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Determinants Of Asset Growth Premium: Evidence From Thailand, Ramita Raksakunpanich
Determinants Of Asset Growth Premium: Evidence From Thailand, Ramita Raksakunpanich
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the asset growth anomaly in the Thai stock market, examining whether new factor constructed from decomposed asset components offers superior explanatory power for stock returns compared to the original aggregate asset growth factor. The research analyzes key components of total assets, including both sides of the balance sheet covering investing and financing activities. Our findings reveal that all the new factors constructing based on each component of asset is spanned by all the Fama-French factor. The overall explanatory power of total asset growth is superior. This suggests that total asset growth is the best predictor of investment …
Household Debt On Retirement Preparedness For Thai Population, Sutudta Phainoun
Household Debt On Retirement Preparedness For Thai Population, Sutudta Phainoun
Chulalongkorn University Theses and Dissertations (Chula ETD)
Thailand household debt problem are key barriers to retirees achieving financial freedom. This study aims to access the relationship between mortgage debt, credit card debt and education debts with the retirement preparedness of working-age population aged 30-60 years old in Thailand by utilizing multiple linear regression analysis. The findings revealed that Thai populations are at a moderate level of retirement preparedness. The private sector is particularly concerned about the lack of savings for later life. Moreover, not all kinds of debts are bad debt, mortgage debt could fall into the category of good debt since it may be tax-deductible, credit …
The Impact Of Financial Advisor Reputation On Ipo Underpricing: Evidence From Thailand, Suparat Kongsompot
The Impact Of Financial Advisor Reputation On Ipo Underpricing: Evidence From Thailand, Suparat Kongsompot
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study explores the role of financial advisors (FAs) in the initial public offering (IPO) process, particularly focusing on how their involvement affects IPO underpricing. IPO underpricing, a well-documented phenomenon where shares are priced below their market value on the first trading day, has been extensively studied, often with an emphasis on the role of underwriters (UWs). However, this research addresses the gap in literature regarding the distinct contributions of FAs, who are crucial yet often conflated with UWs. Drawing on the context of Thailand, where regulatory requirements mandate the involvement of FAs separate from UWs, this study investigates the …
Investor Sentiment Influence On The Preference For Lottery-Like Stocks Among Thai Mutual Fund, Pichayapong Srisawad
Investor Sentiment Influence On The Preference For Lottery-Like Stocks Among Thai Mutual Fund, Pichayapong Srisawad
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the preferences of Thai mutual funds for lottery-like stocks, characterized by stock skewness. Given that market sentiment fluctuates over time, the study also explores how the preferences of Thai mutual funds for lottery-like stocks vary with market sentiment. The research aims to understand if holding these stocks can generate significant excess returns and to evaluate the impact of fund size and age on these investment preferences during different market sentiment periods. By analyzing data from the first quarter of 2020 to the third quarter of 2023, this study provides a comprehensive view of the strategic decisions made …
Impact Of Morningstar Sustainability Rating On Mutual Fund Flow: Evidence From Thailand, Jiratchaya Thamhaisuk
Impact Of Morningstar Sustainability Rating On Mutual Fund Flow: Evidence From Thailand, Jiratchaya Thamhaisuk
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the impact of Morningstar Sustainability Ratings on Thai mutual fund flows, focusing on three aspects: the impact of the ratings' introduction, the differential effects of varying ESG ratings, and the influence of ESG ratings during the COVID-19 pandemic. The analysis encompasses various methodological approaches, including event studies, propensity score matching, cross-sectional, and panel regression analyses, to provide comprehensive insights into investor behavior to Morningstar Sustainability Ratings. Globally, sustainability ratings have a significant impact on mutual fund flows. This study finds that there is a strong initial impact following the publication of the Morningstar Sustainability Ratings, particularly for …
The Influence Of Interest Rates On Small And Medium Enterprises In Thailand, Minthra Srimanchanda
The Influence Of Interest Rates On Small And Medium Enterprises In Thailand, Minthra Srimanchanda
Chulalongkorn University Theses and Dissertations (Chula ETD)
Small and medium-sized enterprises (SMEs) are crucial to economic development, significantly contributing to employment and economic activities in Thailand. However, despite their importance, SMEs often face financial challenges that can hinder their operations and growth prospects. This research investigates the determinants of non-performing loans (NPLs) of SMEs in Thailand, with a particular focus on the impact of interest rates and other macroeconomic indicators such as GDP growth, unemployment rates. The study employs three Ordinary Least Squares (OLS) models to analyze the relationship between these variables and NPLs. The findings reveal that higher GDP growth significantly reduces NPLs, suggesting that economic …
Corruption And Informal Economies In Asia, Min Thiha
Corruption And Informal Economies In Asia, Min Thiha
Chulalongkorn University Theses and Dissertations (Chula ETD)
This thesis explores the dynamic interaction between corruption, the informal economy, and the political and economic institutional qualities in 39 Asian countries from 2001 to 2021, using 819 observations and fixed-effect estimation method. The findings indicate that corruption significantly enlarges the shadow economy, supporting the notion that corruption can facilitate business operations in heavily regulated environments. Conversely, higher economic freedom and democratic governance are linked to smaller shadow economies, underscoring the importance of transparent and accountable institutions. Additionally, higher tax burdens and rapid GDP growth are associated with larger informal sectors, while increased FDI inflows and population growth tend to …
Relationship Between Institutional Ownership And Stock Returns: Evidence From Thailand, Warit Chitpaiboon
Relationship Between Institutional Ownership And Stock Returns: Evidence From Thailand, Warit Chitpaiboon
Chulalongkorn University Theses and Dissertations (Chula ETD)
Institutional investors play a crucial role in financial markets. Understanding how their ownership affects stock returns can provide valuable insights for both institutional investors and individual investors in making informed investment decisions. In financial markets, the relationship between institutional ownership and stock returns has been a subject of extensive debate. Institutional investors, including mutual funds, pension funds, and hedge funds, wield significant influence over equity markets due to their holdings' sheer magnitude and ability to execute large-scale trades. Understanding how their investment decisions impact stock returns is not only crucial for investors seeking to optimize their portfolios but also for …
Fund Characteristics Immunity To Covid-19 Pandemic: Evidence From Thailand, Primporn Thanomsakul
Fund Characteristics Immunity To Covid-19 Pandemic: Evidence From Thailand, Primporn Thanomsakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research investigates the relationship between COVID-19 growth rates and the performance of Thai equity funds during the pandemic. Focusing on weeks with substantial increases in COVID-19 cases, we hypothesize that negative returns primarily originate from these weeks. We acknowledge the pandemic's impact as a black swan event, instilling fear and uncertainty, and its demonstrated negative effect on fund returns. Moreover, our research aims to identify the fund characteristics that have provided resilience and immunity to the negative effects of the crisis. Using a panel data regression with a fixed effect model, we analyze various fund characteristics and their impact …
The Impact Of Perceived Corruption Levels In Public Sector On Stock Market Development, Chotiwat Kumhang
The Impact Of Perceived Corruption Levels In Public Sector On Stock Market Development, Chotiwat Kumhang
Chulalongkorn University Theses and Dissertations (Chula ETD)
Most of the empirical studies that analyze the impact of corruption on the economy suggest that corruption is a serious obstacle against economic growth. However, it is ambiguous whether corruption has negative effect on the financial sector, especially stock market development. Thus, the first objective of this paper is to reexamine the relationship between corruption and stock market development. Furthermore, several previous literatures argue that democracy potentially mitigates the negative effect of corruption on economic growth. By this argument, the second goal of this paper is to investigate whether democracy has influence on mitigating the negative impact of corruption from …
Trade Credit With Firms' Life Cycle: Evidence From Stock Exchange Of Thailand (Set), Chaiwat Sae-Low
Trade Credit With Firms' Life Cycle: Evidence From Stock Exchange Of Thailand (Set), Chaiwat Sae-Low
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines how firms’ life cycle affects Trade credit including the recession period by using evidence from Stock Exchange Thailand (SET). The study has been performed during 2000 – 2020 with 253 listed firms. Regarding results, it suggested that the firm life cycle has a significant impact on AR and AP days, except for AP’s growth. During the recession period, AP days for the introduction and mature stage have no positive impact. The empirical also finds there are no significant levels for the introduction and mature stage of AR and AP days, which have a high level of market …
How Flash Manufacturing Pmi Is Affecting The U.S. Stock Market. An Empirical Study, Thurein Htet Myat
How Flash Manufacturing Pmi Is Affecting The U.S. Stock Market. An Empirical Study, Thurein Htet Myat
Chulalongkorn University Theses and Dissertations (Chula ETD)
This paper presents a comprehensive analysis of the relationship between the US Flash Manufacturing PMI news releases, returns, and volatilities of Russell 1000 and 2000 indexes. Using an autoregressive (AR) and generalized autoregressive conditional heteroskedasticity (GARCH) model, the study examines data from January 2015 to November 2022, encompassing both pre-pandemic, pandemic, and post-pandemic periods. The statistical analysis indicates that these news releases do not significantly influence stock returns, supporting the efficient market hypothesis. Various factors, including measurement errors and the unique circumstances of the Covid-19 pandemic, likely overshadowed the impact of PMI news releases. Additionally, the analysis finds no significant …
A Study Of Potential Factor Investing Strategy From Esg Score And Intangible Capital In Thailand, Issaraphorn Voratavornviwat
A Study Of Potential Factor Investing Strategy From Esg Score And Intangible Capital In Thailand, Issaraphorn Voratavornviwat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The independent_study aimed to examine the relationship between Environmental, Social, and Governance (ESG) scores and Intangible Capital Ratio (ICR) and their implications for buy-and-hold returns (BHR) and stock performance among Thai listed companies. The study focuses on firms listed on the Stock Exchange of Thailand (SET) with available ESG scores, covering the period from 2018 to 2022 (169 companies). The finding for the first objective found that an increase in the ESG score leads to a rise in the ICR, these findings highlight the importance of ESG scores and company size & high BTM in determining a firm’s ICR. However, …
Effect Of Joining Paris Agreement To Green Bond Premium In Us Market, Onjira Sukijjakamin
Effect Of Joining Paris Agreement To Green Bond Premium In Us Market, Onjira Sukijjakamin
Chulalongkorn University Theses and Dissertations (Chula ETD)
The paper investigates whether green bonds are priced at a premium compared to conventional bonds by analyzing the yield spread between green bonds and comparable conventional bonds (where a negative yield spread indicates a premium). The study also examines the factors influencing the yield difference including the effect of participating in Paris Agreement to the green bond premium. Initially, the paper expected to find a negative green bond premium, indicating that green bonds have lower yields than comparable conventional bonds, as investors are willing to accept lower yields for the ESG benefits associated with green projects. However, the paper obtained …
Is Greener Really Better? Stock Market Reaction To Green Bond Announcements, Evidence From Europe, Niya Somkerd
Is Greener Really Better? Stock Market Reaction To Green Bond Announcements, Evidence From Europe, Niya Somkerd
Chulalongkorn University Theses and Dissertations (Chula ETD)
Employing an event-study approach, we examine how the stock market responded to the offering of green bonds by non-financial companies listed on the European stock market from January 2013 to September 2022. We observed a drop, on average about 0.28%, in the company stock prices on the day they announced these offerings and the day after. Moreover, we found that investors react in the same manner for green bond announcements as for conventional bond announcements. We also studied if the Gavriilidis (2021)'s climate policy uncertainty index has any relationship with the market reactions. Our findings suggest that the index is …
Post-Earnings Announcement Drift In Thai Reits - A Take From The Recent Pandemic, Chawan Ratapana
Post-Earnings Announcement Drift In Thai Reits - A Take From The Recent Pandemic, Chawan Ratapana
Chulalongkorn University Theses and Dissertations (Chula ETD)
The research explores the information content of earnings announcements in REITs operating in a market with less stable rental incomes. By examining the presence of Post-Earnings-Announcement Drift (PEAD) in Thai REITs, this study contributes to existing literature and investigates changes in market efficiency for REITs during the COVID-19 pandemic. Using the Earnings Announcement Returns (EAR) method, the study analyzes abnormal returns through visual analysis and a trust/firm-level regression framework. Findings indicate a PEAD effect as the baseline for abnormal returns in the local market, suggesting potential market inefficiencies. However, most variables in regression analysis do not significantly address the research …
The Effect Of Capital Ratio On Risk, Efficiency And Profitability Of Insurance Companies: Evidence From Singapore And Thailand, Supanuch Limvisitsakul
The Effect Of Capital Ratio On Risk, Efficiency And Profitability Of Insurance Companies: Evidence From Singapore And Thailand, Supanuch Limvisitsakul
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research study examines the importance of capital ratios in assessing the financial health of insurance companies in the context of Singapore and Thailand. The primary objective is to investigate the extent to which capital ratios provide informative insights into the risk, efficiency, and profitability of insurance companies. The study covers both life and non-life insurance companies during the period from 2017 to 2021. The findings show that higher capital ratios correspond to lower liquidity risk, improved efficiency, and increased profitability. These results emphasize the importance of maintaining adequate capital reserves to ensure financial stability and enhance operational performance in …
The Relationship Of Intangible Capital And Esg Score On Capital Structure: Evidence From Thailand, Chalita Rammavas
The Relationship Of Intangible Capital And Esg Score On Capital Structure: Evidence From Thailand, Chalita Rammavas
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study examines whether intangible capital influences capital structure which influent to cost of debt. Moreover, this study also analyzes more whether adding the effect of and ESG performance as risk reduction together with intangible capital affect to capital structure by using financial leverage and WACC cost of debt as the dependent variable and using intangible capital and ESG performance as independent variable. The empirical results of this study show intangible capital and financial leverage are not relevant under these equations. Moreover, they also have no relationship between intangible capital and cost of debt, and there is a 10% chance …
A Pair Trading Using Reinforcement Learning And Wavelet Decomposition, Panudate Nithinon
A Pair Trading Using Reinforcement Learning And Wavelet Decomposition, Panudate Nithinon
Chulalongkorn University Theses and Dissertations (Chula ETD)
In this study, we propose a trading optimization methodology for the pair trading strategy. The Johansen cointegration test and the correlation measure are used for pair selection. We apply Deep-Q-network (DQN) technique in which the trainable reinforcement learning agent is designed to directly control the trading positions. The maximum overlap discrete wavelet transformation (MODWT) algorithm is used for generating the trading signal from the spread time series. Wavelet signal preprocessing is used to extract the original time series into cyclic time series components and long-term behavior components. Based on the in-sample performance this trading model successfully solves a profit maximizing …
Corporate Diversification And Stock Risk In Thailand: Evidence From A Global Shock, Miaoqi Su
Corporate Diversification And Stock Risk In Thailand: Evidence From A Global Shock, Miaoqi Su
Chulalongkorn University Theses and Dissertations (Chula ETD)
The objective of this paper is to investigate the impact of corporate diversification on stock risk for 345 companies listed on Stock Exchange of Thailand during the sample period from 4 January 2017 to 30 December 2021 which covers both Covid and pre-Covid period. Furthermore, the differences in effect between Covid and pre-Covid period are also studied. The result shows that diversifying through only business segments and ignoring global diversification increases stock volatility. Furthermore, it also shows that diversifying through only business segments and ignoring global diversification increases stock volatility during the Covid period compared to pre-Covid period. The result …
Flow-Performance Relationship In Defi Yield Aggregator, Apisara Pornprasith
Flow-Performance Relationship In Defi Yield Aggregator, Apisara Pornprasith
Chulalongkorn University Theses and Dissertations (Chula ETD)
Decentralized Finance (DeFi) is a new financial infrastructure with applications similar to traditional financial products, such as exchange, lending, derivatives, and asset management. This paper empirically investigates Yearn finance, one of the fastest-growing and largest in DeFi yield aggregator protocols for on-chain asset management, to demonstrate the flow-performance relationship and compare it with mutual funds in traditional finance. According to the findings, there is a positive non-linear relationship between fund flows and recent performance for using stablecoin deposited. In contrast, we cannot find this relationship for using cryptocurrency. Then, we look further into stablecoin holder behaviour and our findings show …
Investor’S Sentiment And Stock Return: An Empirical Study On The Thai Stock Market, Chang Chen
Investor’S Sentiment And Stock Return: An Empirical Study On The Thai Stock Market, Chang Chen
Chulalongkorn University Theses and Dissertations (Chula ETD)
The effect of investor sentiment on stock returns is one of the most recent developments in finance. The empirical literature includes developed stock markets. However, emerging markets, notably the Thai stock market, lack study subjects. The purpose is to deeply comprehend the link between investor sentiment and Thai stock market return. The aims include customizing investor sentiment indices to explain the Thai stock market index's movement, estimating investor sentiment's predictive ability, providing stock investors with referable trading strategies, and providing suggestions for cross-section equity selection. This study initially employs Principal Component Analysis (PCA) to customize the composite indices, called the …
The Analysis Of Enhanced Momentum Strategies In The Stock Exchange Of Thailand, Chayakon Kamolsawat
The Analysis Of Enhanced Momentum Strategies In The Stock Exchange Of Thailand, Chayakon Kamolsawat
Chulalongkorn University Theses and Dissertations (Chula ETD)
The purpose of this study is to investigate the effectiveness of momentum strategies in investment portfolios, a well-known anomaly in the efficient market hypothesis, by portfolio are constructed by long winners and short losers. Specifically, the study focuses on the use of volatility to enhance momentum strategies in the Stock Exchange of Thailand from January 2013 to December 2022. The enhanced momentum strategies under investigation vary the portfolio weight with volatility and can be classified into constant volatility-scaled, constant semi-volatility-scaled, and dynamic-scaled approaches. The research aims to achieve two main objectives. Firstly, to analyze the potential of the enhanced momentum …
The Impact Of Government Response To Covid-19 On Stock Return Predictability, Disayadej Dangdej
The Impact Of Government Response To Covid-19 On Stock Return Predictability, Disayadej Dangdej
Chulalongkorn University Theses and Dissertations (Chula ETD)
Recession is known to cause an increase in stock return predictability. The COVID-19 pandemics had not only resulted in sickness and loss of life but also plunged global economy into recession prompting governments to come up with measures to combat the disease. This paper first confirms that return predictability increased due the spread of COVID-19 using data from 41 countries on variations of popular predictors. Furthermore, it shows that government responses to COVID-19 alleviated the pandemic, the recession and reduced the return predictability with varying impact for different government measures. However, cases and deaths from COVID-19 which should have intensified …
Accrual-Based Earnings Management And Real Earnings Management Around Two Key Corporate Governance Regulatory Regime Changes In Thailand, Noor Nayeem Hasnat Farhan
Accrual-Based Earnings Management And Real Earnings Management Around Two Key Corporate Governance Regulatory Regime Changes In Thailand, Noor Nayeem Hasnat Farhan
Chulalongkorn University Theses and Dissertations (Chula ETD)
Two major corporate governance-related regulatory changes, one in 1999 and one in 2008, were implemented as a means to increase the independence of boards of directors of public companies in Thailand. I study whether each of these regulatory changes affects the degree of and leads to substitution of accrual-based earnings management (AEM) and real earnings management (REM), plus the effect of family ownership on the type and degree of earning management. The outcomes of the two regulatory changes are different with respect to earnings management. Univariate tests suggest no change in the levels of AEM and REM for the 1999 …
Application Of Fractional Exponential Feature To Garch Model Variants For Improvement In Value-At-Risk Prediction, Chanet Saisatian
Application Of Fractional Exponential Feature To Garch Model Variants For Improvement In Value-At-Risk Prediction, Chanet Saisatian
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research studies about using GARCH model variants as a parametric way in estimation and prediction of daily Value-at-Risk (VaR), one of famous risk measurement especially in financial world. To cope with various stylized facts on market’s volatility, two mixed GARCH models are proposed in this research: HY-GJR-GARCH model, the hybrid between hyperbolic GARCH (HYGARCH) and GJR-GARCH models, and HY-MS-GARCH model as the amalgam between HYGARCH and Markov switching GARCH (MSGARCH) models. These mixed models, along with rich mathematical formulations and benefits from their base models, are expected that their performance in predicting daily VaR is advanced against the performance …
Why Is The Third Principal Component Of The Yield Curve Important: A Point Of View From Reverse Stress Test On Credit Portfolio, Phanuwat Ritpornnarong
Why Is The Third Principal Component Of The Yield Curve Important: A Point Of View From Reverse Stress Test On Credit Portfolio, Phanuwat Ritpornnarong
Chulalongkorn University Theses and Dissertations (Chula ETD)
The focus of this study is to analyze the shape of the yield curve on credit portfolios during crises, specifically those that are exposed to both interest rate and credit risks. To achieve this, We utilized a reverse stress test (RST) and macroeconomic measures (such as GDP and U.S risk-free yields) from the period of 1981 to 2014 to estimate mathematical models. We then utilized a Monte Carlo simulation to determine the most likely scenario for the measures if the portfolio value reaches a pre-specified threshold. The researchers discovered that the shape of the stressed yield curves varied depending on …
Behavioral Bias In Number And The Stability Of Stock Price, Natapong Teekaput
Behavioral Bias In Number And The Stability Of Stock Price, Natapong Teekaput
Chulalongkorn University Theses and Dissertations (Chula ETD)
This study investigates the behavioral bias in numbers. It analyzes the relationship between behavioral bias in the number of last-digit quote prices and volatility as a proxy of market inefficiency from 2 January 2020 to 30 June 2020 of penny stock in the Thailand stock market. This period is interesting because the circuit breaker triggered due to the COVID-19 pandemic. This research studies the event that exogenous effect on volatility to find that the relation between volatility and behavioral bias is still the same. The exogenous effect is the stock exchange of Thailand changed regulations by reducing the ceiling and …
Global Oil Price Transmission To Domestic Diesel Prices, Andthe Impact On Listed Firm's Profitability And Stock Market Returns : Evidence From Thailand, Koravik Renuros
Global Oil Price Transmission To Domestic Diesel Prices, Andthe Impact On Listed Firm's Profitability And Stock Market Returns : Evidence From Thailand, Koravik Renuros
Chulalongkorn University Theses and Dissertations (Chula ETD)
This research paper provides a comprehensive analysis of the dynamics of volatile oil prices over the past two decades, with a focus on the stock exchange of Thailand from the period of 2004 to 2022. Firstly, the study utilizes the Vector Autoregressive Model (VAR) technique to examine the impact of global oil price fluctuations on domestic fuel prices and the stock market in Thailand. The findings reveal that changes in global oil prices have a delayed and indirect effect on the Thai stock market. The transmission of volatility through domestic diesel prices is a crucial factor in this relationship. Notably, …
Impact Of Environmental Policy Announcements On Investment Performance Of Equity Mutual Funds, Kaung Htet
Impact Of Environmental Policy Announcements On Investment Performance Of Equity Mutual Funds, Kaung Htet
Chulalongkorn University Theses and Dissertations (Chula ETD)
Previous research has shown that stock prices will also respond to environmental policy announcements because of the impact on firms' value. As equity mutual funds are primarily invested in stocks, this study aims to examine whether these announcements also impact the investment performance of equity mutual firms. Some studies also prove that it is still debatable whether green mutual funds or polluting mutual funds perform better in terms of investment returns. Based on this, this study will also further extend to analyze investment performance between green and polluting equity mutual funds under stringent and loosened environmental policy announcements. This study …