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2020

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Articles 391 - 420 of 475

Full-Text Articles in Finance and Financial Management

Asia Reits Interdependence And The Impact Of Covid-19 Pandemic, Boonchai Asawapiched Jan 2020

Asia Reits Interdependence And The Impact Of Covid-19 Pandemic, Boonchai Asawapiched

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates Asia REIT interdependence and the impact of COVID-19 pandemic. The data of six major REIT markets in Asia (Japan, Singapore, Hong Kong, Thailand, Malaysia, and Taiwan) have been applied with Johansen cointegration test, Granger causality test, impulse response functions, and variance decomposition. In addition, U.S. REIT is incorporated to emphasis the its impact on Asia markets. The results indicate market integration at long-run period as REIT performance is closely related to the direct real estate market whereas REIT is affected by shocks and noise like stock in short-run. Moreover, it is found that Asia developed markets (Japan, …

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Capital Structure Volatility And Dividend Policy: Evidence From Thai Listed Firms, Thippapha Glinlek Jan 2020

Capital Structure Volatility And Dividend Policy: Evidence From Thai Listed Firms, Thippapha Glinlek

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study attempts to identify the factors affecting capital structure volatility using firm-specific on a sample of listed Thai firms from 2001 – 2020. This study documents that firm-specific factors impact capital structure volatility. Firms with higher growth opportunities, more profitable and have greater change in their assets tend to vary their capital structure more. In the second part, after determining the factors influencing capital structure volatility. This study provides the evidence of capital structure volatility (CSV) on dividend policies. And find that a high level of CSV is negatively associated with dividend policies. This paper also examines the variation …

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Clayton Copula Value-At-Risk In Crisis And The Gold Optimal Weight: Evidence In Thailand, Pimsuda Tunyalagsanakul Jan 2020

Clayton Copula Value-At-Risk In Crisis And The Gold Optimal Weight: Evidence In Thailand, Pimsuda Tunyalagsanakul

Chulalongkorn University Theses and Dissertations (Chula ETD)

In recent days, investors are facing higher market risk due to the pandemic situation, but this is not the only time, investors also experienced similar risk during the Global Financial Crisis in 2007. We are interested in the tool to accurately estimate the market risk and ways to keep the portfolio maintaining the good performance in the extreme situation. This paper particularly investigates the Value-at-risk (VaR), which is one of the simplest and helpful tools to estimate market risk. By using data of SET50 and Thai Baht Gold, this paper demonstrates the best way to compute VaR among the various …

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Could Morningstar Sustainability Rating Be An Indicator For Downside Protection?, Purisa Ruengsrichaiya Jan 2020

Could Morningstar Sustainability Rating Be An Indicator For Downside Protection?, Purisa Ruengsrichaiya

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates whether the Morningstar Sustainability Rating indicates the downside protection for the 2018 Global stock market downturn and 2020 Stock market crash by using daily time-series analysis and investigate whether fund characteristics have an effect on performance of each Morningstar Sustainability Rating by using a panel data analysis at a quarterly frequency for the active equity mutual fund in the US market. This paper finds the neutral performance in every group of ratings in any market period according to the neutral alpha or abnormal return and the fund characteristics influence the fund performance pattern which can observe that …

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Cross Hedging Currency Risk From Frontier/Emerging Markets: Thai Portfolio Investors' Perspectives, Tanatuch Kujiranuwat Jan 2020

Cross Hedging Currency Risk From Frontier/Emerging Markets: Thai Portfolio Investors' Perspectives, Tanatuch Kujiranuwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

The study explored performances of cross-hedging emerging/frontier market currency risk with developed market currencies from Thai investors’ perspective. The results showed that Thai investors can use a cross-hedging strategy to reduce currency risk and improve risk adjusted return from their emerging market investment. Single cross hedging can reduce portfolio risk significantly as confirmed by the F-test. Multiple cross-hedging showed signs of improvement from single cross-hedging both in currency risk reduction and risk adjusted return improvement, but the statistical test failed to prove that the improvement is significant. While the portfolio return was penalized by the hedging cost. The risk reduction …

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Demographic, Macroeconomic And Institutional Determinants Of Life Insurance Consumption: Evidence From Countries In Asia, Pattha Yodseranee Jan 2020

Demographic, Macroeconomic And Institutional Determinants Of Life Insurance Consumption: Evidence From Countries In Asia, Pattha Yodseranee

Chulalongkorn University Theses and Dissertations (Chula ETD)

Objective of this paper is to examine the determinants of life insurance consumption in terms of demographic, macroeconomic and institutional conditions from 26 countries from Asia covering the period of 1980 to 2019. The variables including 4 demographic variables, 7 macroeconomic variables and 3 institutional variables are explored by fixed effect estimation. The study also further examines difference of impact in different countries characteristic, that divided into Muslim, High-income and High-aged dependency ratio countries. The findings show that life insurance consumption have significant positive relationship with life expectancy. For high-income country, found that the Aged dependency ratio had less impact …

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Determinants Of Power Purchase Agreements And Levelized Cost Of Electricity In Renewable Energy Projects, Krit Yodpradit Jan 2020

Determinants Of Power Purchase Agreements And Levelized Cost Of Electricity In Renewable Energy Projects, Krit Yodpradit

Chulalongkorn University Theses and Dissertations (Chula ETD)

Similar to the concept of concessions, governments worldwide encourage investment in renewable energy by providing a fixed price under the power purchase agreement (PPA) to the renewable energy developers. Depending on each renewable energy technology, the PPA usually corresponds to the levelized costs of electricity (LCOE) or the average lifetime costs of electricity produced by a power plant. Hence, these two parameters play an important role in boosting renewable energy development. Little is however known about the determinants of the PPA and LCOE. Therefore, the paper tries to shed some light on the determinants of the PPA and LCOE of …

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Do Women On Boards, Education Diversity And Corporate Governance Affect Firm Risk And Firm Performance In Thailand?, Juthamard Klomkhao Jan 2020

Do Women On Boards, Education Diversity And Corporate Governance Affect Firm Risk And Firm Performance In Thailand?, Juthamard Klomkhao

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purposes of my study are to investigate the relationship among women on boards, education diversity, and corporate governance on firm risk and/or firm performance of listed companies in Thailand during 2010-2019. Surprisingly, I find an insignificant relationship between the proportion of female directors and firm risk (both total risk and idiosyncratic risk). Moreover, the findings show that women on boards strongly improve ROA, but significantly reduce Tobin’s Q. For education diversity, there is no significant relationship on any measures of firm performance. This study further discovers that an incremental effect of female education diversity on women directorship positively affects …

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Does Algorithmic Trading Improve Liquidity Around Dividend Announcement? Evidence From The Stock Exchange Of Thailand, Chotika Chatchawanwanit Jan 2020

Does Algorithmic Trading Improve Liquidity Around Dividend Announcement? Evidence From The Stock Exchange Of Thailand, Chotika Chatchawanwanit

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the impact of the entry of algorithmic trading on Thailand’s stock market liquidity around dividend announcement during 2001 – 2016. We find some evidence to support that the entry of algorithmic trading in Thai stock market and their increase activities in the market help to provide more liquidity in term of trade volume in stock market liquidity especially after the dividend announcement releases. However, the rise of algorithmic trading tend to lead the market participants to consume liquidity in term of market depth at both best bid and bet offer rather than providing the standing orders in …

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Effects Of Abnormal Trading Volume In The Stock Exchange Of Thailand, Chatchanun Kallayasiri Jan 2020

Effects Of Abnormal Trading Volume In The Stock Exchange Of Thailand, Chatchanun Kallayasiri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research aims to investigate the opportunity to exploit the abnormal returns follow the abnormal trading volume events for the stock listed in the Stock Exchange of Thailand (SET) from 2010 to 2019. The result suggested that investors could use abnormal trading volume as a signal to invest and obtain extra-profit by holding the stock for a certain period of time. The result also indicated that there was evidence of trading volume’s information content that could be used to implement the zero-investment portfolio strategy which trades based on trading volume. The strategy suggested investors to take a long position in …

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Herding Behavior ,Case Of Listed Companies In Thailand, Patipol Prawangsuk Jan 2020

Herding Behavior ,Case Of Listed Companies In Thailand, Patipol Prawangsuk

Chulalongkorn University Theses and Dissertations (Chula ETD)

We examine herding behavior in the Thailand stock market under different market conditions, industries, firm sizes, and investor types. We also study herding behavior during the Covid19 period. Lastly, we further develop a new factor that is a qualified price-risk element for stock return. The results show evidence of herding behavior in the Thailand stock market during the extreme positive and negative markets condition. And the herding behavior exists in twenty sectors out of twenty-six. The small-cap portfolio shows a greater magnitude of herding behavior compares with a large-cap portfolio. During the covid19 period, the result indicates herding behavior is …

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Inflation Level And Equity Mutual Fund Flows In Aggregate, Boontarikar Dangsritham Jan 2020

Inflation Level And Equity Mutual Fund Flows In Aggregate, Boontarikar Dangsritham

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the relationship of inflation level and aggregate equity mutual fund flows using Thai evidence. Sample period covered from 2006 to 2020. For the first objective, we investigate the relationship between realized inflation and net flow of money into equity mutual fund. Next, since investors are forward-looking, we extend the analysis to investigate the same relationship using forecasted inflation instead. Lastly, money supply is increasing since 2008 because of the first launch of QE. Also, inflation trend becomes lower since then. Our further exploration is whether there is a change in the relationship between inflation and aggregate equity …

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Industry Size And Deal Initiation: Evidence From Merger And Acquisition, Sirilak Sriburapar Jan 2020

Industry Size And Deal Initiation: Evidence From Merger And Acquisition, Sirilak Sriburapar

Chulalongkorn University Theses and Dissertations (Chula ETD)

Targets in small industries are more likely to initiate the deal than targets in large industries. Bidders are willing to pay more for target-initiated deals in small industries than in large industries. This research finds empirical evidence that industry size significantly impacts firms' decision to initiate the deal and bid premium. Targets in small industries are more plausibly to initiate the deal because the demand for target corporate assets is lower. Consequently, they receive lower premiums compared to targets in large industries. Surprisingly the impact of target-initiated deals on premiums significantly depends on target industry size, the negative impact of …

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Inside The Black Box Of Financial Analysts: What Drives Systematic Forecast Optimism?, Christian Schmidt Jan 2020

Inside The Black Box Of Financial Analysts: What Drives Systematic Forecast Optimism?, Christian Schmidt

Chulalongkorn University Theses and Dissertations (Chula ETD)

Despite past failures and a higher standard of regulation, excessive forecast optimism among financial analysts is still observable. It is mainly attributed to incentives provided by an underlying affiliated relationship. This paper investigates diverse market settings in the Thai stock market between 2005 and 2017 to break down the incentive structure in the analysts' forecasting process. First, banks and brokerage houses with an affiliated mutual fund family show an extreme forecast behavior, especially when the fund family is backed by high capital and has a large stake in the covered firm. Secondly, full-service banks are among the most optimistic analysts …

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Premium, Ownership And Operating Performance In Rto, Chawalit Rungpiboonsopit Jan 2020

Premium, Ownership And Operating Performance In Rto, Chawalit Rungpiboonsopit

Chulalongkorn University Theses and Dissertations (Chula ETD)

A reverse takeover is an alternative method of listing instead of IPO. Compared to IPO, firms using RTO can avoid the stringent requirement of IPO and disclose less information. Hence, these transactions were viewed as suspicious transactions. The U.S-SEC also issued the warning that investors should be careful when considering investing in the RTO firm. However, it is unlikely that investors in the market can separate between the good RTO firm and the bad RTO firm because of the loose requirement of RTO which led to the arising of asymmetric information between investors and RTO firm. As a result, in …

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The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks, Tharita Jumroonwat Jan 2020

The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks, Tharita Jumroonwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Due to their low trading costs and superior liquidity, exchange-traded funds (ETFs) attract short-term liquidity traders. The liquidity shocks can pass to the underlying securities through the ETF mechanism. ETF may therefore increase the non-fundamental volatility of the underlying stocks. I carry out the test daily which allows me to timely measure the high-frequency variable of arbitrage activity between Nikkei 225 ETFs and their components. I find the consistent result with Ben-David et al. (2018) that stocks with higher ETF holding display significantly higher volatility and the intensity of arbitrage activity, proxied by stock-level mispricing, magnifies the impact of ETFs …

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The Lead-Lag Relationship Of Block Trade Single Stock Futures And The Underlying Stocks: Evidence From Thailand, Pimnapa Wongvisavakorn Jan 2020

The Lead-Lag Relationship Of Block Trade Single Stock Futures And The Underlying Stocks: Evidence From Thailand, Pimnapa Wongvisavakorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

According to the efficient market hypothesis, there should not be any lead-lag relationship of the spot and futures price of the financial assets; however, many empirical studies have suggested otherwise. This study uses the Vector Error Correction Model (VECM) and Granger causality test with the daily trading data of Thailand’s block trade single stock futures and its underlying securities of 42 companies from 2016 to 2020. It reveals both unidirectional and bidirectional relationships of spot and futures markets with a less dominant role of the futures market in the price discovery function. None of the sample companies have both long-run …

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The Presence Of Style Drift And Its Effects In Thailand’S Equity Mutual Funds, Nuttha Lertwattanakiat Jan 2020

The Presence Of Style Drift And Its Effects In Thailand’S Equity Mutual Funds, Nuttha Lertwattanakiat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Active equity mutual funds have become a widely popular investment for investors with high risk tolerance due to potentially getting a higher return with the benefit of diversification and professional management. Investors can make decision on selecting funds by looking at “style”. Style is viewed in two dimensions; size and value-growth orientation at stock level. It helps investors to see how fund manager select stocks and the overall style of stock holding for a whole portfolio. Investors can take this factor into considerations to build portfolio to align with their strategy. But what will happen if the style is changed …

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The Relationship Between Fees And Performance Of Domestic Equity Funds In Thailand, Thapanee Suphapitakpaiboon Jan 2020

The Relationship Between Fees And Performance Of Domestic Equity Funds In Thailand, Thapanee Suphapitakpaiboon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study inclusively examines the relationship between fund fees and performance of open-end domestic equity funds in Thailand from 2010 to 2019 to analyze the domestic-equity fund market in 2 main dimensions: the market competitive and conflict-of-interest between the duties of asset management companies (AMCs) to their parent bank and to unitholders through fund fee channel. The study investigates the relationship of (1) fund fees, (2) fund fees set by bank subsidiaries, and (3) fund fees set by large-bank subsidiaries with its performance in term of both returns over benchmark and Jensen’s alpha. Based on the results, investors paid higher …

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Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand, Paripon Sriboon Jan 2020

Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand, Paripon Sriboon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to develop a structural vector autoregressive (SVAR) model to study the dynamic relationships between broad money and other macroeconomics variables in Thailand. The structural restrictions on SVAR model are based on economics intuition and novel finding that money does not react contemporaneously to transitory component of the short-term interest rate. The model also features stock price and house price as the different response of asset price and goods price will be monitored. There are total of seven monthly endogenous variables included in the model covering the period of 2010 - 2020. The result based on forecast error …

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Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint, Nuttawoot Ladee Jan 2020

Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint, Nuttawoot Ladee

Chulalongkorn University Theses and Dissertations (Chula ETD)

When an asset manager manages a portfolio, he usually imposes a TE or a VaR limit on his portfolio to control portfolio risks. However, a portfolio may be divided into different portions. In our research, we consider a portfolio that consists of an active portion and a passive portion. Having a VaR budget of an entire portfolio, we propose methods to determine TE and VaR limit on the active portfolio and illustrate them by using real data. In the empirical part, some problems can occur when we relax certain theoretical assumptions such as (1) stocks in an investment universe can …

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Double Bottom Pattern Recognition For Trading Strategy, Chusana Nuntanart Jan 2020

Double Bottom Pattern Recognition For Trading Strategy, Chusana Nuntanart

Chulalongkorn University Theses and Dissertations (Chula ETD)

We utilize the Double bottom pattern, which is a common and the most easily recognized reversal pattern in the technical analysis approach, to seek the existence of abnormal returns from 1 Jan 2009 to 31 Dec 2019. The general event study methodology was used to statistically test for the existence of abnormal returns from 611 stocks in SET. We concluded that there was an existence of abnormal return from trading with the Double bottom pattern strategy. This led to the conclusion that the Thai stock market might be not as informationally efficient as academics have conjectured.

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Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt Jan 2020

Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt

Chulalongkorn University Theses and Dissertations (Chula ETD)

European options of an asset are priced following a continuous 1-factor diffusion model and the generalized Black-Scholes equation. Volatility knots are determined by many specifications that are the number and the location of knots at any stock price and time to expiration. Considering the volatility knots as a set of decision variables, we can approximate the local volatility function with a bicubic spline function to compute option values fitted to a finite set of market data by solving a constrained nonlinear optimization problem. With the real market data of SET50 Index options, pricing accuracy of different knots’ specifications are demonstrated. …

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Reverse Stress Testing On Non-Elliptical Jointly Distributed Multivariate Data, Chevincee Werawanich Jan 2020

Reverse Stress Testing On Non-Elliptical Jointly Distributed Multivariate Data, Chevincee Werawanich

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

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News Shocks And Business Cycle In Emerging Markets, Jakkraphan Kangwanvibul Jan 2020

News Shocks And Business Cycle In Emerging Markets, Jakkraphan Kangwanvibul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines news shocks in theoretical real-business-cycle model in the aspect of emerging-market economy. Many features in emerging-market business cycles, such as consumption volatility that exceeds income volatility, sudden stop pattern in capital flows and strongly countercyclical current account to income, distinguish itself from a developed small opened economy, and in this study, it also differentiates itself from previous works in the literature by studying in the aspect of business cycles in emerging markets. The study uses simulation method, developing on real-business-cycle theory to generate artificial business cycle moments and impulse response function. For the result, it considers news …

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Market Liquidity And Mutual Fund Performance During Financial Crisis, Matina O-Warinrat Jan 2020

Market Liquidity And Mutual Fund Performance During Financial Crisis, Matina O-Warinrat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Market illiquidity influences mutual fund performance differently between crisis and non-crisis period. A significant drop in market liquidity makes investors panic leading to the early and large redemption. Fund managers have to liquidate the portfolio putting pressure on the asset prices, so the underperformance of mutual fund is recognized in non-crisis period. However, the result of illiquidity is different during crisis. The total effect of market illiquidity is positively related to all fund classes. This could then be interpreted as the evidence of management skills, market-timing and volatility-timing skills in fund managers to provide superior fund performance. Moreover, the further …

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Financial Advisor Retention Strategies, Anthony Latere Williams Jan 2020

Financial Advisor Retention Strategies, Anthony Latere Williams

Walden Dissertations and Doctoral Studies

Ineffective retention strategies can negatively impact business productivity and profitability. Financial advisor managers who struggle to maintain productivity and profitability because of ineffective retention strategies are at a high risk of failure. Grounded in Herzberg's two-factor theory, the purpose of this qualitative multiple case study was to explore strategies successful financial advisor managers used to retain financial advisor employees and maximize productivity and profitability. The participants comprised 5 financial advisor managers from 5 different financial service firms in Houston who effectively used retention strategies to maximize productivity and profitability. Data were collected from semistructured interviews and company website documents. Yin's …

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Cash Conversion Cycle Strategies To Avoid Business Failure, Brian Savino Jan 2020

Cash Conversion Cycle Strategies To Avoid Business Failure, Brian Savino

Walden Dissertations and Doctoral Studies

At the end of 2018, the leading 2,000 U.S. and European companies had more than $2.5 trillion of cash unnecessarily tied up in working capital. The efficient management of working capital will lead to more cash invested in profitable projects leading to long term stability. This research will benefit chief financial officers (CFO) looking for strategies to manage working capital, which leads to higher profits and will help CFOs better manage economic downturns. Using the resource dependence theory as the conceptual framework, the purpose of this qualitative multiple case study was to explore cash conversion cycle (CCC) strategies used by …

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Financial Illiteracy Of Nigerian Immigrant Entrepreneurs In Houston, Adewole M. Omogunsoye Jan 2020

Financial Illiteracy Of Nigerian Immigrant Entrepreneurs In Houston, Adewole M. Omogunsoye

Walden Dissertations and Doctoral Studies

Financial literacy is an essential determinant of entrepreneurial success as it helps entrepreneurs to access credit and make rational financial decisions. However, financial literacy remains low especially among immigrant communities, who form the bulk of the low-income earners in the United States. The purpose of this qualitative exploratory case study was to explore the financial literacy of Nigerian immigrant entrepreneurs living in Houston, Texas, in order to sustain growth in their business by successfully using the U.S credit system. The research question for the study examined the actions Nigerian immigrant entrepreneurs in Houston need to take to be financially literate …

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Examining Liquidity, Growth Strategy, Capital Structure, And Earnings Growth, Steven R. Posey Jan 2020

Examining Liquidity, Growth Strategy, Capital Structure, And Earnings Growth, Steven R. Posey

Walden Dissertations and Doctoral Studies

Many businesses experience financial deterioration after a growth period. Business leaders of firms with market capitalization value between $50 million and $300 million, known as microcap companies, might have an incomplete understanding of growth drivers. Grounded in the firm growth theory, the purpose of this quantitative, correlational study was to examine the relationship between liquidity, growth strategy, capital structure, and earnings growth. The population consisted of the more than 1,400 constituent firms from the 2019 Russell Microcap Index. Archival data from the Securities and Exchange Commission EDGAR database were collected, organized, and analyzed for 119 randomly selected firms. Multiple regression …

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