Finance and Financial Management Commons^™

Corporate Climate Risk And Cash Holdings, Parima Limwong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper studies how companies manage their cash when they face different types of climate risks. It uses data from public companies in the United States from 2002 to 2023. The study measures climate risks such as transition risk, physical risks, and regulatory risk by looking at climate related words in companies’ earnings calls and reports. It also uses a special index that shows how uncertain climate policy is, based on news articles. The results show that companies with high regulatory risk usually keep more cash because they expect extra costs from new rules. However, risks from natural disasters or …

The Impact Of Morningstar Rating On Mutual Fund Performance, Risk, And Flows Evidence In Thailand Equity Mutual Funds, Maythavee Leeruangsakul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the role of Morningstar ratings in predicting mutual fund performance, persistence, and fund flows in the Thai mutual fund market. The research focuses on three main objectives. First, it examines the relationship between Morningstar ratings and performance metrics including net return, 1-factor alpha, 4-factor alpha, Sharpe ratio, and Sortino ratio and risk metrics, including maximum drawdown, standard deviation, and Value-at-Risk, using both matched-pair analysis and regression methods. Second, it explores the persistence of fund performance through quintile transition matrices, regression analysis of lagged 4-factor alpha, and the cross-product ratio. Third, it analyzes the relationship between Morningstar ratings …

The Impact Of Maturity Mismatch On Default Risk: Evidence From Thailand, Rujirat Tangjitsamarnmitr

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of maturity mismatch on default risk among listed companies in the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from 2011 to 2023. It also investigates the moderating roles of external and internal factors that affect the relationship between maturity mismatch and default risk. The study employs a naïve probability approach, a simplified version of the Merton model, to estimate default probability. The results show that maturity mismatch significantly increases the probability of default, meaning that firms that rely on short-term financing to fund long-term investments face a higher likelihood of …

Mispricing Of Set50 Index Futures Calendar Spreads: Evidence From The Thailand Futures Exchange, Lapat Nangsue

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the mispricing of SET50 Index Futures calendar spreads on the Thailand Futures Exchange (TFEX), focusing on deviations from the cost-of-carry model. Using end-of-day data from 2019 to 2024, the study analyzes how mispricing evolves as contracts approach expiration. The findings reveal that mispricing intensifies during the rollover period—particularly within 10 trading days before maturity—suggesting increased cost and risk for investors. Open interest in deferred contracts is found to be significantly correlated with mispricing, while net positions by investor types do not show statistical significance. The study also examines the 6-month calendar spread, which demonstrates more pricing stability …

The Impact Of Board Gender Diversity On Corporate Financial Performance In Southeast Asia: The Moderating Role Of Internationalization, Phanuwat Jianwattananukul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of board gender diversity on corporate financial performance and investigates the moderating role of internationalization in the context of Southeast Asia. Using a panel dataset of publicly listed firms from five Southeast Asian countries (Indonesia, Malaysia, the Philippines, Singapore, and Thailand) over the period 2014–2023, the analysis employs fixed effects regression models incorporating country, industry, and year fixed effects. The results show that board gender diversity is negatively and significantly associated with Tobin’s Q, indicating that increased female representation on boards is linked to lower market valuation. However, no significant effect is found on accounting-based …

Determinants Of M&A In Japan And Effect Of Governance Reform, Maytakorn Lumyongsathien

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the evolving role of private equity (PE) in Japan’s mergers and acquisitions (M&A) landscape, with particular attention to three critical stages: target selection, deal completion, and the influence of board independence. Analyzing M&A transactions across the pre- and post-2015 period, we find that PE acquirors consistently target firms characterized by low profitability, high leverage, and high asset tangibility suggesting an emphasis on unlocking value through operational turnaround and debt-financed restructuring. The probability of deal completion increases when targets exhibit weaker financial performance but stronger collateral, consistent with the use of leveraged buyout strategies. Importantly, the implementation of …

Tax-Incentivized Esg Funds And Esg Bond Yields: Evidence From An Emerging Market, Phanjarat Daengnimvikul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the presence of an ESG yield spread in Thailand’s bond market and evaluates the impact of the Thai ESG Fund policy launched in Q4 2023. Using a matched sample of ESG and conventional bonds issued from 2018–2024, we apply Exact Matching, Propensity Score Matching (PSM), and Difference-in-Differences (DiD) techniques to examine whether ESG bonds offer lower yields and whether the introduction of tax-incentivized ESG funds has influenced bond pricing. Results indicate a significant ESG yield spread in both corporate and government segments prior to the policy. However, while the spread remained unchanged for government bonds, it narrowed …

Share Pledging And Firm Performance: Evidence From Thailand, Natchakan Kanjanaphan

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the relationship between share pledging intensity in credit balance accounts and firm performance and risk among publicly listed companies in Thailand. Using a balanced panel dataset of all common stocks listed on the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from December 2015 to December 2024, the analysis explores how pledging activity relates to firm outcomes across different firm sizes. Firm performance is measured using Return on Assets (ROA) and Tobin’s Q, while firm risk is assessed through cash flow volatility, stock return volatility, and idiosyncratic volatility. Employing fixed effects panel regression …

The Impact Of Carbon Emissions On Stock Price Movements: Evidence From The Thai Market, Punnawit Saengchanthanu

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of carbon emissions on stock price movements in the Thai market, focusing on whether direct (Scope 1) and indirect (Scope 2 & 3) emissions influence stock returns. Additionally, it investigates how financial leverage moderates this relationship. Using data from 173 firms listed on the Stock Exchange of Thailand (SET) between 2019 and 2023, the study applies an abnormal return model to assess investor reactions to changes in carbon scores. The findings indicate that carbon emissions do not significantly impact stock prices, suggesting that Thailand’s market may not fully price carbon risk. These results align with …

The Effect Of Reit Characteristics And Regulations On Dividend Payment: Evidence From Thailand, Nitinat Vienthong

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study aims to examine the effects of various characteristics of Real Estate Investment Trusts (REITs) on dividend payouts among Thai REITs listed on the Stock Exchange of Thailand (SET) from 2018 to 2024. Specifically, it investigates how dividend smoothing, asset ownership structure, managerial gender, and regulatory policies influence dividend distributions. The analysis is conducted using a Fixed Effects panel regression model. The purpose of this study is to provide empirical insights to better understand the key drivers of dividend payment behavior among Thai REITs. The result of this study finds that. First, it investigates the extent to which Thai …

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 …

The Impact Of Carbon Emissions On Corporate Financial Performance: The Moderating Role Of Corporate Governance, Pornpitak Jomsubjaroen

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the relationship between corporate carbon emissions and financial performance, focusing on the moderating role of corporate governance. Using panel data from 1,368 firms across 22 countries in high-carbon-emitting industries between 2015 and 2024, the analysis incorporates Scope 1, Scope 2, Scope 3, and total emissions as independent variables. Financial performance is measured using both Return on Assets (ROA) and Tobin’s Q, while corporate governance is evaluated through ESG governance pillar scores. The findings reveal that Scope 1 emissions are positively and significantly associated with ROA, indicating that emission-intensive firms—especially in production-driven industries—may achieve higher profitability. Scope 2 …

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.

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 …

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 …

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 …

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 …

Impact Of Diversity, Inclusion, And People Development (Dip) To Firm’S Value: Moderating Role Of Institutional Ownership And Governance In Emerging Asia, Jaruwan Wankeaw

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the impact of Diversity, Inclusion, and People development (DIP) on firm value (Tobin’s Q) in Emerging Asia by utilizing DIP index during 2016-2023 and explore the moderating roles of institutional ownership and corporate governance. This study employs OLS regression models with fixed effect controls. The results reveal that the composite DIP score is positively and significantly associated with firm value, indicating that firms investing in people-centered practices benefit from enhanced market valuation. This study suggests that institutional ownership significantly moderates the effect of people development, they enhance the effectiveness of firm-level investments in employees. However, it does …

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

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

Following The Experts: Identifying What Influences Returns From Analyst Recommendations, Patitan Suppasupanya

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of analyst consensus recommendations on stock returns in the Thai market, focusing on whether factors such as analyst qualifications, institutional ownership, and macroeconomic indicators influence the effectiveness of these recommendations. Using panel data from 30 stocks in the SET Index, this research employs a fixed effects regression model to analyze the relationship between analyst consensus and future stock performance. The findings reveal that while analyst consensus provides a general direction for investment decisions, its predictive power varies based on institutional ownership, consumer confidence, and unemployment rates. Institutional ownership appears to enhance the accuracy of recommendations, …

Black-Scholes Option Pricing And Greeks Using Excel’S “Lambda” Function, Tom Arnold, Joseph Farizo, Jonathan M. Godbey

Finance Faculty Publications

The =LAMBDA function within Excel provides a powerful new tool for investors and analysts. In this treatment, we show how to create a function that calculates an option’s intrinsic value, price, and delta based on the Black-Scholes model. Other option Greek functions and calculations are available in a downloadable file. The LAMBDA function is not limited to the Black-Scholes model and has important advantages over Excel’s previous solution of creating user-defined functions in VBA.

Did Asu 2020-06 Impact Firm Corporate Financing Decisions?, Eric Sanchez

CMC Senior Theses

This research examines the influence of financial accounting standards for hybrid securities on corporate financing decisions. It uses ASU-2020-06 as a setting to test changes to the influence of moral hazard, adverse selection, and financial distress contracting costs on the likelihood of convertible bond issuances under the prior and latter accounting regimes for securities convertible into an entity's own equity.

Mechanism Design For Optimizing On-Chain Sell Order In Market Without Market Maker, Nico Pei

CMC Senior Theses

The absence of market makers alters the microstructure of the market. It’s difficult to get exposed to time-weighted prices in markets without market makers. In this paper, we delve into three mechanism designs – discrete gradual dutch auction, continuous gradual dutch auction, and variable rate gradual dutch auction – to study how to execute time-weighted sell orders on blockchain in a market without market makers. To make it simpler for readers to understand, we imagine an example of helping a close friend of Picasso to sell his 100 Picasso paintings in the next 10 years since 1970, with the private …

2024 Crummer Truist Portfolio Recommendations: Crummer Investment Management 25th Anniversary, Ryan Astley, Bryan Campbell, Bridget Collis, Axel Einarsson, Caroline Gastonguay, Valeria Hernandez-Grisanti, Jay Kineon, Catherine Mitchell, Charlie Putrino, Nicholas Rojas, David Scupholm, Trevor Siemon, Lily Thornewill, Cole Trinter, Nick Villamil, Brad Vincent, Zane Williams

Crummer Truist Portfolios

We would like to thank you for your service to the Crummer Truist Portfolio. Without your participation, Crummer students would not benefit from the unique insight you bring to managing an active portfolio. We have been fortunate to listen and learn from some outstanding guest speakers who have been generous with their time and expertise: J. Clay Singleton, Emeritus Professor, Crummer Graduate School of Business; Phillip Rich, Chief Investment Officer, United Community Bank; Rasha Mesharafa, Registered Associate, Wells Fargo Advisors; James Bishop, Director, Streamwise Capital; Matej Sušec, Research Analyst, DePrince, Race, and Zollo; Robert Zhang, Senior Research Analyst, DePrince, Race …

Three Essays On Mutual Fund Flows, Yi-Ju Chien

Finance and Real Estate Dissertations - Archive

This dissertation comprises three essays that investigate the impact of real interest rates (real rates) on mutual fund dynamics, specifically focusing on the performance-flow relationship (PFR) and the size-flow relationship (SFR).

Essay 1 explores how real rates influence the PFR in equity mutual funds. The hypothesis posits that higher real rates increase investors' opportunity costs, prompting them to prioritize past performance more heavily, thus intensifying the PFR. Empirical analysis supports this hypothesis, revealing that a 1% increase in real rates correlates with a 1.816% increase in PFR, holding other variables constant. This relationship is mixed across different subgroups of funds …

Dow Jones Sustainability Indices And Esg Scores: Do They Tell The Same Story?, Minoo Tehrani, Andreas Rathgeber, Edward Dougherty, Lawrence Fulton, James Fournier

Business Faculty Publications

The focal point of this research is to compare two of the largest global organizations’ sustainability indices and scores, namely Dow Jones Sustainability Indices (DJSIs) and Standard & Poor’s Global (S&P Global) ESG scores (environmental, social, and governance), which rank companies based on their sustainability practices, and to learn if they correspond to each other. Considering that Germany is the hub of large companies from leading global industries, this research compares the ESG scores of the German companies that appear on the Dow Jones Sustainability Indices. Several statistical analyses are conducted to determine if the German companies on the DJSIs …

Market Reaction Test On Banks & Brokers Based On Bitcoin Price History. A Look At National Commercial Banks And Security Broker, Exchanges, And Service Stocks Following The Most Volatile Swings In Bitcoin’S Price., Payton Earl

CMC Senior Theses

This paper examines if there is an inverse correlation between Bitcoin’s most volatile price swings and national commercial banks and security brokers, exchanges and service companies performance. Company performance in the dataset is measured by Cumulative Abnormal Returns during 2021 within a two-day period where Bitcoin has had the most significant uptick and downtick events. Using a market-adjusted model for my regression, it is concluded that Bitcoin’s largest uptick event did indeed have an inversely negative effect on traditional banks and trading securities companies, as the Cumulative Abnormal Returns were negative for my 107 observations and the event was statistically …

Ai-Nvesting: An Empirical Analysis With Sector Categorization And Prompt Complexity Considerations Assessing The Predictive Power Of Chatgpt In Stock Market Forecasting, Ian J. Larson

CMC Senior Theses

Abstract

This paper investigates whether ChatGPT has any predictive power when it comes to the stock market. Since its public release in December 2022, OpenAI’s ChatGPT has become a popular tool for millions of users across the world. With new use cases being found every day, I explore whether the system has any utility at predicting where stock prices will go. Using a 10-year study window, I prompt ChatGPT to give U.S. equity picks on a one-year holding period basis, segregating its picks into 3 different category sizes across 8 directed prompts. I examine the 24 equal weight portfolios of …

Nfl Positional Value In Terms Of Salary Cap Spending: Why Are Running Backs Undervalued?, Charlton Jackson

CMC Senior Theses

Running Backs over the past two decades have seen a contract value devaluation relative to other positions and the league's salary cap spending limit. The growth of running back salaries has stagnated in the past decade, and they currently fail to keep pace with the contracts for other positions. Through our empirical research, we were able to either reject or better explain existing reasoning for recent running back devaluation, such as the increase in passing volume, durability concerns, and running backs by committee. We found that the most significant change in the past 30 years of the NFL, since the …

Mda Services: Yes, You Can Recoup Your Dues With Mda-Endorsed Programs, Reva Darling

The Journal of the Michigan Dental Association

MDA Services Report highlights how being an organized dentistry member can yield significant financial returns through MDA-endorsed products and services. By leveraging just eight of the 32 endorsed offerings, potential savings of $25,659 are achievable. Key endorsed services include Best Card for credit card processing, iCoreConnect for software needs, Quality Dental Plan for in-office dental plans, The Dentists Supply Company (TDSC.com) for supplies, ProSites for website and e-marketing, D-MMEX Easyrefine for precious metal refining, Eagle Associates for regulatory compliance, and Dental Business Specialists for accounting. Members are urged to explore the range of endorsed programs for comprehensive benefits.