Open Access. Powered by Scholars. Published by Universities.®

Finance and Financial Management Commons™

Open Access. Powered by Scholars. Published by Universities.®

2021

Discipline
Institution
Keyword
Publication
Publication Type
File Type

Articles 541 - 570 of 600

Full-Text Articles in Finance and Financial Management

Trading Macro-Cycles Of Foreign Exchange Markets Using Hybrid Models, Joseph Z. B. Ling, Albert K. Tsui, Zhaoyong Zhang Prof Jan 2021

Trading Macro-Cycles Of Foreign Exchange Markets Using Hybrid Models, Joseph Z. B. Ling, Albert K. Tsui, Zhaoyong Zhang Prof

Research outputs 2014 to 2021

Most existing studies on forecasting exchange rates focus on predicting next-period returns. In contrast, this study takes the novel approach of forecasting and trading the longer-term trends (macro-cycles) of exchange rates. It proposes a unique hybrid forecast model consisting of linear regression, multilayer neural network, and combination models embedded with technical trading rules and economic fundamentals to predict the macro-cycles of the selected currencies and investigate the predicative power and market timing ability of the model. The results confirm that the combination model has a significant predictive power and market timing ability, and outperforms the benchmark models in terms of …

Go to article

Sentiment-Scaled Capm And Market Mispricing, John A. Doukas, Xiao Han Jan 2021

Sentiment-Scaled Capm And Market Mispricing, John A. Doukas, Xiao Han

Finance Faculty Publications

This study explores the conditional version of the capital asset pricing model on sentiment to provide a behavioural intuition behind the value premium and market mispricing. We find betas (β) and the market risk premium to vary over time across different sentiment indices and portfolios. More importantly, the state β derived from this sentiment-scaled model provides a behavioural explanation of the value premium and a set of anomalies driven by mispricing. Different from the static β-return relation that gives a flat security market line, we document upward security market lines when plotting portfolio returns against their state βs and portfolios …

Go to article

Soft Information And The Underpricing Of Reit Seasoned Equity Offerings, James C. Brau, J. Troy Carpenter, James E. Cicon, Shelly Howton Jan 2021

Soft Information And The Underpricing Of Reit Seasoned Equity Offerings, James C. Brau, J. Troy Carpenter, James E. Cicon, Shelly Howton

Faculty Publications

Using a sample of 1,429 seasoned equity offerings (SEOs) by real estate investment trusts (REITs), we use content analysis to test whether the soft information in a company’s offering prospectus influences SEO underpricing. After controlling for relevant variables, we find that companies that use more positive (negative) words in their filings are negatively (positively) related to SEO underpricing. We posit that in REIT SEOs more positive and fewer negative words decrease investor pricing uncertainty (fear) of the offer and as a result experience less underpricing.

Go to article

Marketplace Lending: Matching Small Businesses With Specialized Fintech Lenders, Mark J. Johnson Jan 2021

Marketplace Lending: Matching Small Businesses With Specialized Fintech Lenders, Mark J. Johnson

Faculty Publications

Fintech promises improvements in access to credit for small businesses through more efficient search and better pricing. Using novel data from a marketplace platform of 115,000 loan offers from 46 online lenders I show that the primary contribution of fintech is not in precisely measuring and pricing risk, but rather in facilitating search between small firms and preferred-habitat lenders. Loan rate offers are largely unexplained by firm characteristics and differ substantially even for the same applicant. The dispersion in offers is largely explained by the fact that lenders have preferred habitats -- lending to borrowers of certain risk types and …

Go to article

Models Behaving Badly: The Limits Of Data-Driven Lending, Itzhak Ben-David, Mark J. Johnson, René M. Stulz Jan 2021

Models Behaving Badly: The Limits Of Data-Driven Lending, Itzhak Ben-David, Mark J. Johnson, René M. Stulz

Faculty Publications

Data-driven lending relies on the calibration of models using training periods. We find that this type of lending is not resilient in the presence of economic conditions that are materially different from those experienced during the training period. Using data from a small business fintech lending platform, we document that the small business credit supply collapsed during the COVID-19 crisis of March 2020 even though the demand for loans doubled relative to pre-pandemic levels. As the month progressed, most lenders significantly reduced or halted their lending activities, likely due to the heightened risk of model miscalibration under the new economic …

Go to article

Methodological Variation In Empirical Corporate Finance, Todd Mitton Jan 2021

Methodological Variation In Empirical Corporate Finance, Todd Mitton

Faculty Publications

I document large variation in empirical methodology in corporate finance regressions in top finance journals. Although methodological variation allows for customization of empirical tests to fit specific theories, it can also enable excessive reporting of statistically significant results. For example, given discretion over ten routine methodological decisions, a researcher could report that over 70% of randomly generated variables are statistically significant determinants of leverage at the 5% level. The methodological decisions that impact statistical significance the most are dependent variable selection, variable transformation, and outlier treatment. I discuss remedies that can mitigate the negative effects of methodological variation.

Go to article

Creating An Optimal Portfolio With Covariance Adjustments For Moving Average Trends, Jayden Moore Jan 2021

Creating An Optimal Portfolio With Covariance Adjustments For Moving Average Trends, Jayden Moore

Honors Program Theses

In this analysis, I investigate whether combining these two traditional methods of portfolio construction, mean-variance optimization and trend following, enhance the performance of a portfolio. Specifically, I consider whether stock trends within a pool of stock mechanically influences the covariance matrix for this pool of assets–a crucial input for mean-variance optimization. I then use these trend modified covariances to form a new mean-variance optimized portfolio and then evaluate performance. Instead of using the trends to determine whether or not to invest in a stock, as trend analysis postulates, I will be using trends to create new covariances between assets that …

Go to article

The Platform Architecture Of Health Insurance And Managed Care, Laurell G. Richardson Jan 2021

The Platform Architecture Of Health Insurance And Managed Care, Laurell G. Richardson

Doctoral Dissertations (DBA)

No abstract provided.

Go to article

Were There Fire Sales In The Rmbs Market?, Craig B. Merrill, Taylor Nadauld, René M. Stulz, Shane M. Sherlun Jan 2021

Were There Fire Sales In The Rmbs Market?, Craig B. Merrill, Taylor Nadauld, René M. Stulz, Shane M. Sherlun

Faculty Publications

Many observers have argued that the fall in RMBS prices during the crisis was partly caused by fire sales. Using a unique dataset of RMBS transactions for insurance compa- nies, we show evidence supportive of a role, at the transaction level, of forced sales that occurred at discounted prices relative to fundamentals, and find that the RMBS market behaved as a whole as would be expected in the presence of fire sales. We show that risk- sensitive capital requirements and mark-to-market accounting can jointly create incentives for financial institutions subject to adverse capital shocks to sell stressed securities.

Go to article

Market Predators, Lauren Cohen, Karl B. Diether, Christopher Malloy Jan 2021

Market Predators, Lauren Cohen, Karl B. Diether, Christopher Malloy

Faculty Publications

We find evidence of predatory trading in the corporate bond market. Exploiting novel data on the short selling behavior of institutional investors, we demonstrate that short sellers target those bonds likely to experience the largest negative events in the future: bonds about to be downgraded to junk status, and specifically those held by insurance companies and other institutions that are required to liquidate when bonds fall to junk status. We show that shorting in these bonds predicts large negative returns, which largely reverse over the next year. Short sellers’ trading activity is premeditated: they build up large short positions in …

Go to article

Is Cryptocurrency A Hedge, Safe Haven, Diversifier Against Thailand, Indonesia, Philippine Stock Market On Pre-Covid-19 And During Covid-19?, Suphawit Keakultanes Jan 2021

Is Cryptocurrency A Hedge, Safe Haven, Diversifier Against Thailand, Indonesia, Philippine Stock Market On Pre-Covid-19 And During Covid-19?, Suphawit Keakultanes

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research study whether cryptocurrencies act as a hedge, safe haven or diversifier against Thailand, Philippines, and Indonesia stock exchange market. Using DCC-GARCH model and hypothesis test, we examine the hedge ratio and the conditional correlation between cryptocurrencies and TIP’s stock exchange market. The sample cover data on the return of the TIP’s index, Bitcoin, Ethereum, Tether and Litecoin from 1st January 2016 to 31st December 2021. The empirical results show that traditional cryptocurrencies, such as Bitcoin and Litecoin can act as diversifier, Ethereum can act as hedge instrument in PSEI index. Tether can act as the hedge and safe …

Go to article

The Impact Of Derivative Warrant Introduction : Evidence From Stock Exchange Of Thailand, Phuket Kumhangphon Jan 2021

The Impact Of Derivative Warrant Introduction : Evidence From Stock Exchange Of Thailand, Phuket Kumhangphon

Chulalongkorn University Theses and Dissertations (Chula ETD)

The impact that derivative instrument has on the underlying stocks is important for regulators and investors to concern. This paper tries to examine the impact of derivative warrant introduction on liquidity (measured by trading volume) and risk (measure by volatility and systematic risk beta) of the underlying stocks in stock exchange of Thailand. This paper examines the impact on trading volume by using t-test for testing the equality of two means between pre-derivative warrant introduction period and post-derivative warrant introduction period and using dummy variable regression for finding a change in the underlying’s trading volume after the introduction of derivative …

Go to article

The Monetary Policy Transmission During The Crisis: Evidence From Thailand, Duangporn Lertsomphol Jan 2021

The Monetary Policy Transmission During The Crisis: Evidence From Thailand, Duangporn Lertsomphol

Chulalongkorn University Theses and Dissertations (Chula ETD)

The interest rate pass-through is defined as the process by which changes in policy or money market rate are transmitted to commercial bank rates. In other words, monetary policy transmission is one of the useful tools for the analysis of effective monetary policy decisions. This paper examines the effectiveness of the interest rate passthrough from the money market rate to various lending rates (MLR, MOR, and MRR) in Thailand from 2008 to 2021 including crisis periods, and also assesses the impact of bank characteristics. Using the panel cointegration method and error correction model with monthly data from individual commercial banks. …

Go to article

Effect Of Dividend On Derivative Warrants : Evidence From Stock Exchange Of Thailand, Nakarin Chanachaivorakorn Jan 2021

Effect Of Dividend On Derivative Warrants : Evidence From Stock Exchange Of Thailand, Nakarin Chanachaivorakorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purpose of this paper is to investigate mispricing of derivative warrants on ex-dividend date. Using data from the Stock Exchange of Thailand during 2010 to 2020, this research examines mispricing of derivative warrants by comparing the market price to the theoretical price, which incorporates the adjustment of exercise price and ratio on ex-dividend date according to the rules given by SET. This research also studies further by investigating the magnitude of impact from the dividend yield of underlying asset. The empirical results show strong evidence of mispricing in call derivative warrants, whereas put derivative warrants are found to be …

Go to article

The Link Between Esg And Firm Performance In Healthcare Industry: The Moderating Role Of Firm Age And People Awareness, Thongpattra Nanna Jan 2021

The Link Between Esg And Firm Performance In Healthcare Industry: The Moderating Role Of Firm Age And People Awareness, Thongpattra Nanna

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines the link between ESG and firm performance in healthcare industry moderated by firm age and advertising expenses from 2011 to 2020. Firm performance is measured by Tobin’s Q, ROA, ROE and asset turnover. This study finds the evidence that environmental pillar is the most important metric to improve firm value in healthcare equipment & supplies and advertisement helps social and governance pillars to add more value. Biotechnology looks alike, but firm age can moderate environment pillar to increase the value. Moreover, social pillar is the most influential to add firm value for healthcare provider & services and …

Go to article

Market Reactions Towards Changes In Analysts’ Ratings And Target Prices, Evidence From Thailand, Talatarn Kromadit Jan 2021

Market Reactions Towards Changes In Analysts’ Ratings And Target Prices, Evidence From Thailand, Talatarn Kromadit

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to perform a comprehensive analysis of the effects of the stock ratings and target prices announcement published by analysts from both domestic and foreign brokerage firms in the Thai market. There are two quantitative indicators that will be focused on in this study, target prices and stocks rating, by observing the change of these two factors along with the change of market price, I will be able to study market reaction by using the Fama-French 3-factor modal (Fama and French, 1992) to detect AR and CAR within each focused window period. The observation period starts from January …

Go to article

Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements, Omtong Kasemsant Jan 2021

Are Short Sellers Equally Informed? Evidence From The Us. Credit Rating Announcements, Omtong Kasemsant

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study uses credit rating and daily short sale data of firms listed in NYSE from January 2015 to December 2021 to examine whether there is informed trading. Although post-announcement abnormal return is negatively correlated with abnormal short volume, no evidence of informed short selling is found. Higher level of pre-announcement abnormal short selling is positively correlated to default risk and also explained by the incentives of short sellers to short more when past returns are negative. Furthermore, increase in short selling that is preceded by credit watch placement is more pronounced before credit rating downgrades. Moreover, the evidence shows …

Go to article

International Evidence On Corporate Rating Changes, Torfun Kantatasiri Jan 2021

International Evidence On Corporate Rating Changes, Torfun Kantatasiri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research aims to study the reaction of the International stock market around the corporate bond rating change announcements by Moody's between 2015-2021 using stocks and rating data from Datastream. The empirical result shows a significantly positive reaction after the upgrades announcement and a negative reaction around the downgrades event date. Specifically, the impact of rating changes on stock prices is larger around downgrades. The results imply that there is an information effect but no price pressure effect since there is a significant reaction in response to downgrades for all samples insignificance impact following downgrades for sub-sample of the changes …

Go to article

Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun Jan 2021

Spac Sponsors And Their Effects On Spac Prices, Kanda Karnjanonun

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purpose of this paper is to find the effect from SPAC sponsor after the merger announcement. I study SPAC IPOs which had acquiror and target nation in the United States and were public between January 2020 and December 2021. The final sample has 186 SPACs. I select The Forbes 400 in 2021 as a proxy for sponsor reputation. I use event study methodology to test for SPAC sponsors and their effects on SPAC prices. I find that there is no statistical evidence that sponsor reputation has impact on SPACs price on the announcement date of combination. There are two …

Go to article

The Effect Of Female Board On Firm Value Evidence From The Asia Pacific, Tanyatorn Kulalert Jan 2021

The Effect Of Female Board On Firm Value Evidence From The Asia Pacific, Tanyatorn Kulalert

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines the relationship between board gender diversity and firm value of companies in the Asia-Pacific from 2011 to 2020. Fixed effects and two-stage least squares are employed to deal with endogeneity. We find that increasing female directors to the board has a positive and significant effect on firm value as measured by Tobin’s Q. The result suggests that independent directors have a positive and significant impact on firm value. However, when the board is composed of independent directors, appointing female directors decreases the firm's value owing to over monitoring. Furthermore, the positive effect of female directors appears to …

Go to article

The Impacts Of Credit Rating Changes On Firm’S Dividend Payout And Investment Policies – Evidence In Thailand, Jakkrapob Choojan Jan 2021

The Impacts Of Credit Rating Changes On Firm’S Dividend Payout And Investment Policies – Evidence In Thailand, Jakkrapob Choojan

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper studies relationship between impacts of change in credit rating on firm's dividend payout and investment policies. We use data from listed companies in Stock Exchange of Thailand during 2000 - 2021. This paper applies fixed effect ordinary least squares to evaluate impacts of change in credit rating. From this paper, downgraded firms will decrease dividend payout and investment. However, upgraded firms will increase dividend payout and investment. Moreover, this paper studies relationship between impacts of change in credit rating on firm's investment efficiency. From this paper, downgraded firms will overinvest and upgraded firms will underinvest. This paper provides …

Go to article

The Impact Of Government Response’S Policy To Covid-19 On Stock Market Volatility, Chaiwat Ratchawat Jan 2021

The Impact Of Government Response’S Policy To Covid-19 On Stock Market Volatility, Chaiwat Ratchawat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research explores the effect of government's COVID-19 response policy on stock market volatility. We explain the stock market volatility dynamics via the index that measures the strict level of government response’s policy to COVID-19. Using EGARCH (1,1) model to identify stock market volatility from daily stock market return of 68 countries and apply the Arellano–Bond two-step system GMM estimator for dynamic panel data analysis, we found that the stock market volatility in the COVID-19 period can be reduced by the government policy response to COVID-19. Furthermore, after dividing the index into 3 types, all types of policy also reduce …

Go to article

Examination Of Facebook's Announcement Effect On Metaverse Tokens, Chalakorn Sathiwas Jan 2021

Examination Of Facebook's Announcement Effect On Metaverse Tokens, Chalakorn Sathiwas

Chulalongkorn University Theses and Dissertations (Chula ETD)

In this research, we study an announcement effect of Facebook Inc.’s rebranding to Meta Platform Inc. in October 2021, as a flagship event that sheds spotlight to the metaverse business, on 50 metaverse-related cryptographic tokens. Using Google’s CausalImpact package in R with historical daily returns within -30,7 windows, the model expects a 11.80% counterfactual CAR but the actual CAR is 69.20%, indicating a 57.40% absolute effect of this announcement on aggregate metaverse tokens at 99% significant level. We also further regress five factors, namely game-fi, marketplace, holders, illiquidity, and VC factor on the post-announcement CAR. However, the result is sparse. …

Go to article

The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach, Shilei Sun Jan 2021

The Co-Movement Between Equity Markets Of Thailand And China : A Wavelet-Based Approach, Shilei Sun

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper applied the MODWT wavelet method to decompose correlations of the stock market of Thailand and China into different time scales and frequencies. The decomposed correlations are then examined and compared between short-term and long-term, and also between different time periods when the interdependence of two markets is expected to change. The result shows that long-term correlation is not significantly higher and sometimes is significantly lower than the short-term, whereas the correlation does significantly increase from 2005 to 2020. Furthermore, the paper investigates the effectiveness of using the correlation in the suitable time scale and frequency in an application …

Go to article

The Evidence Of The Beta Anomaly In The European Reit Market, Nutpapol Tantratananuwat Jan 2021

The Evidence Of The Beta Anomaly In The European Reit Market, Nutpapol Tantratananuwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper finds empirical evidence of the beta anomaly in the European REIT market in the period 2012 – 2021. The alpha of a low minus high beta strategy is positive and statistically significant which can interpret that the low beta REITs have a higher risk-adjusted return than high beta REITs. To examine the explanation behind the beta anomaly, the controlling variables which may cause the beta anomaly including the lottery-like stock return factor, the skewness factor, and the institutional ownership factor are added into the Fama-French 3-factor model. For the result, only the institutional ownership factor which refers to …

Go to article

Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand), Preeyada Kanakupt Jan 2021

Do Domestic Institutional Investors Always Win? (Evidence From The Stock Exchange Of Thailand), Preeyada Kanakupt

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

Go to article

How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka Jan 2021

How Does Thai Stock Market React To The Environmental Policy Announcements?, Veerapat Virochpoka

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigated the impact of environmental policy announcements to the stocks in the Stock Exchange of Thailand. The announcements are related to climate change in the world forum (Paris Agreement) and plastic waste management. Investors are aware of the environmental policy which could have an impact to firms. We found that 7 out of 8 announcements experienced significant cumulative abnormal returns (both positive and negative). In terms of industry, the only industry which reacted to all announcements is industrials. The majority of firms in the industrials industry are operators related to chemicals, automotive and general manufacturing which are more …

Go to article

The Hedging Effectiveness Of Disruptive Technology Etfs To Asia Emerging Markets, Theerapong Theerahsapphawittaya Jan 2021

The Hedging Effectiveness Of Disruptive Technology Etfs To Asia Emerging Markets, Theerapong Theerahsapphawittaya

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the role of hedge and safe haven of four disruptive technology ETFs to six Asia emerging markets and assess whether if COVID-19 pandemic has altered the dynamic conditional correlations and hedge effectiveness between these assets. Using daily return data from February 23, 2018 to January 28, 2022, first, the results indicate that despite the outperformance of disruptive technology ETF’s returns during COVID-19 pandemic, these ETFs do not have a hedge or safe haven property against Asia emerging market downturns as their returns were still positively correlated. They can only be used as diversifier tools to the Asia …

Go to article

Mutual Fund Performance Evaluation With Active Peer Benchmarks Of Domestic Equity Funds In Thailand, Pornthip Supasinthanaphat Jan 2021

Mutual Fund Performance Evaluation With Active Peer Benchmarks Of Domestic Equity Funds In Thailand, Pornthip Supasinthanaphat

Chulalongkorn University Theses and Dissertations (Chula ETD)

We use the active peer benchmarks (APB) methodology suggested by Hunter et al. (2014) to capture commonalities or common idiosyncratic noise in fund strategies. These commonalities cannot be captured by the Carhart 4-factor model and it also decreases the accuracy in fund performance evaluation. Firstly, we examine the efficiency of the APB methodology compared with the Carhart 4-factor model. Then we also use the APB methodology to evaluate the performance of actively managed Thai open-end domestic equity funds from January 2006 through December 2020. In the APB methodology, we focus on two dimensions: fund returns and the fund’s investment objectives. …

Go to article

The Impact Of Institutional Ownership And Valuation On Stock Price Around Set50 Index Inclusion And Exclusion, Pranittra Ritthiwitthayasakun Jan 2021

The Impact Of Institutional Ownership And Valuation On Stock Price Around Set50 Index Inclusion And Exclusion, Pranittra Ritthiwitthayasakun

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of institutional ownership and valuation on stock price around the changes in index constituents. Specifically, this paper studies the significant SET50 index during the period of 2014 – 2021. According to the empirical result, there is an asymmetric price response between index additions and index deletions. The effects from exclusions are considerably stronger than from inclusions. The findings also show that percentage ownership of institutional investors and abnormal return are positively correlated in case of exclusions but not for inclusions (though insignificant). Companies deleted from the index result in lower institutional holdings and subsequently exhibit …

Go to article

First Prev Next Last