns to measure acquisition gains, I find …
Volume Components And Return Predictability In Abnormal Trading Events, Jetarin Charoenpornpoj
Volume Components And Return Predictability In Abnormal Trading Events, Jetarin Charoenpornpoj
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper examines return predictability of three types of trading volumes include total volumes, buy volumes and sell volumes in Thailand's stock market between 2012 to 2018. To measure predictability ability, we sort securities into group base on the level of trading volumes and type of volumes. We test and confirm that buy volumes and sell volumes can predict return one day after the abnormal trading event. Abnormal high buy volumes can predict positive next day return of that security while abnormal high sell volumes can predict negative next day return. In addition, we test and found that positive return …
Why Stock Distribution Announcement Causes Abnormal Return, Napas Chailapakul
Why Stock Distribution Announcement Causes Abnormal Return, Napas Chailapakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigated empirically why stock distribution announcement causes abnormal return. For stock split companies, the evidences support that liquidity improvement could be the first possible reason of occurrence of abnormal return during announcement date. The main groups of investors who increase their trading activity are retail and foreign investors. This study also presents another reason that is the occurrence of abnormal return during effective date. It is possible that this abnormal return comes from the increasing of buying demand flow during effective date. However, this study does not discover the evidence which support those two reasons in stock dividend …
Essay On The Stickiness Of Selling, General, And Administrative Cost, Phattraphol Anekpong
Essay On The Stickiness Of Selling, General, And Administrative Cost, Phattraphol Anekpong
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper provided evidences that costs management is affected by many factors and investors can use this knowledge to analyze the firm's cost management practices. Selling, General, and Administrative Costs (SG&A) appears to be sticky and showed that costs management is asymmetric. The cost stickiness occurs when the SG&A costs decrease by smaller percentage with revenue decrease compare to SG&A costs increase with revenue increase. This paper explored various factors that might have influence on the stickiness of SG&A costs using linear regression. Factors such as managerial ownership and ownership concentration are found to decrease cost stickiness in different periods. …
The Effects Of Increased Transparency On Market Liquidity : Empirical Evidence From Thai Bond Market, Tanamard Patana-Anek
The Effects Of Increased Transparency On Market Liquidity : Empirical Evidence From Thai Bond Market, Tanamard Patana-Anek
Chulalongkorn University Theses and Dissertations (Chula ETD)
To increase transparency, Thai Bond Market Association (ThaiBMA) issues the notification of disclosure of transaction information and control for post-trade deferred publication. Dealers are required to report all required trading information to ThaiBMA within 30 minutes after execution for public dissemination. The rules are issued for improved the market efficiency and increased customer activity. Moreover, ThaiBMA issues the penalty for Late Transaction to punish dealer. However, increasing transparency leads to an improvement on market liquidity. This paper examines the effect of post-trade transparency on market liquidity in the Thai bond market, measured by bid-offer quoted in terms of their yield …
Mergers And Acquistion : The Effect Of Announcement Date On Abmormal Return In Asia, Theedanai Snguanwongchai
Mergers And Acquistion : The Effect Of Announcement Date On Abmormal Return In Asia, Theedanai Snguanwongchai
Chulalongkorn University Theses and Dissertations (Chula ETD)
Merger and acquisition (M&A) is an ideal option to reduce business's risk of investment, gain stronger market penetration and wealth maximization. In this study, event study was performed to see the effect of abnormal return from M&A on Asian countries, including Indonesia, Thailand, Malaysia, Hong Kong and Singapore with sampling period between 2010 to 2017. From the result of the test, it was found that M&A creates positive value for acquirer firms in Asia. The semi strong form of Efficient Market Hypothesis (EMH) was examined by looking at the leakage of information prior to the announcement and market's reaction after …
Mutual Fund Performance And Persistence Evaluationevidence From Thai Local And Foreign Luxembourg Ucits, Bruno Fourquin
Mutual Fund Performance And Persistence Evaluationevidence From Thai Local And Foreign Luxembourg Ucits, Bruno Fourquin
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper aims to compare the performance and persistence of equity Mutual Funds between Luxembourg equity UCITS (Undertakings for Collective Investment in Transferable Securities) and Thai equity Funds that are investing a minimum of 90% of their total portfolio in Thai equity market during a 5 years period (May 2013- April 2018). The tests are conducted via (i) static or unconditional measures including the Sharpe, Treynor, Jensen ratios; (ii) dynamic or conditional measures using Treynor-Mazuy, K. Shukla and Gregory B. van Inwegen indicators; (iii) control - robustness measures with Brown and Goetzmann, Murthi et al. performance persistence indices. The paper …
Factors Affecting Debt Decisions: Syndicated Loans Vs. Corporate Bonds, Theerut Winaikosol
Factors Affecting Debt Decisions: Syndicated Loans Vs. Corporate Bonds, Theerut Winaikosol
Chulalongkorn University Theses and Dissertations (Chula ETD)
Following the recent developments and expansions in syndicated loans market, syndicate loans are currently accounted for around one-third of borrowers' total public debt and equity financing. It is one of the main alternative debt instruments for corporations. Syndicated loans are bank loans by their settings but also have many of the corporate bonds' characteristics. These characteristics have made syndicated loans hybrid debt instruments which combining features of both bank loans and bonds. This study investigates the financial factors behind syndicated loans issuance for a comprehensive sample from 2000 to 2016 of United States non-financial companies which are listed in New …
Modeling Financial Distress Of Smes In Thailand For Comparative Analysis Of Normal And Recession Periods, Chayanisa Sanehluxana
Modeling Financial Distress Of Smes In Thailand For Comparative Analysis Of Normal And Recession Periods, Chayanisa Sanehluxana
Chulalongkorn University Theses and Dissertations (Chula ETD)
Small and medium-sized enterprises (SMEs) are often viewed as backbone of countries' economy since they play a crucial role in countries' employment and growth. Credit risk analysis for SMEs has become an important task to perform since the lack of understanding and developing an effective tool to forecast the distress and default risk may lead to huge losses and affect the whole economy of a country. Therefore, this paper aims to develop the models that can predict for the probability of financial distress for SMEs in Thailand by employing both Logistic Regression Analysis (Logit) and Cox's Proportional Hazard model. Moreover, …
Political Connection And Firm Performance: Evidence From Chinese State-Owned Companies, Chenyu Fang
Political Connection And Firm Performance: Evidence From Chinese State-Owned Companies, Chenyu Fang
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper uses the multiple regression to research the political connection effect in the state-owned enterprise. It has been found that the political connection can significantly enhance state-owned enterprises' performance. Moreover, the same administration level between state-owned enterprises' actual controller and CEO/Chairman would enhance ROA and ROE. Additionally, as the proportion of political connection members increases, the ROA will be promoted. The political connection has same impact on the industries with more governmental control and the industries with less governmental control. The "city administration level" shows negative record in the stock market. Furthermore, this paper adopts the Probit Model to …
Effect Of Exchange Rate Volatility On Currency Carry Trade And Risk Factor Compensation Of Currency Carry Trade In G10 And Emerging Market, Jirapaiboon Rattanapanurak
Effect Of Exchange Rate Volatility On Currency Carry Trade And Risk Factor Compensation Of Currency Carry Trade In G10 And Emerging Market, Jirapaiboon Rattanapanurak
Chulalongkorn University Theses and Dissertations (Chula ETD)
Currency carry trade is one of famous currency speculation strategies through latest decade. Return of this strategy comes from the difference of interest rate between countries. In theoretical world, FAMA uncovered interest rate parity (UIP) assumes change in spot exchange rate is going to offset the difference of interest rate. Therefore, the first objective of this paper is to test violation of UIP which implies possibility to do currency carry trade. Secondly, moving on to determine the relationship between currency carry trade return and exchange rate volatility in some difference aspects because there are evidences about negative relationship between currency …
A Lead-Lag Relationship Between Price Premium And Nav In Property Fund And Reit, Nithikorn Piskanok
A Lead-Lag Relationship Between Price Premium And Nav In Property Fund And Reit, Nithikorn Piskanok
Chulalongkorn University Theses and Dissertations (Chula ETD)
Property fund and real estate investment trust (REIT) play an important role in asset allocation since it increases risk-adjusted return and diversifies portfolio risk. However, in stock market, price of property fund and REIT is deviated from its fundamental value or net asset value (NAV) causing price premium or discount. Understanding causes of price deviation helps investor to plan for investment strategy and generates more profit. Therefore, this paper aims to study the role of price premium in forecasting future performance of property fund and REIT by using vector autoregressive analysis (VAR). Moreover, we examine causes of price premium by …