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2024

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Articles 481 - 501 of 501

Full-Text Articles in Finance and Financial Management

Competitiveness And The Impact Of Esg Scores On The Cost Of Debt, Jiranan Luangkrajang Jan 2024

Competitiveness And The Impact Of Esg Scores On The Cost Of Debt, Jiranan Luangkrajang

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the relationship between Environmental, Social, and Governance (ESG) scores and the cost of debt across Asian markets, focusing on the moderating role of market competition and the distinction between sustainability-focused and non-sustainability-focused firms. The analysis employs cross-sectional regression techniques and comprehensive statistical approaches, incorporating industry-level competitiveness measures and firm-level ESG performance. By examining how varying ESG scores influence borrowing costs under different competitive pressures, the study provides critical insights into corporate financial outcomes.

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Comparative Effects Of Esg Disclosure And Performance On Corporate Debt Financing Costs: Evidence From The Asia-Pacific Region, Chanakan Mungkarak Jan 2024

Comparative Effects Of Esg Disclosure And Performance On Corporate Debt Financing Costs: Evidence From The Asia-Pacific Region, Chanakan Mungkarak

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines the comparative effects of ESG disclosure and ESG performance on corporate debt financing costs of the firms in Asia-Pacific countries during the year 2014 to 2023. Grounded in signaling and stakeholder theories, the analysis assesses whether lenders respond more to transparency or actual ESG implementation. The findings show that ESG performance consistently has a stronger and more significant impact on reducing borrowing costs than ESG disclosure. In models including both variables, only ESG performance remains significant. Robustness checks using an ESG gap score reveal that in developed economies, firms with misaligned disclosure and performance are penalized, while …

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The Impact Of Quantitative Easing Policy On Bank Riskiness, Sandar Pyae Phyoe Jan 2024

The Impact Of Quantitative Easing Policy On Bank Riskiness, Sandar Pyae Phyoe

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the impact of Quantitative Easing (QE) on bank riskiness across 18 countries from 2001 to 2023. Using a panel dataset and Generalized Method of Moments (GMM) estimation, this research explores the relationship between QE and bank risk-taking behavior, with a particular focus on differences between advanced and emerging economies. The results indicate that QE generally increases bank riskiness, as reflected by a significant decline in Z-Scores, particularly in advanced economies where prolonged monetary easing compresses net interest margins and incentivizes riskier lending practices. In emerging markets, however, the impact of QE appears delayed, with positive effects on …

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Esg Performance And Its Impact On Systematic Risk And Idiosyncratic Risk: Evidence From Emerging Asia, Kunlaphat Trongpanich Jan 2024

Esg Performance And Its Impact On Systematic Risk And Idiosyncratic Risk: Evidence From Emerging Asia, Kunlaphat Trongpanich

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the relationship between ESG performance and corporate risk, focusing on systematic and idiosyncratic components. Using panel data from 264 listed companies in six Emerging Asian markets between 2014 and 2023, the analysis employs fixed-effects regression models. The results indicate that ESG performance significantly reduces idiosyncratic risk but has no clear effect on systematic risk. Among ESG pillars, the Social Score shows the strongest risk-reducing effect. Additionally, ESG proves more effective in mitigating firm-specific risk during periods of economic crisis, such as the COVID-19 pandemic, China stock market crash and the Russia–Ukraine conflict. Firms involved in ESG controversies …

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Investors' Response On Movie Distributors' Achievements, Kanathip Bumroongchai Jan 2024

Investors' Response On Movie Distributors' Achievements, Kanathip Bumroongchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research examines the impact of movie-related factors on the abnormal returns of movie distributor stocks in the United States, focusing specifically on gross opening revenues and industry awards. The study analyzes nine firms using monthly data from 1995 to 2024 and applies the Ordinary Least Squares (OLS) model to test the hypotheses. The findings reveal that only awards received by competitors significantly reduce a firm’s abnormal returns, supporting both the Asymmetric Information Theory and Social Comparison Theory. In contrast, the gross opening revenues of a firm’s own movies do not lead to abnormal returns, aligning with the Efficient Market …

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Do Regulatory Announcements Still Cause Price Volatility? : A Pre- And Post-Msr Analysis Of The Eu Ets, Pornnapat Kuleung Jan 2024

Do Regulatory Announcements Still Cause Price Volatility? : A Pre- And Post-Msr Analysis Of The Eu Ets, Pornnapat Kuleung

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines whether the introduction of the Market Stability Reserve (MSR) has changed how the EU Emissions Trading System (EU ETS) responds to regulatory policy announcements affecting EUA supply and demand. Using event study and volatility analysis, it compares 81 events across Pre-MSR (before 2019) and Post-MSR (after 2019) periods.Cumulative abnormal returns (CARs) are estimated via a mean-adjusted model and tested using Welch’s t-test. Volatility is assessed through a GARCH(1,1) model, with structural differences evaluated using a Likelihood Ratio Test and a bootstrap test.Findings show that the MSR has reduced overreaction and volatility in specific contexts—particularly during recurring supply-related …

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กลยุทธ์การขาย Straddle Options ในคู่สกุลเงิน Usd/Thb: การศึกษาประสิทธิภาพในระยะยาว, กิตติพร ศันสนะวาณี Jan 2024

กลยุทธ์การขาย Straddle Options ในคู่สกุลเงิน Usd/Thb: การศึกษาประสิทธิภาพในระยะยาว, กิตติพร ศันสนะวาณี

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

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The Impact Of Esg And Digital Transformation On Firm Value: Evidence From Thailand, Chaiyavit Jungprasert Jan 2024

The Impact Of Esg And Digital Transformation On Firm Value: Evidence From Thailand, Chaiyavit Jungprasert

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the impact of Environmental, Social, and Governance (ESG) scores, digital transformation, and their incremental effect influence on corporate value, measured by Tobin's Q, among SET100 companies. The paper uses a fixed-effects panel regression with data from 2017 to 2023 to determine how these characteristics influence firm valuations. The result shows that ESG scores has a statistically significant positive effect on business value, implying that investors prefer companies with high ESG scores, particularly in the environmental and social domains. However, governance scores don't appear to have a major impact on firm value. Furthermore, the study shows that digital …

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Three Essays On Risks In The Option And Cds Markets, Seyed-Erfan Sadeghi Jan 2024

Three Essays On Risks In The Option And Cds Markets, Seyed-Erfan Sadeghi

Theses and Dissertations (Comprehensive)

This dissertation comprises three essays investigating topics in insurance on debt and equity. The first essay utilizes patent groups as an indicator of technological proximity and demonstrates that climate risk associated with technology-related firms can predict the next quarter’s Credit Default Swap (CDS) for the focal firm. The findings indicate that a 24 basis point (bps) change in the next quarter’s CDS can be attributed to the spillover effect from technology-related companies. Sentiment analysis reveals that this outcome is primarily driven by concerns related to regulatory factors. Importantly, these results remain robust even after accounting for firm-specific characteristics and industry-fixed …

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Three Essays On Corporate Debt Contracting And Innovation, Olaleye Morohunfolu Jan 2024

Three Essays On Corporate Debt Contracting And Innovation, Olaleye Morohunfolu

Theses and Dissertations (Comprehensive)

This dissertation comprises three essays investigating topics in Corporate Debt Contracting and Innovation. The first essay examines the relation between Passive Institutional Ownership (IO) and debt covenants. Using Russell 1000/2000 annual index reconstitution as a source of exogenous variation in passive IO, I find that passive IO leads to reduced covenants in the bond market. Specifically, I find that passive IO leads to reduced (a) Investment, (b) Dividend restriction, and (c) Subsequent financing restriction. However, I observe weaker results for loan covenants, implying that loans, usually collateralized, are less sensitive to changes in passive ownership. The overall effect of passive …

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Narrative Economics As The Origins Of Momentum, Aung Khant Myat Jan 2024

Narrative Economics As The Origins Of Momentum, Aung Khant Myat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the role of economic narratives in shaping momentum effects in U.S. equity markets from 1984 to 2017. Utilizing narrative attention measures developed by Bybee et al. (2024), we examine how narrative attention and narrative innovation influence both time-series and cross-sectional momentum returns, after adjusting for Fama-French factors. LARS is employed for variable selection, and rolling-window regressions are used to capture time-varying factor loadings. Through a combination of time-series and panel data analysis, we test hypotheses related to static, persistent, and asymmetric narrative effects, along with firm- and market-level moderators. While the results are mixed across subsamples and …

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Does Esg Performance Influence Cash Holding Behavior? Evidence From Asia-Pacific Firms, Khin Sandy Kyaw Jan 2024

Does Esg Performance Influence Cash Holding Behavior? Evidence From Asia-Pacific Firms, Khin Sandy Kyaw

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study explores the relationship between Environmental, Social, and Governance (ESG) performance and corporate cash holdings among publicly listed firms in the Asia-Pacific region from 2010 to 2023. Grounded in stakeholder theory and the precautionary motive for cash, the analysis examines whether firms with higher ESG performance hold less cash and whether this relationship is moderated by financial constraints and financial distress. Employing panel fixed-effects regression, two-stage least squares (2SLS), and system GMM methods, the results consistently indicate that ESG performance is negatively associated with cash holdings. The moderating analyses reveal that financially constrained or distressed firms with high ESG …

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Growth Stock Performance: Analysts And Investors, Klah Kanittanon Jan 2024

Growth Stock Performance: Analysts And Investors, Klah Kanittanon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research study examines the earnings growth expectations for growth stocks from the perspectives of investors and analysts. Portfolios were categorized based on the earning growth expectations of investors and analysts, with returns measured using the Fama-French Three-Factor Model from 2011 to 2023 in the U.S. stock market. The portfolio returns based on analysts' expectations were significantly positive, indicating that analysts tend to underestimate earnings growth for growth stocks. In contrast, the portfolio returns based on investors' forecasts were close to zero and not statistically significant, implying that investors do not systematically overestimate or underestimate earnings growth expectations for growth …

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A Customized Compartmental Epidemiological Model With Vaccination Groups For Covid-19 And Its Application To Pricing Pandemic Insurance Policies, Om Kanchanasakdichai Jan 2024

A Customized Compartmental Epidemiological Model With Vaccination Groups For Covid-19 And Its Application To Pricing Pandemic Insurance Policies, Om Kanchanasakdichai

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study presents an agent-based modeling framework designed to evaluate epidemic-responsive insurance mechanisms under behavioral and supply-side constraints. The model does not rely on empirical calibration or external datasets; instead, it explores how stylized agent behavior and systemic pressures jointly influence insurance uptake, coverage efficiency, and policy outcomes. The simulation integrates a stochastic SEIR+ disease progression structure with individual-level decision making shaped by perceived risk salience, scarcity sensitivity, and delayed response behavior. A two stage evaluation process is implemented: first, a global sensitivity analysis identifies the key drivers of agent and system behavior; second, a strategic policy simulation compares the …

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Capm With Independent Regimes For The Alpha And Beta And An Application In Portfolio Optimization, Suwapith Payakapong Jan 2024

Capm With Independent Regimes For The Alpha And Beta And An Application In Portfolio Optimization, Suwapith Payakapong

Chulalongkorn University Theses and Dissertations (Chula ETD)

We develop a regime-dependent Capital Asset Pricing Model (CAPM), in which alpha and beta follow independent regime-switching processes, and use it in the mean-variance optimization (MVO) framework. Although the model does not significantly improve predictive metrics, we find that the predicted returns from the model have a larger rank correlation with the realized future returns than those from the historical mean and the common-regime CAPM, which assumes shared regime shifts between alpha and beta. The mean-variance portfolio derived from our model yields a superior out-of-sample risk-adjusted return compared to the portfolios derived from the equal-weight strategy, market index replication, the …

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Esg Materiality Issues On Stock Returns: Stock Exchange Of Thailand, Napassorn Tinnakorn Jan 2024

Esg Materiality Issues On Stock Returns: Stock Exchange Of Thailand, Napassorn Tinnakorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the impact of Environmental, Social, and Governance (ESG) materiality issues on stock returns in the Stock Exchange of Thailand (SET). Leveraging data from 90 listed companies between 2018 and 2021, the research examines whether firms focusing on material ESG issues demonstrate superior performance. Using an innovative SASB, MSCI, and MSCI-SASB ESG materiality framework, the study differentiates between material and immaterial ESG issues. By constructing portfolios based on ESG materiality scores and evaluating their performance through a comprehensive five-factor model, the research provides nuanced insights into ESG investing in an emerging market context. The study addresses a critical …

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Market For Manipulable Information, Hui Chen, Jian Sun Jan 2024

Market For Manipulable Information, Hui Chen, Jian Sun

Research Collection Lee Kong Chian School Of Business

We study how investors, firms, and information sellers interact in a market with manipulable information. To better predict the firm characteristics they care about, investors can buy a score from a monopolistic information seller, which aggregates signals that are subject to firm manipulation. The average degree of signal manipulability has no effect on the equilibrium, while the uncertainty about manipulability becomes a new source of noise. Its contribution depends on firms' incentive to manipulate the signals, which in turn depends on the equilibrium price sensitivity to the score. The optimal design of the score weighs signal precision against the endogenous …

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Artificial Intelligence In Stock Analysis And Portfolio Building, Sean M. Lynch Jan 2024

Artificial Intelligence In Stock Analysis And Portfolio Building, Sean M. Lynch

Honors Theses and Capstones

The emergence of artificial intelligence (AI) investment analysts, often referred to as “robo-advisors”, has the potential to change traditional portfolio management. These systems access vast amounts of data and make portfolio management decisions and stock market predictions. In this study, I compared AI-generated portfolios with portfolios that were created manually. Surprisingly, the human-generated portfolios outperformed the AI portfolios. However, the prompt used in the AI application affects these results. The subset of AI portfolios that were created with specific objectives specified in the prompts outperformed those that were created with more generic prompts. Overall, this research sheds light on the …

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Unattended In-Home Delivery Under Varying Scenarios Of Technology-Enabled Anonymity, James C. Brau, Hugo A. Decampos Jan 2024

Unattended In-Home Delivery Under Varying Scenarios Of Technology-Enabled Anonymity, James C. Brau, Hugo A. Decampos

Faculty Publications

Whereas many companies have explored attended in-home delivery as one solution to challenges associated with last mile delivery, few have explored unattended in-home delivery. This paper examines consumer willingness to allow unattended in-home delivery under various scenarios of anonymity. Specifically, we study how blockchain-enabled anonymity of sellers, delivery companies, and consumers can influence consumer willingness to allow unattended in-home delivery of a nutritional product in this last mile service triad. Hypotheses build on agency theory and the potential for information asymmetry and opportunism. The analyses are based on data from 784 responses to an online survey of end-consumers who were …

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The Impact Of Changing Disclosure Requirements, Competition, And Private Capital On Firm Exit Methods And Premiums, James C. Brau, Ninon K. Sutton, Qiancheng Zheng Jan 2024

The Impact Of Changing Disclosure Requirements, Competition, And Private Capital On Firm Exit Methods And Premiums, James C. Brau, Ninon K. Sutton, Qiancheng Zheng

Faculty Publications

Changing disclosure requirements and the evolution of US markets in the 21st century have created historic shifts in the exit strategies and payoffs for private firms. The propensity to sell to an acquirer has dominated firm exits in recent decades, especially for smaller private firms in highly concentrated industries. Exceptions to the merger exit preference are venture capital‐backed firms, which exhibit an enduring preference for IPOs, likely due to the reputation effects associated with this strategy. While the premium for IPO exits has exceeded that for M&A exits in the past, we document a reversal in this pricing trend: in …

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Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang Jan 2024

Derivatives And Market (Il)Liquidity, Shiyang Huang, Bart Zhou Yueshen, Cheng Zhang

Research Collection Lee Kong Chian School Of Business

We study how derivatives (with nonlinear payoffs) affect the underlying assets liquidity. In a rational expectations equilibrium, informed investors expect low conditional volatility and sell derivatives to the others. These derivative trades affect different investors utility differently, possibly amplifying liquidity risk. As investors delta hedge their derivative positions, price impact in the underlying drops, suggesting improved liquidity, because informed trading is diluted. In contrast, effects on price reversal are ambiguous, depending on investors relative delta hedging sensitivity, i.e., the gamma of the derivatives. The model cautions of potential disconnections between illiquidity measures and liquidity risk premium due to derivatives trading.

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