Finance and Financial Management Commons^™

Financial Literacy In The Era Of Artificial Intelligence. Towards Financial Inclusion. Opening Remarks, Łukasz Kurowski, Anna Szelągowska

Journal of Banking and Financial Economics

Financial Literacy in the Era of Artificial Intelligence. Towards Financial Inclusion. Opening Remarks

Euro-Denominated Credit Liquidity: Tracing Cyclical Phases In Global Finance, Mateusz Mariusz Mierzejewski

Journal of Banking and Financial Economics

In the past few years, set against the backdrop of pandemic mitigation efforts and the resultant inflationary spike, the macrofinancial landscape has undergone significant transformation. The tightening of monetary policy by global central banks in response to these phenomena has notably affected global financial liquidity, particularly within the realm of foreign currency lending. This article delves into the shifts in credit liquidity, centering on the Global Liquidity Index for euro-denominated loans across European Union nations over the last two decades. Through the application of the Fourier Transform, we analyse the cyclical patterns within the index and delineate the primary phases …

Expansionary Federal Monetary Policy And U.S. Banks’ Risk Profiles During The Covid-19 Pandemic-Induced Economic Recession, Maoyong Zheng, Cesar Escalante

Journal of Banking and Financial Economics

This study focuses on the pandemic phase when the U.S. economy dealt with significant economic recessionary pressures due to widespread, prolonged social mobility restraints. The Federal Open Market Committee (FOMC) promptly pursued expansionary policies, such as lowering the federal funds rate to almost zero until February 2022. This study employs a Dynamic Panel Data Generalised Moment Method Model (DPD-GMM) to analyse the impact of the COVID-19 pandemic’s economic shocks and FOMC’s expansionary policy on U.S. banks’ loan portfolio and asset complement risk profiles. Our analysis extends from two pre-pandemic years through the pandemic recession and recovery periods (until early 2022) …

The Planned Reforms Of The American And European Deposit Insurance Systems: Similarities And Differences, Konrad Szeląg

Journal of Banking and Financial Economics

Last year, at around the same time, two reforms of deposit insurance systems were announced – one in the United States and the other in the European Union. The American proposal of the reform was triggered by the banking crisis of March 2023 (bank runs and failures) and it was put forward by the Federal Deposit Insurance Corporation in May 2023. In Europe, the European Commission published in April 2023 its legislative proposal to reform the current EU framework for crisis management in the banking sector (including both deposit insurance and bank resolution). The EU proposal for the reform was …

Journal Of Banking And Financial Economics 2024, 2(22)

Journal of Banking and Financial Economics

Journal of Banking and Financial Economics 2024, 2(22)

Special Issues In Support Of Evidence-Based Policy Making In Sustainable Banking And Finance, Lucia Alessi, Theodor Florian Cojoianu, Declan French, Andreas G. F. Hoepner

Research Collection College of Integrative Studies

BackgroundIn December 2015, 195 countries around the world signed the Paris Agreement and pledged to work towards limiting global greenhouse gas emissions in order to limit the average global temperature increase to 1.5 °C above preindustrial levels. From a scientific perspective, the stabilisation of global warming under any target requires the achievement of a net-zero emissions economy (Matthews & Caldeira, 2008). In support of global investors looking to provide capital towards green solutions andSustainability disclosures – a means to what end?A significant body of literature has suggested that many of the voluntary sustainability disclosures of companies come from the need …

A Panel Partial Break Model For Forecasting Stock Returns With Parameter Instability, Nuttapat Bumrungrat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Predicting stock returns is one of the most fascinating problems in finance. However, predicting stock returns is also one of the most challenging problems due to the instability and noisy nature of stock returns. One of the promising directions to handle both problems is to use a panel break model. Recently, a panel common break model has been proposed and shown to generate superior predictive performance. However, the model assumes that every parameter breaks simultaneously, which is not aligned with empirical data. In this article, we propose a novel panel break model that addresses the main limitation of the common …

Option Pricing Based On A Stochastic Volatility With Co-Jump Model And Application In Thai Market, Lu Tang

Chulalongkorn University Theses and Dissertations (Chula ETD)

The correlated jumps in returns and volatility serve different, but complementary purposes in studying asset dynamic properties. In this paper, we choose Heston’s square-root stochastic volatility model, simultaneously incorporating jumps in returns and volatility, and propose a closed-form solution for European call option pricing. Applied to SET50 index in Thailand stock market, comparisons between the stochastic volatility with co-jump (SVCJ) model and the classical stochastic volatility (Heston) model are made to emphasize the significance of contemporaneous jumps appeared in asset dynamics. Empirical research demonstrates the superiority of SVCJ model in both out-of-sample pricing and hedging performance.

The Efects Of Cryptocurrency Wealth On Household Consumption And Investment, Darren Aiello, Scott R. Baker, Tetyana Balyuk, Marco Di Maggio, Mark Johnson, Jason Kotter

Faculty Publications

We use bank transaction data from millions of U.S. households to:

1. Characterize retail crypto investing
2. Examine the efect of crypto wealth on consumption and investment behavior
3. Zoom in on the efect of crypto wealth on housing spending
4. Document spillovers of crypto wealth to the local economy

The Influence Of Intellectual Property Mergers And Acquisitions On Long- Term Financial Performance: Insights From Chinese Companies, Mingyue Fang

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the long-term financial effects of intellectual property-related M&As (IP M&As) in China, using ROIC as the main performance metric. Based on a panel of listed firms from 2000–2020, it first applies a DID model to compare IP M&As with regular deals, then extends to a DDD framework to assess directional heterogeneity (North-to-South, South-to-North, intra-regional). Results show IP M&As improve ROIC, especially in North-to-South transactions. Mechanism analysis confirms enhanced innovation output, though its financial conversion may face institutional or integration frictions. The study highlights the strategic value of IP M&As and the importance of regional context in post-deal …

Abnormal Stock Return Predictability: Evidence From Excess Trading Volume In The Stock Exchange Of Thailand, Siriphum Bunnamma

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the predictive power of excess trading volume on abnormal stock returns in the Stock Exchange of Thailand, examining 11,575 stock-month observations from SET100 constituents over 2014-2023. Drawing on behavioral finance theories including attention effect, disposition effect, and investor overconfidence, the research develops a novel technical indicator called "Excess Trading Volume" (ExV), defined as the deviation between short-term (21-day) and long-term (200-day) moving averages of trading volume.Using cross-sectional regression analysis with CAPM-adjusted abnormal returns, the study tests two hypotheses: (1) high excess volume during positive return months predicts negative future abnormal returns, and (2) high excess volume during …

The Impact Of Underwriters On Ipo Underpricing: The Moderating Role Of Auditor, Nontapat Poonsinwiwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of underwriter reputation on IPO underpricing and the moderating role of Big-4 auditors in Thailand's capital markets. Using a comprehensive dataset of IPO firms listed on both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from 2018 to 2024, this research investigates whether certification mechanisms operate differently across market segments with varying information asymmetry levels. The analysis employs multiple linear regression with robust standard errors and fixed effects models to test two main hypotheses examining underwriter reputation effects and Big-4 auditor moderation. The findings reveal dramatically different certification dynamics across …

The Evolution Of Monetary Policy Transmission In Defi Market, Lynn Ko Maung

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates how U.S. monetary policy affects decentralized finance (DeFi), focusing on capital flows and interest rate sensitivity across over 500 DeFi pools from 2022 to 2024. Using three models: (1) static TVL regression, (2) rolling DeFi deposit beta, and (3) rolling DeFi interest beta, the analysis captures both cross-sectional and time-varying monetary transmission effects. Model 1 shows that DeFi deposits decline in response to rising interest rates. Model 2 confirms that DeFi deposit betas are weakly negative overall, with stablecoin pools exhibiting stronger sensitivity. Model 3 finds limited responsiveness in DeFi lending rates, suggesting that APYs are primarily …

Performance Of Lottery Stocks Held By Thai Mutual Funds, Suparerk Saardeiam

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper evaluates the performance of lottery stocks held by Thai mutual funds using stock price data of all stocks (both SET and MAI) and actively managed Thai open-ended domestic equity fund holdings from 2014 to 2023. The first objective is to examine whether any Thai mutual funds hold lottery stocks, and if such holdings generate positive raw returns or alphas based on the Fama-French 4-factor model. The second objective is to test the predictive power of lottery stocks held by Thai mutual funds using simplified version of cross-sectional Fama-Macbeth regression. The last objective is to examine whether long-short portfolios—long …

The Impact Of Corporate Strategic Aggression On Esg Scores: The Moderating Role Of Institutional Investors, Kittiphat Petchpradub

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the relationship between corporate strategic aggression and Environmental, Social, and Governance (ESG) scores, with particular focus on the moderating role of institutional investors. Using a comprehensive dataset of NASDAQ-listed companies from 2018 to 2023, this research investigates whether firms pursuing more aggressive strategies demonstrate superior ESG outcomes and how institutional ownership influences this relationship.The analysis employs a panel regression model with firm and year fixed effects to test three main hypotheses. First, I examine whether corporate strategic aggression positively affects ESG scores. Second, I investigate potential non-linear relationships where excessive strategic aggression may lead to diminishing returns …

Can Thai Mutual Fund Investors Benefit From Volatility Managed? Evident From Thailand, Nattapong Shutimayotingul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper examines whether Thai mutual fund investors can benefit from volatility-managed strategies using Thai open-ended domestic equity funds from January 2005 to December 2024. The study investigates whether volatility-managed strategies improve risk-adjusted returns across both active and passive funds, examines the performance drivers through volatility timing and return timing analysis, and analyzes whether investors implement these strategies in practice through fund flow behavior.The results show that volatility-managed strategies improve risk-adjusted performance and survive transaction costs but only work effectively during specific market conditions. Thai mutual fund investors demonstrate awareness of volatility timing benefits, as evidenced by reducing fund positions …

The Impact Of Environmental Performance On The Green Bond Premium In U.S.: Moderating Roles Of Social And Governance Performance, Teerapat Thuwanuti

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the existence of the Green Bond Premium in the U.S. secondary corporate bond market and investigates the impact of a firm’s environmental performance on the green premium. It further analyzes the moderating effects of social and governance performance on the relationship between environmental performance and the green bond premium.The analysis uses a sample of 66 matched pairs of green and conventional corporate bonds, matched through Propensity Score Matching (PSM) to ensure comparability across key bond characteristics. Key variables are obtained from Bloomberg for the period 2019 to 2024.The results confirm the existence of a modest green bond …

Performance Comparison Of Modern And Traditional Machine Learning Approaches For Unsecured Retail Credit Risk Prediction, Anupong Guersanor

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates performance comparison between modern and traditional machine learning approaches for unsecured retail credit risk prediction. Performance is compared by assessing the ability of a model to rank probability of default of modern approaches which are random forest and gradient boosting, versus traditional approach which is logistic regression. The findings indicate that modern machine learning models significantly outperform the traditional logistic regression model in both the overall unsecured retail market and the subprime market. This superior performance is likely due to modern models' ability to capture various customer profile, non-linear relationships and interactions among variables, which are more …

Are Healthcare Stocks A Safe Haven During Covid-19? : An Analysis Of Stock Return And Sector Segmentation Across Developed And Emerging Markets, Attani Tuwatchai

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines whether the healthcare sector functioned as a safe haven during the COVID-19 pandemic by analyzing its time-varying correlation with major market indices across developed and emerging economies. Utilizing a multi-method approach—centered on the DCC-GARCH model and supported by OLS regression—the research investigates how health crises and public policy responses influenced sector-level market dynamics. The analysis focuses on three main areas: the evolution of correlation structures before and during the pandemic, the influence of pandemic-related factors on correlation strength, and differences between developed and emerging markets. Although a Probit model was initially applied to estimate the likelihood of …

The Effect Of Financial Flexibility On The Leverage-Performance Relationship In The Set Market For The Pre-To-Post Covid-19 Situation, Akesuwat Sanjaingamworapat

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the effect of financial flexibility on the relationship between leverage and firm performance across three distinct economic phases—pre-COVID-19, pandemic, and post-pandemic recovery—in the Thai stock market (SET). Using panel data from SET-listed firms between Q1’2018 and Q4’2023, The analysis employs the fixed-effects and random-effects regression models with interaction terms to capture the dynamic role of financial flexibility and economic context. The findings confirm that leverage exerts a significantly negative effect on firm performance, particularly during the pandemic period, as measured by return on equity (ROE) and return on assets (ROA). However, this adverse impact is found to …

Arbitrage Opportunity On Set Index Futures With Multi-Regime Machine Learning Approaches, Supakrit Nititsopon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates mispricing between SET50 Index Futures and the spot market through a multi-regime framework that integrates traditional asset pricing theory with machine learning. Using data from 2010-2023, K-means clustering identifies distinct market regimes, while XGBoost models regime behavior based on micro- and macroeconomic features. OLS regression shows that mispricing is primarily driven by microstructural factors, with macroeconomic variables contributing marginally in specific regimes. A regime-specific pairs trading strategy between SET50 futures and the TDEX ETF reveals persistent, regime-dependent arbitrage opportunities. Notably, one regime generates consistent net returns after transaction costs, although limited trade frequency raises robustness concerns. The …

The Magnet Effect Of Circuit Breakers And Its Interaction With Price Limit On Thai Stock Market, Arthinsha Shinvoranont

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the magnet effect of circuit breakers and their interaction with daily price limits in the Thai stock market during the COVID-19 crisis. Using high-frequency intraday data from March 2020 and an AR(2)-GARCH(1,1) framework, the analysis examines whether returns and trading activity accelerate near circuit breaker thresholds and how firm characteristics influence this effect. Results reveal significant magnet effects at the individual stock level, especially among smaller firms, while evidence at the index level is weak. The study also finds that circuit breakers and price limits reinforce each other, amplifying price movements when both thresholds are approached. These …

Impact Of The Gold-To-Platinum Price Ratio On Mutual Fund Flows In Thailand, Luxamee Choktarm

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study explores whether the gold-to-platinum price ratio can explain mutual fund flows in Thailand by focusing on two key indicators: the abnormal GP ratio (AGP) and the fund sensitivity to monthly changes in GP (β∆GP). These measures are used to assess whether investors perceive the GP ratio as a proxy for economic uncertainty. The analysis uses monthly data from January 2017 to December 2023, covering both active equity funds and corporate bond funds. The models include fund level characteristics such as size, expense ratio, age, past flows, and return volatility, along with macroeconomic variables including inflation, exchange rates, interest …

The Impact Of Esg Performance On Equity Mispricing: Evidence From Asia-Pacific Markets, Visut Poochum

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the relationship between ESG performance and equity mispricing in Asia-Pacific markets from 2010 to 2023, using the Rhodes-Kropf et al. (2005) decomposition method. The results show that stronger ESG performance is significantly associated with lower mispricing, particularly among undervalued firms, suggesting that ESG improves pricing efficiency by reducing information asymmetry. ESG performance has limited influence on overvalued firms, indicating its impact is more pronounced when valuations are suppressed. Further analysis reveals that the environmental, social, and governance pillars each independently contribute to mitigating mispricing, highlighting their distinct roles in enhancing pricing accuracy. ESG controversy does not significantly …

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 …

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 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 …