Finance and Financial Management Commons^™

Three Essays On Information Asymmetry Across Heterogenous Agents, Shenru Li

Graduate Theses, Dissertations, and Problem Reports (ETD)

This thesis models and explores agents’ decisions in reaction to events that serves to increse the heterogeneity among agents. The analysis is conducted on three aspects of financial economics. In chapter 2, we empirically examine how trading by peers on a new platform influences others’ adoption decision. We model the adoption process and find the relationship to be U-shaped, with first movers greatly discouraging their peers from adoption, while late movers slightly discouraging or encouraging their peers.

In chapter 3, we investigate how managerial incentives influence corporate social responsibility (CSR). We examine the staggered adoption of corporate opportunity waiver laws …

The Mediating Effects Of Perceived Value Between The Relationship Of Social Media Marketing And Purchase Intention, Tyron W. Yap

DLSU Business & Economics Review

The objective of this study is to test the mediating role of the dimensions of perceived value—conditional, epistemic, monetary, social, convenience, and emotional—between the relationship of social media marketing and purchase intention, in online hotel booking sites. Partial least square structural equation modeling (PLS-SEM) was employed to test all 19 hypotheses. Results revealed that social media marketing positively and significantly influences the dimensions of perceived value, as well as purchase intention. Also, convenience value and conditional value are positively and significantly related to purchase intention. In terms of the mediating effects, it was found that both convenience value and conditional …

Annual Report Designs Today: A Paradigm Shift In Purpose, Imene Friday Oghenefegha

DLSU Business & Economics Review

This paper focused on reemphasizing the original purpose of the annual report which lies in its use as a medium of communication between preparers and users; whereby the former report stewardship while the latter evaluate stewardship to make buy/sell/hold decisions. To achieve this objective, opinions were collected from a sample of 150 preparers and users of annual reports, while the contents of 100 annual reports from 20 listed firms over a period of 5 years were also analyzed. The result showed that the preparers and users of annual reports agree that such content as advertisements and images, as well as …

Editor's Note, Marites Tiongco

DLSU Business & Economics Review

No abstract provided.

Concept Links And Return Momentum, Qianqian Du, Dawei Liang, Zilin Chen, Jun Tu

Research Collection Lee Kong Chian School Of Business

Unlike traditional asset categories (e.g., industry classifications) that are generally defined clearly, some groups of stocks are tied to certain loosely defined “concepts” (e.g., e-commerce). When investors find it difficult to analyze ambiguous concept-oriented information, information diffuses slowly, creating “concept momentum”. Based on unique concept data in the Chinese stock market, this study constructs a concept-momentum strategy that involves buying stocks from past winning concepts and selling stocks from past losing concepts, which can generate pronounced abnormal returns. Neither risk factors, firm-level momentum, nor industry-level momentum can explain concept momentum. Furthermore, we find that both the underreaction and cross-stock lead-lag …

Corporate Diversification And Stock Risk In Thailand: Evidence From A Global Shock, Miaoqi Su

Chulalongkorn University Theses and Dissertations (Chula ETD)

The objective of this paper is to investigate the impact of corporate diversification on stock risk for 345 companies listed on Stock Exchange of Thailand during the sample period from 4 January 2017 to 30 December 2021 which covers both Covid and pre-Covid period. Furthermore, the differences in effect between Covid and pre-Covid period are also studied. The result shows that diversifying through only business segments and ignoring global diversification increases stock volatility. Furthermore, it also shows that diversifying through only business segments and ignoring global diversification increases stock volatility during the Covid period compared to pre-Covid period. The result …

Forecasting Stock Volatility With Neural Network On Time Varying Transition Probability, Wasit Norakarntiansin

Chulalongkorn University Theses and Dissertations (Chula ETD)

Forecasting volatilities of financial security returns are important for many financial applications e.g., portfolio investment construction, risk management and trading strategy. The GARCH model has long been refined to capture the true dynamic of volatility on a security return. By applying the Markov switching to the GARCH model, the source of the temporary high volatility and high persistence of a shock to the volatility can be captured. In this study, we refine the Markov switching GARCH model further by applying the notion of the neural network to approximate the time varying transition probabilities. We aim to achieve a model that …

The Effect Of Sustainability Index Inclusion On Equity Fund Allocation Evidence From Thailand, Tanakorn Makarabhiromya

Chulalongkorn University Theses and Dissertations (Chula ETD)

The concept of sustainability index has been accepted widely in the global investment context. However, sustainable investments are relatively underexplored in an emerging market as in Thailand. This study analyzes the relationship between corporate sustainability performance (proxy by announcement events of the Stock Exchange of Thailand Sustainability Index SETTHSI) and institutional investors’ awareness toward sustainability investment. An event studies on index announcement are applied to analyze the short-term effect from investors in stock market. The results indicate that there is only weak evidence that inclusion into the sustainability index has a positive impact to cumulative abnormal returns during release-related period, …

How Flash Manufacturing Pmi Is Affecting The U.S. Stock Market. An Empirical Study, Thurein Htet Myat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper presents a comprehensive analysis of the relationship between the US Flash Manufacturing PMI news releases, returns, and volatilities of Russell 1000 and 2000 indexes. Using an autoregressive (AR) and generalized autoregressive conditional heteroskedasticity (GARCH) model, the study examines data from January 2015 to November 2022, encompassing both pre-pandemic, pandemic, and post-pandemic periods. The statistical analysis indicates that these news releases do not significantly influence stock returns, supporting the efficient market hypothesis. Various factors, including measurement errors and the unique circumstances of the Covid-19 pandemic, likely overshadowed the impact of PMI news releases. Additionally, the analysis finds no significant …

A Study Of Potential Factor Investing Strategy From Esg Score And Intangible Capital In Thailand, Issaraphorn Voratavornviwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

The independent_study aimed to examine the relationship between Environmental, Social, and Governance (ESG) scores and Intangible Capital Ratio (ICR) and their implications for buy-and-hold returns (BHR) and stock performance among Thai listed companies. The study focuses on firms listed on the Stock Exchange of Thailand (SET) with available ESG scores, covering the period from 2018 to 2022 (169 companies). The finding for the first objective found that an increase in the ESG score leads to a rise in the ICR, these findings highlight the importance of ESG scores and company size & high BTM in determining a firm’s ICR. However, …

Behavioral Bias In Number And The Stability Of Stock Price, Natapong Teekaput

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the behavioral bias in numbers. It analyzes the relationship between behavioral bias in the number of last-digit quote prices and volatility as a proxy of market inefficiency from 2 January 2020 to 30 June 2020 of penny stock in the Thailand stock market. This period is interesting because the circuit breaker triggered due to the COVID-19 pandemic. This research studies the event that exogenous effect on volatility to find that the relation between volatility and behavioral bias is still the same. The exogenous effect is the stock exchange of Thailand changed regulations by reducing the ceiling and …

Effect Of Joining Paris Agreement To Green Bond Premium In Us Market, Onjira Sukijjakamin

Chulalongkorn University Theses and Dissertations (Chula ETD)

The paper investigates whether green bonds are priced at a premium compared to conventional bonds by analyzing the yield spread between green bonds and comparable conventional bonds (where a negative yield spread indicates a premium). The study also examines the factors influencing the yield difference including the effect of participating in Paris Agreement to the green bond premium. Initially, the paper expected to find a negative green bond premium, indicating that green bonds have lower yields than comparable conventional bonds, as investors are willing to accept lower yields for the ESG benefits associated with green projects. However, the paper obtained …

Global Oil Price Transmission To Domestic Diesel Prices, Andthe Impact On Listed Firm's Profitability And Stock Market Returns : Evidence From Thailand, Koravik Renuros

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research paper provides a comprehensive analysis of the dynamics of volatile oil prices over the past two decades, with a focus on the stock exchange of Thailand from the period of 2004 to 2022. Firstly, the study utilizes the Vector Autoregressive Model (VAR) technique to examine the impact of global oil price fluctuations on domestic fuel prices and the stock market in Thailand. The findings reveal that changes in global oil prices have a delayed and indirect effect on the Thai stock market. The transmission of volatility through domestic diesel prices is a crucial factor in this relationship. Notably, …

Impact Of Environmental Policy Announcements On Investment Performance Of Equity Mutual Funds, Kaung Htet

Chulalongkorn University Theses and Dissertations (Chula ETD)

Previous research has shown that stock prices will also respond to environmental policy announcements because of the impact on firms' value. As equity mutual funds are primarily invested in stocks, this study aims to examine whether these announcements also impact the investment performance of equity mutual firms. Some studies also prove that it is still debatable whether green mutual funds or polluting mutual funds perform better in terms of investment returns. Based on this, this study will also further extend to analyze investment performance between green and polluting equity mutual funds under stringent and loosened environmental policy announcements. This study …

How Influential Are Finfluencers? Granger Causality Between Finance Influencers And Price Movements In Cryptocurrency And Stock Markets, Sita Kedvarin

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research investigates the influence of finance influencers on stock and cryptocurrency returns by analyzing the relationship between their asset-related YouTube videos and market movements. The study was conducted in two parts: the VAR Granger causality analysis in both the cryptocurrency and stock markets, and the analysis of the behavior of the top finance influencers in the cryptocurrency market. The findings from the VAR Granger causality analysis revealed distinct patterns between the cryptocurrency and stock markets. In the cryptocurrency market, YouTube videos, particularly the number of videos published, showed a significant Granger causality effect on returns. However, the causality from …

Is Greener Really Better? Stock Market Reaction To Green Bond Announcements, Evidence From Europe, Niya Somkerd

Chulalongkorn University Theses and Dissertations (Chula ETD)

Employing an event-study approach, we examine how the stock market responded to the offering of green bonds by non-financial companies listed on the European stock market from January 2013 to September 2022. We observed a drop, on average about 0.28%, in the company stock prices on the day they announced these offerings and the day after. Moreover, we found that investors react in the same manner for green bond announcements as for conventional bond announcements. We also studied if the Gavriilidis (2021)'s climate policy uncertainty index has any relationship with the market reactions. Our findings suggest that the index is …

Post-Earnings Announcement Drift In Thai Reits - A Take From The Recent Pandemic, Chawan Ratapana

Chulalongkorn University Theses and Dissertations (Chula ETD)

The research explores the information content of earnings announcements in REITs operating in a market with less stable rental incomes. By examining the presence of Post-Earnings-Announcement Drift (PEAD) in Thai REITs, this study contributes to existing literature and investigates changes in market efficiency for REITs during the COVID-19 pandemic. Using the Earnings Announcement Returns (EAR) method, the study analyzes abnormal returns through visual analysis and a trust/firm-level regression framework. Findings indicate a PEAD effect as the baseline for abnormal returns in the local market, suggesting potential market inefficiencies. However, most variables in regression analysis do not significantly address the research …

Risk Shifting In Mutual Funds: Evidence In Thailand, Suphitcha Ekjariyakorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

The paper aims to examine whether risk-shifting behavior exists in Thai equity mutual funds or not. The empirical analysis studies the period from 2005 to 2022. It is investigated that risk-shifting behavior exists in Thailand by having compensation and employment incentive influences fund managers’ decision on risk shifting. Firstly, this study uses the states of the market which are positive and negative market returns as the proxy of compensation and employment incentive, respectively. The finding is illustrated that mid-year losers take more risk of the portfolio in the latter half of the year in both positive and negative market return …

The Effect Of Capital Ratio On Risk, Efficiency And Profitability Of Insurance Companies: Evidence From Singapore And Thailand, Supanuch Limvisitsakul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research study examines the importance of capital ratios in assessing the financial health of insurance companies in the context of Singapore and Thailand. The primary objective is to investigate the extent to which capital ratios provide informative insights into the risk, efficiency, and profitability of insurance companies. The study covers both life and non-life insurance companies during the period from 2017 to 2021. The findings show that higher capital ratios correspond to lower liquidity risk, improved efficiency, and increased profitability. These results emphasize the importance of maintaining adequate capital reserves to ensure financial stability and enhance operational performance in …

The Effect Of Democracy On The Mutual Fund Recovery, Evidence From Emerging Countries, Supisara Songdecha

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research examines how democracy affects mutual fund performance and recovery in emerging countries: Brazil, Chile, China, India, Mexico, South Africa, and Thailand. Data from 2010 to 2021 is analyzed, focusing on domestic equity mutual funds. Democracy levels are measured using the V-Dem dataset. Performance is evaluated using risk-adjusted returns, while recovery duration measures how long it takes for funds to return to pre-crisis levels. The findings show that in Chile, characterized as a strong democracy, demonstrates improved performance with higher levels of democracy. In contrast, Brazil, South Africa, India, and Mexico exhibit higher returns with lower levels of democracy. …

The Impact Of Audit Quality On Trading Suspension Propensity; Detection In Thailand, Kulthida Surattachaipong

Chulalongkorn University Theses and Dissertations (Chula ETD)

Based on each direct evidence consists of actual cases disclosed by the Securities and Exchange Commission (SEC), and indirect evidence consists of suspected cases detected by the identification model of trading suspension propensity. This study aimed to examine the relationship between audit quality aspects and trading suspensions of listed companies in Thailand, as well as the changes in this relationship after the outbreak of the COVID-19 pandemic. The research utilized สำคัญ obtained from the annual reports and financial statements of 263 companies listed on the SET50 and MAI indexes, covering the periods of 2016 to 2018 and 2020 to 2022. …

The Moderating Effect Of Stock Price On The Relationship Between Earnings Quality And Dividend Payments : A Study Of Thai Listed Companies, Jirayu Boonyuen

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research paper has the objective to investigate and examine the basic relationship on the dividend policy and the earnings quality of companies in Thai stock market, by covering all the industries. The proxies for the earning qualities include a total of four proxies which are earnings persistence, accruals quality, earnings informativeness, and timely loss recognition. Moreover, this research paper also further examines the incentive of dividend policy of companies under Thai stock market by applying the dividend signaling Theory and the information content of dividends hypothesis. The incentive of dividend policy can be viewed as the signal sending by …

The Relationship Of Intangible Capital And Esg Score On Capital Structure: Evidence From Thailand, Chalita Rammavas

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines whether intangible capital influences capital structure which influent to cost of debt. Moreover, this study also analyzes more whether adding the effect of and ESG performance as risk reduction together with intangible capital affect to capital structure by using financial leverage and WACC cost of debt as the dependent variable and using intangible capital and ESG performance as independent variable. The empirical results of this study show intangible capital and financial leverage are not relevant under these equations. Moreover, they also have no relationship between intangible capital and cost of debt, and there is a 10% chance …

The Role Of Bank Capital Through Monetary Policy Transmission Mechanism, Waraluk Rosmontee

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the role of bank capital in the transmission of monetary policy, considering the bank lending channel (BLC) and financial development. Analyzing bank-level data from nine countries during 2007-2021 with GMM method, the study finds that well-capitalized banks are better positioned to expand loan supply and withstand adverse shocks. However, behavioral patterns differ between developed and ASEAN countries. In developed nations, policy rate changes have inconclusive effects on loan growth, while profitable banks and inflation drive credit expansion. In ASEAN countries, policy rate increases are associated with loan growth, reflecting favorable economic conditions. Financial development impacts credit expansion …

Flow-Performance Relationship In Defi Yield Aggregator, Apisara Pornprasith

Chulalongkorn University Theses and Dissertations (Chula ETD)

Decentralized Finance (DeFi) is a new financial infrastructure with applications similar to traditional financial products, such as exchange, lending, derivatives, and asset management. This paper empirically investigates Yearn finance, one of the fastest-growing and largest in DeFi yield aggregator protocols for on-chain asset management, to demonstrate the flow-performance relationship and compare it with mutual funds in traditional finance. According to the findings, there is a positive non-linear relationship between fund flows and recent performance for using stablecoin deposited. In contrast, we cannot find this relationship for using cryptocurrency. Then, we look further into stablecoin holder behaviour and our findings show …

Investor’S Sentiment And Stock Return: An Empirical Study On The Thai Stock Market, Chang Chen

Chulalongkorn University Theses and Dissertations (Chula ETD)

The effect of investor sentiment on stock returns is one of the most recent developments in finance. The empirical literature includes developed stock markets. However, emerging markets, notably the Thai stock market, lack study subjects. The purpose is to deeply comprehend the link between investor sentiment and Thai stock market return. The aims include customizing investor sentiment indices to explain the Thai stock market index's movement, estimating investor sentiment's predictive ability, providing stock investors with referable trading strategies, and providing suggestions for cross-section equity selection. This study initially employs Principal Component Analysis (PCA) to customize the composite indices, called the …

The Analysis Of Enhanced Momentum Strategies In The Stock Exchange Of Thailand, Chayakon Kamolsawat

Chulalongkorn University Theses and Dissertations (Chula ETD)

The purpose of this study is to investigate the effectiveness of momentum strategies in investment portfolios, a well-known anomaly in the efficient market hypothesis, by portfolio are constructed by long winners and short losers. Specifically, the study focuses on the use of volatility to enhance momentum strategies in the Stock Exchange of Thailand from January 2013 to December 2022. The enhanced momentum strategies under investigation vary the portfolio weight with volatility and can be classified into constant volatility-scaled, constant semi-volatility-scaled, and dynamic-scaled approaches. The research aims to achieve two main objectives. Firstly, to analyze the potential of the enhanced momentum …

The Impact Of Government Response To Covid-19 On Stock Return Predictability, Disayadej Dangdej

Chulalongkorn University Theses and Dissertations (Chula ETD)

Recession is known to cause an increase in stock return predictability. The COVID-19 pandemics had not only resulted in sickness and loss of life but also plunged global economy into recession prompting governments to come up with measures to combat the disease. This paper first confirms that return predictability increased due the spread of COVID-19 using data from 41 countries on variations of popular predictors. Furthermore, it shows that government responses to COVID-19 alleviated the pandemic, the recession and reduced the return predictability with varying impact for different government measures. However, cases and deaths from COVID-19 which should have intensified …

Application Of Fractional Exponential Feature To Garch Model Variants For Improvement In Value-At-Risk Prediction, Chanet Saisatian

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research studies about using GARCH model variants as a parametric way in estimation and prediction of daily Value-at-Risk (VaR), one of famous risk measurement especially in financial world. To cope with various stylized facts on market’s volatility, two mixed GARCH models are proposed in this research: HY-GJR-GARCH model, the hybrid between hyperbolic GARCH (HYGARCH) and GJR-GARCH models, and HY-MS-GARCH model as the amalgam between HYGARCH and Markov switching GARCH (MSGARCH) models. These mixed models, along with rich mathematical formulations and benefits from their base models, are expected that their performance in predicting daily VaR is advanced against the performance …

Accrual-Based Earnings Management And Real Earnings Management Around Two Key Corporate Governance Regulatory Regime Changes In Thailand, Noor Nayeem Hasnat Farhan

Chulalongkorn University Theses and Dissertations (Chula ETD)

Two major corporate governance-related regulatory changes, one in 1999 and one in 2008, were implemented as a means to increase the independence of boards of directors of public companies in Thailand. I study whether each of these regulatory changes affects the degree of and leads to substitution of accrual-based earnings management (AEM) and real earnings management (REM), plus the effect of family ownership on the type and degree of earning management. The outcomes of the two regulatory changes are different with respect to earnings management. Univariate tests suggest no change in the levels of AEM and REM for the 1999 …