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2021

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Full-Text Articles in Finance and Financial Management

Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil Jan 2021

Is Thai Baht A Safe Haven Currency During The Covid-19 Pandemics, Nanapat Chaochavanil

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper empirically investigates whether or not Thai Baht (THB) is actually one of the safe haven currencies. Moreover, we also extend analysis to see if its safe haven pattern is persistent during the COVID-19 pandemic. We are not only study for THB, but also take into account other traditional well known safe- haven currencies namely U.S. Dollar (USD), British pound sterling (GBP), Euro (EUR), Swiss Franc (CHF) and Japanese Yen (JPY). By investigating between 2010 - 2019, our results do not support the idea that THB is a safe haven currency. Nevertheless, this paper found that for other well-known …

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Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets, Viriyah Vorasitchai Jan 2021

Is Currency Risk Priced In The Stock Return - Evidence From Aec Markets, Viriyah Vorasitchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

When investors from different countries invest abroad in the same destination country and same asset is invested, they may achieve different foreign asset return or value after converting back to the home currency in each country, in other words, the value of such investment and its return could differ from what they retain in the that foreign currency. This phenomenon leads to the risk called “currency risk”. The currency risk could also be seen in several different ways such as economic risk, transaction risk as so on. Considering the value of the asset return after converting back to home currency, …

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Safe-Haven Property Of Gold Toward Multi Asset Portfolio During Covid-19 Pandemic, Naratporn Thamthonsiri Jan 2021

Safe-Haven Property Of Gold Toward Multi Asset Portfolio During Covid-19 Pandemic, Naratporn Thamthonsiri

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study test whether gold has a property of safe-haven asset during the COVID-19 pandemic by performing multivariate time series analysis against multiple asset classes (equity, fixed income, property fund and REIT, and BITCOIN). Dividing testing period into pre- (2015 -2019) and on-going COVID-19 period (2020), the result of long run cointegration test came out that gold is shown to have a cointegrating relationship only during COVID-19 and no cointegration during pre-pandemic. This can be indicated that gold does not have the property of being a hedging instrument over a long run but consider itself to be a hedging asset …

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Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong Jan 2021

Spillover Effects Of Thailand Gdp Announcement Surprise To Aec Stock Markets, Sirilada Chansermpong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines how Thailand GDP announcement surprise affects AEC stock markets which are Thailand, Indonesia, Malaysia, Singapore, Philippines, and Vietnam. In the sample of 44 GDP announcements in Thailand during 2009-2019, our result suggests that there is no impact to AEC stock markets on GDP announcement date. However, we find pre-and post- GDP announcement effect spillover to other countries in AEC. In addition, the direction of Thailand GDP announcement has no reaction on abnormal return on AEC stock exchanges. In contrast, our findings report the influence of macroeconomic conditions in Thailand on the abnormal return in Malaysia, Singapore, and …

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The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin Jan 2021

The Effect Of Air Pollution On Stock Returns: Evidence From Thailand And Indonesia, Fengxu Lin

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this paper is to investigate the impact of air pollution on stock returns in Thailand and Indonesia from January 1, 2016, to June 30, 2021. Further effects of air pollution on stock returns during the seasonal pollution period, full moon period, new moon period, and high pollution period are also studied. The result shows that a lagged day of air pollution proxy significantly reduces stock returns in Thailand. The significant negative effect of air pollution on stock returns is similar to that after controlling for the January effect. This is consistent with the finding of Li and …

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Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng Jan 2021

Stock Return Dispersion And Performance Of Domestic Equity Funds In Thailand, Pavit Sae-Eng

Chulalongkorn University Theses and Dissertations (Chula ETD)

We examine the relation between cross-sectional return dispersion and actively domestic open-ended fund performance in Thailand, with the rationale mechanism that in the time of high return dispersion, where provide the opportunity for the fund managers to generate the positive value of abnormal return. Consist to the finding in US data that the period of the highest return dispersion the most activeness fund significant outperform the least activeness fund. Thai data provided the added value that active fund with the moderate to high activeness earn positive abnormal return in the period of the highest return dispersion. we also find the …

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Complex Model Versus Complex Data In An Application Of Predicting Mortgage Loan, Yu Weng Jan 2021

Complex Model Versus Complex Data In An Application Of Predicting Mortgage Loan, Yu Weng

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research aims to measure the benefits of complex model versus those of meaningful information, through an application of credit risk prediction for mortgage loans. The neural network represents complex model and the regression model represents simple model. Two types of data are applied in this analysis: simple data and complex data. The complex data is obtained from the simple dataset using information extraction techniques and data transformation. The two specific variables constructed in our complex data are Loan-to-value and Housing Expense ratio. Applied to the monthly Single-Family Loan-Level Dataset of Freddie Mac from year 2010 to year 2018 in …

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The Cross-Sectional Return Dispersion With Momentum Strategyand The Spill Over Across Fx And Equity Markets, During Covid-19, Pisit Grittiyarangsan Jan 2021

The Cross-Sectional Return Dispersion With Momentum Strategyand The Spill Over Across Fx And Equity Markets, During Covid-19, Pisit Grittiyarangsan

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the relation of momentum strategy and the return dispersion across currency and global equity markets by using 30 currency pairs and 30 global equity indices during last 2 decades. This paper also examines the lead-lag relationship of return dispersions through spillover from one market to another. In addition, we are successfully detected the relation between return dispersion of those market and the significant return by momentum strategy on currency market. However, we cannot detect significant positive return by using momentum strategy on global equity indices, so we cannot use the return dispersion from the lead market as …

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Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan Jan 2021

Diversification Benefits Of Commodity Indices Versus Islamic Stock Indices, Sita Khan

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this study is to investigate conditional correlations between the Dow Jones Emerging Market index and commodity indices (i.e., agriculture, energy, industrial metals, livestock, precious metals) and Islamic stock indices (i.e., JKII, KLFTEMSI, MSCI Bahrain, MSCI Kuwait, and MSCI Qatar). Additionally, this paper classifies the properties of assets whether it is a diversifier, a hedger, or a safe-haven assets to the Dow Jones Emerging Market index. The estimation method is the dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model to estimate the conditional correlations during the period of 2007-2021 which covers the Global financial crisis (GFC) and …

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Do Issuers Affect Derivative Warrants Overpricing? Evidence Of Thailand, Sarunporn Thupthong Jan 2021

Do Issuers Affect Derivative Warrants Overpricing? Evidence Of Thailand, Sarunporn Thupthong

Chulalongkorn University Theses and Dissertations (Chula ETD)

Derivative warrants have become increasingly popular in many countries. However, numerous literatures provide the empirical evidences that derivative warrants are overpriced relative to the comparable options. Many researchers found that the derivative warrant overpricing can be explained by hedging cost, liquidity premium, market power, and asymmetric information of investors. These explanations are likely to be related to characteristics of derivative warrant issuer. Therefore, this paper comes up with the objective to reconfirm the overpricing phenomenon in Thailand and investigate the issuer identity effect on the derivative warrant overpricing as well as examine what issuer’s characteristics cause the level of overpricing …

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Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee Jan 2021

Halloween Effect And Equity Mutual Funds In Thailand, Tunyaporn Wiriyadee

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates one of the most famous seasonal anomalies, namely Halloween effect. It is based on the observation that return during November to April so-called winter period tend to perform better than return during May to October so-called summer period. Using a sample of 97 Thailand equity funds during 2012-2021, we extend previous research by focusing on the Halloween effect in mutual funds market. Our research consists of three main objectives. First, we investigate the existence of Halloween effect in Thailand equity mutual funds. Second, we look into different characteristics of funds by categorizing based on categories from Morningstar …

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Crowdfunding Digital Platforms: Backer Networks And Their Impact On Project Outcomes, Yee Heng Tan, Srinivas K. Reddy Jan 2021

Crowdfunding Digital Platforms: Backer Networks And Their Impact On Project Outcomes, Yee Heng Tan, Srinivas K. Reddy

Research Collection Lee Kong Chian School Of Business

Crowdfunding platforms serve to connect project creators and backers. Previous research has explored several project and platform determinants that impact crowdfunding outcomes. However, there has been limited research on these determinants at an individual level. Our paper addresses how backers may influence the outcomes of projects in crowdfunding platforms. We explore several methods commonly used in the industry to identify influence and show that centrality measures through a backer affiliation network best exemplifies influence. Using data from Kickstarter, we construct a weighted backer network based on 52,678 common projects backed by 11,134 backers. Controlling for digital media mentions and project …

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Globalization And Affordability Of Microfinance, Sunny Li Sun, Hao Liang Jan 2021

Globalization And Affordability Of Microfinance, Sunny Li Sun, Hao Liang

Research Collection Lee Kong Chian School Of Business

We study how globalization can differentially affect financial inclusion through the lens of microfinance. Based on an institutional logics perspective, we argue that MFIs embody both social logic and market logic with regard to provision of affordable microfinance loans. Speicially, social logic is amplified by greater social globalization and the stronger presence of nonprofit organizations (NPOs) in the microfinance industry. In contrast, economic globalization catalyzes MFIs' market logic, leading to weaker or greater affordability of microfinance, depending on the relative strength of the profit-maximizing motive and real competition. We test these predictions by focusing on MFI interest-rate setting and using …

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The Effects Of Conventional And Unconventional Monetary Policy On Exchange Rate Volatility, Wan Wei, Susan Pozo Jan 2021

The Effects Of Conventional And Unconventional Monetary Policy On Exchange Rate Volatility, Wan Wei, Susan Pozo

Faculty Publications - The LeMoyne Smith School of Business

This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy announcements and high frequency second-by-second intraday data are used in the analysis. Results show that the exchange rate volatility increases significantly in the narrow window before and after the announcements under conventional monetary policy regime. The increase in the volatility is even greater during the contemporaneous period under the unconventional regime. Dividing monetary policy announcements into expansionary and non-expansionary …

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Smart Contracts: Will Fintech Be The Catalyst For The Next Global Financial Crisis?, Randall Duran, Paul Griffin Jan 2021

Smart Contracts: Will Fintech Be The Catalyst For The Next Global Financial Crisis?, Randall Duran, Paul Griffin

Research Collection School Of Computing and Information Systems

Purpose: This paper aims to examine the risks associated with smart contracts, a disruptive financial technology (FinTech) innovation, and assesses how in the future they could threaten the integrity of the global financial system. Design/methodology/approach: A qualitative approach is used to identify risk factors related to the use of new financial innovations, by examining how over-the-counter (OTC) derivatives contributed to the Global Financial Crisis (GFC) which occurred during 2007 and 2008. Based on this analysis, the potential for similar concerns with smart contracts are evaluated, drawing on the failure of The DAO on the Ethereum blockchain, which involved the loss …

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Three Essays On Financial Economics, Zhe Peng Jan 2021

Three Essays On Financial Economics, Zhe Peng

Theses and Dissertations (Comprehensive)

Essay 1 deals with a topic in market microstructure. It examines a type of trading mechanism called a speed bump. The speed bump was introduced to slow down incoming orders to reduce the informational advantage of certain high-speed traders who could exploit their information to take advantage of slower traders. In 2016, the Investors Exchange (IEX) became the first securities exchange in the US to introduce a speed bump. In our first essay, we use trading data from IEX to study this issue. IEX's speed bump includes two layers of delays: a fixed delay on displayed orders and a contingent …

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Finance Calendar For 2021, Amanda Christensen, Kristilyn Wilkinson Jan 2021

Finance Calendar For 2021, Amanda Christensen, Kristilyn Wilkinson

All Current Publications

Check off each small step monthly and see the drastic impact of improved personal finances over the course of the year. These short, actionable tips and related resources will have you in the driver’s seat with your money.

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An Empirical Analysis Of Video Games And Social Media On Learning In An Information Systems University Class, Heber C. Brau, James C. Brau, James Gaskin Jan 2021

An Empirical Analysis Of Video Games And Social Media On Learning In An Information Systems University Class, Heber C. Brau, James C. Brau, James Gaskin

Faculty Publications

Prior research by Brau, et al. (2016, 2017) identifies factors that correlate with university student course grades. We employ the same research structure as the Brau, et al. papers with the innovation of adding dozens of questions that deal with video game and social media usage. Extant research argues that time spent on video gaming and using social media can: 1) hurt student grades, 2) help student grades, or 3) have no impact on student grades. We test the video game and social media impact hypotheses using a survey of over 500 college students in an Introduction to Information Systems …

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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.

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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 …

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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 …

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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.

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A Megastudy Of Text-Based Nudges Encouraging Patients To Get Vaccinated At An Upcoming Doctor’S Appointment, Katherine L. Milkman, Mitesh S. Patel, Linnea Gandhi, Heather N. Graci, Dena M. Gromet, Hung Ho, Brigitte C. Madrian Jan 2021

A Megastudy Of Text-Based Nudges Encouraging Patients To Get Vaccinated At An Upcoming Doctor’S Appointment, Katherine L. Milkman, Mitesh S. Patel, Linnea Gandhi, Heather N. Graci, Dena M. Gromet, Hung Ho, Brigitte C. Madrian

Faculty Publications

Many Americans fail to get life-saving vaccines each year, and the availability of a vaccine for COVID-19 makes the challenge of encouraging vaccination more urgent than ever. We present a large field experiment (N = 47,306) testing 19 nudges delivered to patients via text message and designed to boost adoption of the influenza vaccine. Our findings suggest that text messages sent prior to a primary care visit can boost vaccination rates by an average of 5%. Overall, interventions performed better when they were 1) framed as reminders to get flu shots that were already reserved for the patient and 2) …

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Personal Bankruptcy And The Accumulation Of Shadow Debt, Bronson Argyle, Benjamin Iverson, Taylor Nadauld, Christopher Palmer Jan 2021

Personal Bankruptcy And The Accumulation Of Shadow Debt, Bronson Argyle, Benjamin Iverson, Taylor Nadauld, Christopher Palmer

Faculty Publications

Compiling new liability-level data from the balance sheets of personal bankruptcy filers, we document that a sizable share of reported liabilities are “shadow debt,” debt not reported to credit bureaus that often arises from the non-payment of goods and services. We use this new data to evaluate how debtor cash flows affect when consumers file for bankruptcy and how much debt they have at bankruptcy. We find that filers respond to a quasi-exogenous $100 increase in monthly cash flows by delaying filing by an average of one month and by increasing unsecured indebtedness by $4,000 in the months preceding filing. …

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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 …

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Impact Of Covid-19 On Cryptocurrencies: Evidence On Information Transmission Through Economic And Financial Market Sentiments, Irfan Haider Shakri, Jaime Yong, Erwei Xiang Jan 2021

Impact Of Covid-19 On Cryptocurrencies: Evidence On Information Transmission Through Economic And Financial Market Sentiments, Irfan Haider Shakri, Jaime Yong, Erwei Xiang

Research outputs 2014 to 2021

This paper investigates the relationship between the COVID-19 crisis and the two leading cryptocurrencies, Bitcoin and Ethereum, from 31 December 2019 to 18 August 2020. We also use an economic news sentiment index and financial market sentiment index to explore the possible mechanisms through which COVID-19 impacts cryptocurrency. We employ a VAR Granger Causality framework and Wavelet Coherence Analysis and find the cryptocurrency market was impacted in the early phase of the sample period through economic news and financial market sentiments, but this effect diminished after June 2020.

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Non-Traditional Systemic Risk Contagion Within The Chinese Banking Industry, Tonmoy Choudhury, Simone Scagnelli, Jaime L.P. Yong, Zhaoyong Zhang Prof Jan 2021

Non-Traditional Systemic Risk Contagion Within The Chinese Banking Industry, Tonmoy Choudhury, Simone Scagnelli, Jaime L.P. Yong, Zhaoyong Zhang Prof

Research outputs 2014 to 2021

Systemic risk contagion is a key issue in the banking sector in maintaining financial system stability. This study is among the first few to use three different distance-to-risk measures to empirically assess the domestic interbank linkages and systemic contagion risk of the Chinese banking industry, by using bivariate dynamic conditional correlation GARCH model on data collected from eight prominent Chinese banks for the period 2006–2018. The results show a relatively high correlation among almost all the banks, suggesting an interconnectedness among the banks. We found evidence that the banking system is exposed to significant domestic contagion risks arising from systemic …

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Does Corporate Eco-Innovation Affect Stock Price Crash Risk?, Rashid Zaman, Nader Atawnah, Muhammad Haseeb, Muhammad Nadeem, Saadia Irfan Jan 2021

Does Corporate Eco-Innovation Affect Stock Price Crash Risk?, Rashid Zaman, Nader Atawnah, Muhammad Haseeb, Muhammad Nadeem, Saadia Irfan

Research outputs 2014 to 2021

We examine the effect of corporate environmental innovation (hereafter eco-innovation) on stock price crash risk and document a significant negative association. Utilising a large sample of publicly listed U.S. firms for the period 2003 to 2017, we find that an increase in eco-innovation from the 25th to the 75th percentile is associated with 17.62% reduction in stock price crash risk. This outcome remains robust to a variety of sensitivity tests and after accounting for potential endogeneity concerns. Eco-innovative firms attract more institutional investors and equity analyst following and disclose more information leading to lower stock price crash risk. Additional tests …

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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 …

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Uncovering Real Earnings Management: Pay Attention To Risk-Taking Behavior, Samar Alharbi, Md Al Mamun, Nader Atawnah Jan 2021

Uncovering Real Earnings Management: Pay Attention To Risk-Taking Behavior, Samar Alharbi, Md Al Mamun, Nader Atawnah

Research outputs 2014 to 2021

We examine the impact of corporate risk-taking on firm-level real earnings management. We find that firms with higher risk-taking engage in higher real earnings management. Our results are robust to a series of robustness tests, including simultaneous least squares approach, firm fixed effect, change analysis, and pseudo difference-in-difference analysis. Additional analyses reveal that the impact of risk-taking on real earnings management is more pronounced among firms that experience prior-year loss and are run by top-echelons who are risk lovers. Sarbanes-Oxley Act (SOX) regulation does not attenuate the positive effect of risk-taking on real earnings management. However, external monitoring by institutional …

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