Finance and Financial Management Commons^™

Assessing The Poverty And Distributional Impact Of Alternative Rice Policies In The Philippines, Caesar B. Cororaton, Krista Danielle S. Yu

DLSU Business & Economics Review

Philippine domestic prices of rice are significantly higher than world prices for similar rice quality. The WTO- approved Philippine rice waiver, which allows the government to continue its quantitative restrictions on rice imports, sustains

the price gap in rice and prolongs the heavy burden on poor consumers who spend a significant amount of their income on rice. The results of rice policy simulations using a CGE model with poverty microsimulation indicate that a tariffication of the quantitative restrictions on rice imports, which maintains the level of protection to the local paddy farmers and the utilization of the generated revenue as …

The Geography Of Csr, David K. Ding, Christo Ferreira, Udomsak Wongchoti

Research Collection Lee Kong Chian School Of Business

We regress socio-economic indicators against firm level CSR scores using a sample of over 26,000 firm year observations from 1991 through 2009. We find that a firm's CSR profile is linked to the socio-economic conditions of the firm's geographic headquarters (HQ) location. The study documents that the legal, cultural, economic, and demographic differences across geography significantly explain the variation in CSR means between metropolitan statistical areas, states, and regions. We also find that the relation between CSR and firm performance is conditional on socio-economic factors, which highlight the endogeneity concerns inherent in CSR studies. Lastly, we show that firms that …

Financing Post-2015 Development Goals: Shaping A New Policy Framework For Aid In Liberia, Apollos Ikechukwu Nwafor

Walden Dissertations and Doctoral Studies

Liberia, Africa's oldest democracy, has made several efforts in becoming a developed economy and ending poverty, but these efforts have been hampered by lack of appropriate financing mechanisms to achieve this goal. The most recent challenge which was the purpose of this study was to understand how Liberia can finance and achieve the sustainable development goals adopted by the United Nations in September 2015. Despite substantial external aid, Liberia was only able to meet 3 out of the 8 Millennium Development Goals, and more than 60% of the population remain extremely poor. The main research question was to understand what …

Strategies To Secure Sustainable Funding For The Successful Conclusion Of Infrastructure Projects, Ibrahim Adia

Walden Dissertations and Doctoral Studies

Construction industry leaders who neglect to implement appropriate project funding strategies harm business operations and lose profits. Inadequate funding is also a significant cause of project failures in the global construction sector. The purpose of this qualitative multiple case study was to explore strategies construction project owners use to secure sustainable funding for the successful conclusion of infrastructure projects. The population comprised 5 leaders of organizations owning construction projects in the Middle Eastern Gulf Cooperation Council states, with successful strategies to acquire adequate funding for completing infrastructure projects. Data were collected from semistructured interviews with the business leaders and reports …

Leadership Strategies For Increasing Employee Productivity In The Banking Industry, Thiquita Ward

Walden Dissertations and Doctoral Studies

Investing in employee engagement is beneficial to ensuring an organization's ability to sustain and improve productivity and performance. The purpose of this single case study was to explore effective leadership strategies leaders used to increase employee productivity. The population for this study were 6 bank leaders from Mississippi with a minimum of 5 years of experience implementing effective strategies to increase employee productivity. The conceptual framework for this study was Bass's transformational leadership theory. Data were collected using semistructured interviews, observations, and a review of company documents. The data analysis process involved Yin's 5-step approach, methodological triangulation, and member checking …

Regression Tree Construction For Reinforcement Learning Problems With A General Action Space, Anthony S. Bush Jr

College of Graduate Studies: Theses & Dissertations

Part of the implementation of Reinforcement Learning is constructing a regression of values against states and actions and using that regression model to optimize over actions for a given state. One such common regression technique is that of a decision tree; or in the case of continuous input, a regression tree. In such a case, we fix the states and optimize over actions; however, standard regression trees do not easily optimize over a subset of the input variables\cite{Card1993}. The technique we propose in this thesis is a hybrid of regression trees and kernel regression. First, a regression tree splits over …

Measuring Fiscal And Monetary Policies Spillovers In Asean, Thi Mai Lien Dau, Yuthana Sethapramote

DLSU Business & Economics Review

This paper aims to comprehensively examine fiscal and monetary policies spillovers to real GDP and inflation in ASEAN-5 countries. We examine the effects of shocks from each of the ASEAN members and advanced economies by employing the global vector autoregression (GVAR) model because it allows us to investigate this issue in a multinational system. The empirical results show several important findings. Generally, both internal and external fiscal and monetary spillovers have a significant effect on all ASEAN-5 countries, although internal monetary spillover seems to be stronger than internal fiscal spillovers. At country level, out of the five ASEAN countries, Indonesia’s …

On Implementation Delays, Marginal Costs And Price Dynamics: A Theoretical Note With Implications For The Philippines, Lawrence B. Dacuycuy, Mariel Monica Sauler, Dickson Lim

DLSU Business & Economics Review

It has been known that longer implementation delays in public investments result in sluggish accumulation of public capital. In models in which public capital determines firm productivity, the longer the duration of implementation delays, the

higher the marginal costs which, in a New Keynesian economy means higher price markups. Consequently, higher mark- ups may increase the inflation rate, leading to an appropriate monetary policy response. Using a dynamic stochastic general

equilibrium (DSGE) model, this theoretical note focuses on the relationships among government investments, firm pricing policy, and monetary policy. It addresses some aspects of public investment, and through simulations, characterizes …

Regulatory Effects On Traditional Financial Systems Versus Blockchain And Emerging Financial Systems, Samuel Edwin Addo Baidoo

Walden Dissertations and Doctoral Studies

The expansion of the Internet led to disruptive business and consumer processes, as existing regulations do not cover the scope and scale of emerging financial technologies. Using organization economic theory as the foundation, the purpose of this correlational study was to examine and compare the financial regulatory impact on traditional and emerging financial systems across a variety of factors including organizational type, predicted users, operational concerns, reasons for cost increases, and changes in business practices as a result of the regulatory environment. Data were collected through a survey of 227 adult Americans who engage in the financial sector and are …

Access To Capital Challenges And Opportunities, Rosalinda V. Maury, Brice M. Stone, Kicia Sears, Andrew M. Sander

Institute for Veterans and Military Families

This paper describes how veterans report financing their businesses, their potential difficulties accessing capital, and the potential reasons they may encounter credit and loan denials. We conclude with a discussion on the possible implications and put forward a preliminary argument for further study that would explore some of the more nuanced aspects of access to capital barriers. Helpful for veterans seeking information about financing their business.

How Ceo Wealth Affects The Riskiness Of A Firm, Sonik Mandal, Charlie Swartz, Sanjib Guha, Carl B. Mcgowan Jr.

Finance Faculty Publications

The objective of this paper is to analyze the relationship between the ownership level of managers and the risk averse behavior of the firm. We measure the ownership level of the managers by the ratio of their ownership of the company relative to their total wealth for a sample of 69 individuals from the Forbes 400 list of the wealthiest individuals in the world for the period from 2001-11 using an unbalanced panel data analysis. The dependent variable is the Altman Z-score of each firm and we further test these relationships using financial leverage. The independent variables are delta and …

When Fund Management Skill Is More Valuable?, Feng Dong, John A. Doukas

Finance Faculty Publications

Does fund management skill allow managers to identify mispriced securities more accurately and thereby make better portfolio choices resulting in superior fund performance when noise trading- a natural setting to detect skill - is more prevalent? We find skilled-fund managers with superior past performance to generate persistent excess risk-adjusted returns and experience significant capital inflows, especially in high sentiment times, high stock dispersion and economic expansion states when price signals are noisier. This pattern persists after we control for lucky bias, using the "false discovery rate" approach, which permits to disentangle manager "skill" from "luck".

Liquidity Risk And Mutual Fund Manager’S Stock Choice, Hannah Berg

CMC Senior Theses

Liquidity risk is a large issue faced by mutual funds. Large funds typically trade in size, and these large sizes often have a significant impact on prices. My hypothesis is that large funds will not invest in illiquid assets as much as smaller funds due to the price sensitivity of illiquid assets. While this seems obvious, the results from this study are not in agreement with this hypothesis. My paper finds that as the illiquidity of a stock increases, so does the probability that a large fund invests in the stock.

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

Trading Regularity And Fund Performance, Jeffrey Busse, Lin Tong, Qing Tong, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

We construct a new measure of trading regularity, capturing the extent to which investors trade on a regular basis. Institutional investors that regularly trade outperform those that trade less regularly. The performance of funds that regularly trade persists for at least a year. Among those who trade most regularly, larger funds perform relatively worse, because they incur higher transaction costs associated with their larger trades. Institutions that regularly trade generate superior performance, in part, by behaving as contrarians and by trading more aggressively on information. By contrast, we find no relation between trading regularity and performance among index funds.

Volatility Spillovers Among Oil And Stock Markets In The Us And Saudi Arabia, Marinela Adriana Finta, Bart Frijns, Alireza Tourani-Rad

Research Collection Lee Kong Chian School Of Business

In this article, we use high frequency data and an identification via changes in volatility approach to assess the volatility spillovers among oil and the US and Saudi Arabian stock markets. We document the existence of asymmetry in contemporaneous spillover effects. Particularly, during the times when oil’s trading hours overlap with the US and Saudi Arabian stock markets, the volatility spillover from oil to the stock markets is higher than the other way around. We highlight the importance of taking into consideration the information present during continuous trading hours of oil, especially during simultaneous trading hours with the stock markets. …

Sustainable Digital Finance In Asia: Creating Environmental Impact Through Bank Transformation, Ryan Knowles Merrill, Simon J.D. Schillebeeckx, Sofie Blakstad

Research Collection Lee Kong Chian School Of Business

Data is arguably the most valuable resource in the digital economy. Used effectively and responsibly it has the potential to serve as a driving force in creating a more sustainable world. The potential is especially potent in the financial sector given its central place in the financial system, and its access to and use of data.Using technologies such as blockchain, artificial intelligence (AI), mobile technology, internet of things (IoT), and the cloud, data can be captured by sensors in the environment and structured to integrate sustainability into existing financial products and services. These can be creatively combined into entirely new …

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

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

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

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 …

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 …

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

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 …

The Impacts Of Us Macroeconomic Announcements On Thai Bond Markets, Jaturapat Thanaboot

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the impact of US macroeconomic announcements both in terms of announcement day and surprise on Thai bond markets. More specifically, this paper analyses the different impacts of 16 US macroeconomic announcements on Thai bond markets. Using daily total returns on short- and long-term government bonds including investment-grade bond, I find that the overall US macroeconomic announcement days lower subsequent volatility in Thai bond markets while US macroeconomic announcement surprises raise volatility. Furthermore, after separating between types of US macroeconomic announcements, US inflation announcement days seem raise Thai bond market volatility while most of the negative US macroeconomic …

How Does Loan Portfolio Diversification Affect Bank Profitability?, Kornkanok Sittichobtham

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

The Impact Of Single Stock Futures Block Trade Transactions On Underlying’S Volatility And Return : Evidence From Stock Exchange Of Thailand, Chotiwit Jiratananuwong

Chulalongkorn University Theses and Dissertations (Chula ETD)

After the introduction of Single Stock Futures Block trade into the market, the concern of futures trading which is a high leverage product has been being in attention among investors. This paper examines the impact of Block trade trading volume on underlying’s volatility and return by using linear regression model covering 86 stocks from year 2017-2019. For the impact on volatility, this paper use 2 different measurements of volatility to investigate the impact which is Parkinson variance estimator and 30 minutes price historical volatility. The results found a positive relation between Parkinson variance estimator and Block trade trading volume, and …

Equity Term Structure Of Property Funds And Reits In Thailand, Chenchai Chotchuangnava

Chulalongkorn University Theses and Dissertations (Chula ETD)

The equity term structure of property funds and REITs in Thailand is upward-sloping. This result contradicts with various studies suggesting that the term structure of risk premia is decreasing. A tenet of those studies is that, by holding long-term equity, investors are willing to forego a part of the compensation to avoid immediate risks which seems to be reverse for property funds and REITs in Thailand. There is evidence that the correlation between size and return is positive. Unlike U.S. REIT, the momentum factor has no application to explain the difference in excess returns. High turnover property funds and REITs …

The Relation Between Portfolio Turnover And Mutual Fund Performance: Evidence From Thailand, Pailin Yapiangplook

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines whether the active management strategy can outperform the market by using turnover ratio as the proxy. Turnover ratio is the percentage of changing fund’s holding in a given year. Therefore, a high turnover ratio can indicate an active management. This paper will focus on an active equity fund in Thailand from 2010 to 2019. The first objective is to examine the effect of the different levels of turnover ratio on fund performance. This objective sorts mutual funds based on their turnover ratio. The findings are the performance of the high-turnover funds are indifferent from the low-turnover funds …

The Effect Of Petroleum And Petrochemical Prices On Abnormal Return And Firm Profitability, Chansiri Pruksaphong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper extends the understanding of an impact of oil prices on stock market and financial performance of oil and gas firms over the past decade. Firstly, this paper investigates the impact of crude oil, petroleum and petrochemical prices on accounting measures of firm performance using a sample of refinery and petrochemical firms in Thailand. Secondly, it examines whether these commodity prices are an essential factors in explaining abnormal returns. The findings show that the price of crude oil and petrochemicals positively and significantly affect firm profitability performance as represented by Gross Integrated Margin (GIM), return on equity (ROE), and …