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2019

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Articles 421 - 450 of 452

Full-Text Articles in Finance and Financial Management

Bank Of Japan Intervention And Its Impact On Price Efficiency Of Underlying Stocks In Etfs, Kunyarat Ngamboriruk Jan 2019

Bank Of Japan Intervention And Its Impact On Price Efficiency Of Underlying Stocks In Etfs, Kunyarat Ngamboriruk

Chulalongkorn University Theses and Dissertations (Chula ETD)

Price efficiency of stock market is one of classic stories in financial and economics world. This paper aims at quantitatively identify the impact of government intervention in stock market on price efficiency of the stocks rather than testing whether stock market is efficient or not. The government intervention in this paper is the intervention from the Bank of Japan to stimulate Japan’s economy through the purchase of ETFs. First, we test whether price efficiency of the underlying stocks in ETFs are improved or deteriorated as a result of the intervention. The results suggest that in aggregate stocks with high exposure …

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Shareholder Involvement And M&A Announcement Returns : Evidence From Thailand, Chanon Thanaphumphong Jan 2019

Shareholder Involvement And M&A Announcement Returns : Evidence From Thailand, Chanon Thanaphumphong

Chulalongkorn University Theses and Dissertations (Chula ETD)

How corporate governance mechanism helps prevent underperformance of acquiring firms is controversial, especially with little evidence in Asia-Pacific literature. I examined how shareholder involvement by means of mandatory shareholder voting (class 1) and required information disclosure (class 2) under the SET’s Acquisition and Disposition Rule affected the market reaction on mergers and acquisitions. I did not find significant differences in the CARs among transaction classes with different degree of shareholder involvement. The results were consistent both in univariate and multivariate analysis which deal- and firm-level factors are controlled. I investigated further and found that concentrated ownership in Thai firms did …

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The Impacts Of Volatility Spread And Timing On Writing Non-Directional Options Strategies, Thapanon Rungwittayatiwat Jan 2019

The Impacts Of Volatility Spread And Timing On Writing Non-Directional Options Strategies, Thapanon Rungwittayatiwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

The study examines the impacts of volatility spread and time-to-maturity on the returns of writing non-directional options strategies on SET50 index options in Thailand Futures Exchange. The study allows to use over-lapping data for the periods of 1-month, 2-month and 3-month maturities to test with the same expiration date to examine the impacts of time-to-maturity. Also, this paper adds the data of in-the-money and out-of-the-money by 25 points and 50 points call and put options to build strangle in various moneyness to find the difference of the impact of volatility spread and time-to-maturity from various moneyness.

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Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors, Ciin Muan Khai Jan 2019

Trade Execution During Extreme Market Conditions:Institutions Vs Retail Investors, Ciin Muan Khai

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

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The Flow-Performance Relationship Of Etfs In International Market, Thaweeporn Krailaksanawarapar Jan 2019

The Flow-Performance Relationship Of Etfs In International Market, Thaweeporn Krailaksanawarapar

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper uses sample from 15 countries from different regions around the world to examine how past performance of exchange-traded funds (ETFs) impact on their fund flow in the following period. Piecewise-linear regression following (Sirri & Tufano, 1998) which allow past performance to be non-linear are employed in the model to examine the different sensitivity of past performance ranking to flow. The evidence confirms that past bad-performing ETFs associate with outflow and past good-performing ETFs associate with inflow in the following period. Furthermore, I also find that investors are more sensitive to bad performers than good performers suggesting that there …

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Characteristic Approach To High Risk Low Return Puzzle In Set, Putchara Poomgumarn Jan 2019

Characteristic Approach To High Risk Low Return Puzzle In Set, Putchara Poomgumarn

Chulalongkorn University Theses and Dissertations (Chula ETD)

Theoretically investing in high risk asset generates high return. However, actual payoff in market is in the opposite side. In several empirical studies documented high risk stocks paid low return even lower than the portfolio of the lowest volatile stocks. I examine whether the cause of this anomaly is the lottery stocks. Lottery stocks which are low price, high skewness and high kurtosis might be desired by many investors even institutional investors. The assumption is that this high demand of lottery stocks might push the price up and cause low average return finally. Therefore, I set up the hypothesis these …

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Costly Signal In Open Market Repurchase: Evidence In Thailand, Thanawat Anavachapongpan Jan 2019

Costly Signal In Open Market Repurchase: Evidence In Thailand, Thanawat Anavachapongpan

Chulalongkorn University Theses and Dissertations (Chula ETD)

Several studies argue that open market share repurchase has the lowest power to signal the inside information to the market. In this study I explore the market reaction to the announcement of stock repurchase plan with the firm’s characters argued in prior literature that they can increase the market confident. Referred from prior literatures, the stated motivation in the press release, insider “BUY” prior announcement, percentage of majority shareholder, and the amount of repurchasing plan are introduced to reflect the level of information signal sent by management. I find that investors have skepticism with an information sent via open market …

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Investors Attention Properties Regarding Target Prices,Pe Ratios And Their Investment Implications, Poomipong Chirabandhu Jan 2019

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) …

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Do Thai Property Fund And Reit Investors Herd?, Palat Lertphitchaphong Jan 2019

Do Thai Property Fund And Reit Investors Herd?, Palat Lertphitchaphong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper is the first to examine herding behavior in Thai Property Fund and Real Estate Investment Trusts or REIT market for the period of 2015-2019. The empirical results suggest that those market is exhibit herding behavior significantly. The herding is present in both up and down market and also present in medium to high volume days. Besides, the herding is motivated by cross-sectional premium to NAV, however, on high dividend yield days as well. Herding on high dividend yield days also robust when controlled the dividend yield by the Government bond yield. These results are sensational as herding might …

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Is There Risk Reduction In Conglomerate Acquisition?, Paskamon Luntavanich Jan 2019

Is There Risk Reduction In Conglomerate Acquisition?, Paskamon Luntavanich

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines risk effect in conglomerate acquisitions through portfolio diversification framework. We find that based on asset diversification potential, acquirers’ risks are expected to decline when they engage in diversifying acquisitions. Interestingly, our result suggests that focus acquisitions are also associated with firms’ risk decrease. With this finding, it indicates that asset diversification potential is also pronounced even when the two assets, i.e., firms from similar industry are combined together. In addition, our results suggest that risks are expected to decline more when diversified firms make further diversifying acquisitions than focus acquisitions but this evidence could not be observed …

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How Many Mutual Funds Do You Need To Create A Diversified Portfolio?, Rujira Lertsawatwong Jan 2019

How Many Mutual Funds Do You Need To Create A Diversified Portfolio?, Rujira Lertsawatwong

Chulalongkorn University Theses and Dissertations (Chula ETD)

The goals of this study are to examines diversification benefit when holding multiple equity funds in the portfolio for Thai market and identify the optimal number of equity funds that enough to eliminate diversifiable risk. Moreover, this study examines whether considering adding index funds in the portfolio better reduce portfolio volatility. By creating random portfolio and measure the risks by using historical return, the empirical results suggest that holding multiple funds in the mutual fund portfolio allow investor achieve diversification benefits, but in the decreasing rate. These findings are consistent with previous study of O’Neal (1997), Potter (2001) and Lhabitant …

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Performance Of Smart Beta Etfs In Us Stocks Market, Angkawipa Kangsanarak Jan 2019

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 …

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Does The Introduction Of Equity Etfs In The Emerging Markets Improve The Liquidity Of The Underlying Stocks?, Luxmon Teerachannarong Jan 2019

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.

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Dynamics Of The Impact Of Currency Fluctuations On Stock Exchange Of Thailand:Assessing The Pricing Of Exchange Rate Risk., Bussarakum Rukchuen Jan 2019

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 …

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How Does The Stock Market Value Bank Diversification In Thailand?, Nawarat Boonchai Jan 2019

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 …

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Do Investors React To Purchase Price Allocation?, Nonthawan U-Thisanonth Jan 2019

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 …

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Bond Market Reaction Surrounding Share Repurchase Announcement, Phasaporn Kitjakarnkoson Jan 2019

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 …

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Market Reaction To Ifrs 9 Adoption In The United States, Pichaya Yodruk Jan 2019

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 …

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The Determinants Of Thb Swap Spreads, Parkorn Wattanaskolpant Jan 2019

The Determinants Of Thb Swap Spreads, Parkorn Wattanaskolpant

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to investigate the determinants of THB swap spreads by combining the traditional explaining variables of previous researches, e.g., default risk premium, liquidity premium and slope of the government bond yield curve, with additional explaining variables that might be missed in the previous studies and unique in THB swap spreads, e.g., TED and macroeconomic factors during the different states of economy, which are classified by Bank of Thailand monetary policy rate and the presence of negative swap spread. The motivation is to investigate the different effect of the determinants of THB swap spread in the different market conditions …

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The Analysis Of Long Term Lng Contract Pricing Structure, Yossaran Pichiansoontorn Jan 2019

The Analysis Of Long Term Lng Contract Pricing Structure, Yossaran Pichiansoontorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

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The Commitment On The Stated Use Of Ipo Proceeds And Long-Run Performance, Vitaya Tangwongpatikul Jan 2019

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 …

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The Disclosure Of The Intended Uses Of Proceeds And Aftermarket Trading Volume, Pornpimol Wongsiri Jan 2019

The Disclosure Of The Intended Uses Of Proceeds And Aftermarket Trading Volume, Pornpimol Wongsiri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study aims to provide empirical evidence to support the idea of signaling in a situation with high information asymmetry. We attempt to understand how IPO issuer’s expectation on its aftermarket trading volume may affect its disclosure decision of the intended use of proceeds. The sample consists of IPOs between January 1, 2000 and December 31, 2019 from 5 countries, including Australia, Indonesia, Philippine, Singapore, and Thailand. By using the expected turnover estimated from 3 approaches, we find empirical evidence suggesting that IPO issuers with low expected aftermarket turnover tend to disclose highly detailed information on the uses of proceeds. …

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Impact Of Esg Ratings On The Borrowing Cost, Evidence From Asia-Pacific Region, Nattawan Tantinakom Jan 2019

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. …

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Option Implied Volatility, Skewness, And Kurtosis And The Cross-Section Of Expected Stock Returns, Turan Bali, Jianfeng Hu, Murray Scott Jan 2019

Option Implied Volatility, Skewness, And Kurtosis And The Cross-Section Of Expected Stock Returns, Turan Bali, Jianfeng Hu, Murray Scott

Research Collection Lee Kong Chian School Of Business

We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of ex-ante expected stock returns. While expected returns are related to both the systematic and unsystematic components of volatility, only the unsystematic components of skewness and kurtosis are related to the cross section of expected stock returns after controlling for other variables known to be related to the cross section of expected stock returns or analyst forecast bias.

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Climate Risks And Market Efficiency, Harrison Hong, Frank Weikai Li, Jiangmin Xu Jan 2019

Climate Risks And Market Efficiency, Harrison Hong, Frank Weikai Li, Jiangmin Xu

Research Collection Lee Kong Chian School Of Business

Climate science finds that the trend towards higher global temperatures exacerbates the risks of droughts. We investigate whether the prices of food stocks efficiently discount these risks. Using data from thirty-one countries with publicly-traded food companies, we rank these countries each year based on their long-term trends toward droughts using the Palmer Drought Severity Index. A poor trend ranking for a country forecasts relatively poor profit growth for food companies in that country. It also forecasts relatively poor food stock returns in that country. This return predictability is consistent with food stock prices underreacting to climate change risks.

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Intraday Information From S&P 500 Index Futures Options, Kian Guan Lim, Chen Ying, Kian Leong Nelson Yap Jan 2019

Intraday Information From S&P 500 Index Futures Options, Kian Guan Lim, Chen Ying, Kian Leong Nelson Yap

Research Collection Lee Kong Chian School Of Business

In this paper we employ intraday transaction prices of liquid E-mini S&P 500 index futuresoptions to form 10-minutes ahead risk-neutral skewness forecasts and show profitable optionstrading strategy net of transaction costs. We do not find profitable trading based on 10-minutesahead risk-neutral volatility and only very marginal cases of profitable trading using kurtosisforecasts. The skewness profitability anomaly may be an indication of informational marketinefficiency in intraday S&P 500 futures options markets, which is contrary to findings usinglonger-span daily and weekly moments. Our results lend credence to the persistence of intradaytrading activities in the markets.

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Young Adults With Disabilities Financial Skills And Goals: A Mixed Methods Strengths And Needs Assessment, Allison D'Aguilar Jan 2019

Young Adults With Disabilities Financial Skills And Goals: A Mixed Methods Strengths And Needs Assessment, Allison D'Aguilar

Theses and Dissertations

Young adults with disabilities face barriers that affect their financial capability and financial inclusion in the marketplace. Barriers include a lack of autonomy, skills, and opportunities. This mixed method strengths and needs assessment aimed to explain and explore the financial skills and goals of young adults with disabilities. A standardized scale captured young adults with disabilities financial skills, photovoice participatory action research documented their valued financial skills and goals, and semi-structured interviews notated parents financial aspirations and goals for their daughters and sons. The mixed methods analysis suggested young adults with disabilities underlying financial skills fell 25 percent below the …

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Financial Sector In Singapore, Hwee Kwan Chow, Sai Fan Pei Jan 2019

Financial Sector In Singapore, Hwee Kwan Chow, Sai Fan Pei

Research Collection School Of Economics

This chapter reviews the financial development strategies adopted by the Singapore government as it navigates internal and external changes to build a vibrant center of finance in the Asia Pacific region. Sections 2 and 3 provide an overview of the structure of the financial system and the financial governance framework respectively. This is followed by a discussion, in Section 4, on the outward looking development strategy that underpinned the successful development of Singapore’s financial sector. Section 5 highlights the reforms undertaken in the aftermath of the Asian financial crisis that led to the building of a well-diversified and thriving international …

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Urban Land: Price Indices, Performance, And Leading Indicators, Mark Fitzgerald, David J. Hansen, Will Mcintosh, Barrett A. Slade Jan 2019

Urban Land: Price Indices, Performance, And Leading Indicators, Mark Fitzgerald, David J. Hansen, Will Mcintosh, Barrett A. Slade

Faculty Publications

This study had two objectives: first, to evaluate the historical performance of urban land prices across 20 prominent U.S. metro markets; and second, to determine if urban land prices are a leading indicator for prices in the built environment. Using a time-varying econometric model with spatial controls, we constructed constant-quality metropolitanlevel land price indices. We found that 1) from 2000 to 2017 (18 years) national residential and commercial-industrial urban land prices appreciated by 2.08% and 1.87% annually, respectively; 2) urban land prices exhibited greater volatility compared with improved property prices; 3) in many metro markets land prices began to decline …

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Who Finances Durable Goods And Why It Matters: Captive Finance And The Coase Conjecture, Justin Murfin, Ryan Pratt Jan 2019

Who Finances Durable Goods And Why It Matters: Captive Finance And The Coase Conjecture, Justin Murfin, Ryan Pratt

Faculty Publications

We propose that, by financing their own product sales through captive finance subsidiaries, durable goods manufacturers commit to higher resale values for their products in future periods. Using data on captive financing by the manufacturers of heavy equipment, we find that captive-backed models have lower price depreciation. The evidence is consistent with captive finance helping manufacturers commit to ex-post actions that support used machine prices. This, in turn, conveys higher pledgeability for captive-backed products, even for individual machines financed by banks. Although motivated as a rent-seeking device, captive financing generates positive spillovers by relaxing credit constraints.

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