Finance and Financial Management Commons^™

The Effect Of Earnings Quality On Financial Analysts’ Dividend Forecast Error : The Moderating Roles Of Investor Sentiment And Economic Uncertainty, Tanabordee Jutaputthi

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the influence of earnings quality on the accuracy of financial analysts' dividend forecasts for companies listed on the Thailand Stock Market Exchange (SET) and the Market for Alternative Investment (mai) for the period from 2015 to 2022. using a sample of 891 observations. focusing on the moderating roles of investor sentiment and economic uncertainty. The findings reveal that good earnings quality helps reduce dividend forecast errors. We find no evidence of the moderating roles of investor sentiment and economic uncertainty, implying that analysts might possess the expertise to incorporate the implications of economic uncertainty into their forecasts …

The Impact Of Esg Performance On Stock Volatilityin Asia-Pacific Markets: The Moderating Rolesof Corruption And Economic Development, Thosaporn Tonghui

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the impact of Environmental, Social, and Governance (ESG) disclosures and scores on stock volatility in Asia-Pacific markets. The paper also assesses the moderating roles of corruption and economic development in this relationship. Using data from 2010 to 2022, the research employs the Fama-French multi-factor models to analyze the relationship between ESG metrics and stock idiosyncratic volatility. The findings indicate that both ESG disclosure and higher overall ESG scores significantly reduce stock volatility, underscoring the importance of transparency and robust ESG practices in mitigating firm-specific risks. Additionally, the study reveals that the social and governance pillars of ESG …

The Intervention Of Shareholder Activism, Does It Actually Improve Firm Performance? Evidence From Apac, Burist Chertchoo

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines the influence of shareholder activism on the performance of 420 Asia-Pacific firms from 2013 to 2022, utilizing the Capital Asset Pricing Model and the Fama-French-Carhart model to assess abnormal returns. Findings indicate a generally positive trend in firm performance post-activism, particularly over long periods, suggesting activism's potential to drive sustained firm value improvements. In addition, there is no enough evidence to conclude that the target firms experience the pump-and-dump pattern after the departure of shareholder activists. However, the impact of specific activism strategies and outcomes on performance often lacks statistical significance, highlighting the multifaceted nature of activism's …

Board’S Gender Diversity And Educational Backgrounds As Determinants Of Cost Of Debt: Managerial Hierarchy Perspectives In Thai Financial Landscape, Pitchaya Thuwanaka

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the impact of board gender diversity, financial background, and educational diversity on the cost of debt for Thai listed companies, focusing on the SET50 firms from 2015-2016 and 2021-2022. Utilizing data from Refinitiv DataStream, SETSMART, and annual reports, this research examines whether the presence of women on boards, financial expertise, and diverse educational backgrounds influence borrowing costs. The findings reveal that female board members do not significantly impact the cost of debt, challenging common assumptions about gender diversity's financial benefits. In contrast, boards with directors possessing financial backgrounds, particularly those in chairman and executive management positions, are …

The Moderating Role Of Asset Tangibility, Economic Policy Uncertainty, And Control Of Corruption On The Impact Of Public Debt On Cost Of Debt And Investment, Raksit Lomtakul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research aims to explore two main objectives: first, to investigate the impact of public debt on corporate borrowing costs and investment activities; and second, to examine how moderating factors like Asset Tangibility (TAN), the World Uncertainty Index (WUI), and Control of Corruption (CC) shape this relationship. The findings reveal that higher public debt levels significantly increase corporate borrowing costs and reduce investment activities, underscoring the need for policymakers to adopt prudent fiscal strategies that balance debt management with fostering a supportive environment for private sector investment. Furthermore, the study highlights the moderating effects of Asset Tangibility, WUI, and Control …

Determinants Of Asset Growth Premium: Evidence From Thailand, Ramita Raksakunpanich

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the asset growth anomaly in the Thai stock market, examining whether new factor constructed from decomposed asset components offers superior explanatory power for stock returns compared to the original aggregate asset growth factor. The research analyzes key components of total assets, including both sides of the balance sheet covering investing and financing activities. Our findings reveal that all the new factors constructing based on each component of asset is spanned by all the Fama-French factor. The overall explanatory power of total asset growth is superior. This suggests that total asset growth is the best predictor of investment …

Household Debt On Retirement Preparedness For Thai Population, Sutudta Phainoun

Chulalongkorn University Theses and Dissertations (Chula ETD)

Thailand household debt problem are key barriers to retirees achieving financial freedom. This study aims to access the relationship between mortgage debt, credit card debt and education debts with the retirement preparedness of working-age population aged 30-60 years old in Thailand by utilizing multiple linear regression analysis. The findings revealed that Thai populations are at a moderate level of retirement preparedness. The private sector is particularly concerned about the lack of savings for later life. Moreover, not all kinds of debts are bad debt, mortgage debt could fall into the category of good debt since it may be tax-deductible, credit …

The Impact Of Financial Advisor Reputation On Ipo Underpricing: Evidence From Thailand, Suparat Kongsompot

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study explores the role of financial advisors (FAs) in the initial public offering (IPO) process, particularly focusing on how their involvement affects IPO underpricing. IPO underpricing, a well-documented phenomenon where shares are priced below their market value on the first trading day, has been extensively studied, often with an emphasis on the role of underwriters (UWs). However, this research addresses the gap in literature regarding the distinct contributions of FAs, who are crucial yet often conflated with UWs. Drawing on the context of Thailand, where regulatory requirements mandate the involvement of FAs separate from UWs, this study investigates the …

Investor Sentiment Influence On The Preference For Lottery-Like Stocks Among Thai Mutual Fund, Pichayapong Srisawad

Chulalongkorn University Theses and Dissertations (Chula ETD)

This research investigates the preferences of Thai mutual funds for lottery-like stocks, characterized by stock skewness. Given that market sentiment fluctuates over time, the study also explores how the preferences of Thai mutual funds for lottery-like stocks vary with market sentiment. The research aims to understand if holding these stocks can generate significant excess returns and to evaluate the impact of fund size and age on these investment preferences during different market sentiment periods. By analyzing data from the first quarter of 2020 to the third quarter of 2023, this study provides a comprehensive view of the strategic decisions made …

Impact Of Morningstar Sustainability Rating On Mutual Fund Flow: Evidence From Thailand, Jiratchaya Thamhaisuk

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates the impact of Morningstar Sustainability Ratings on Thai mutual fund flows, focusing on three aspects: the impact of the ratings' introduction, the differential effects of varying ESG ratings, and the influence of ESG ratings during the COVID-19 pandemic. The analysis encompasses various methodological approaches, including event studies, propensity score matching, cross-sectional, and panel regression analyses, to provide comprehensive insights into investor behavior to Morningstar Sustainability Ratings. Globally, sustainability ratings have a significant impact on mutual fund flows. This study finds that there is a strong initial impact following the publication of the Morningstar Sustainability Ratings, particularly for …

The Influence Of Interest Rates On Small And Medium Enterprises In Thailand, Minthra Srimanchanda

Chulalongkorn University Theses and Dissertations (Chula ETD)

Small and medium-sized enterprises (SMEs) are crucial to economic development, significantly contributing to employment and economic activities in Thailand. However, despite their importance, SMEs often face financial challenges that can hinder their operations and growth prospects. This research investigates the determinants of non-performing loans (NPLs) of SMEs in Thailand, with a particular focus on the impact of interest rates and other macroeconomic indicators such as GDP growth, unemployment rates. The study employs three Ordinary Least Squares (OLS) models to analyze the relationship between these variables and NPLs. The findings reveal that higher GDP growth significantly reduces NPLs, suggesting that economic …

Corruption And Informal Economies In Asia, Min Thiha

Chulalongkorn University Theses and Dissertations (Chula ETD)

This thesis explores the dynamic interaction between corruption, the informal economy, and the political and economic institutional qualities in 39 Asian countries from 2001 to 2021, using 819 observations and fixed-effect estimation method. The findings indicate that corruption significantly enlarges the shadow economy, supporting the notion that corruption can facilitate business operations in heavily regulated environments. Conversely, higher economic freedom and democratic governance are linked to smaller shadow economies, underscoring the importance of transparent and accountable institutions. Additionally, higher tax burdens and rapid GDP growth are associated with larger informal sectors, while increased FDI inflows and population growth tend to …

Relationship Between Institutional Ownership And Stock Returns: Evidence From Thailand, Warit Chitpaiboon

Chulalongkorn University Theses and Dissertations (Chula ETD)

Institutional investors play a crucial role in financial markets. Understanding how their ownership affects stock returns can provide valuable insights for both institutional investors and individual investors in making informed investment decisions. In financial markets, the relationship between institutional ownership and stock returns has been a subject of extensive debate. Institutional investors, including mutual funds, pension funds, and hedge funds, wield significant influence over equity markets due to their holdings' sheer magnitude and ability to execute large-scale trades. Understanding how their investment decisions impact stock returns is not only crucial for investors seeking to optimize their portfolios but also for …

How Avoiding Positions During Macroeconomic News Announcement Periods Enhances Gold Trading Strategies, Patipan Piyakulmala

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper investigates the impact of macroeconomic news announcements on trading performance and evaluates the efficacy of avoiding trades during these periods. The study employs three trading strategies: Exponential Moving Average (EMA), Moving Average Convergence Divergence (MACD), and Momentum, analyzing their performance across eight major news events: Non-Farm Payrolls (NFP), Consumer Price Index (CPI) for the US and China, ISM Manufacturing Index (ISM), Industrial Production (IP) for the US and China, German IFO Business Climate, and EU Interest Rates. Utilizing a multifactor regression model, we assess the return performance of trades avoided during news announcements, incorporating control variables such as …

Underpricing And Overpricing Of Stocks Following Extreme Returns: Evidence Of Thailand, Manasnant Tejahwandee

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study investigates how investors in Thailand's stock market react to extreme losses and gains, focusing on underpricing and overpricing phenomena. The objective is to analyze these market behaviors and trading strategies comprehensively. We employ statistical methods, including the Carhart four-factor model, to assess risk-adjusted performance and explore the effects of capital gains overhang and investor sentiment on stock returns. Our methodology involves forming quintile portfolios based on extreme loss and gain returns, using Winsorizing to handle outliers. We analyze both raw and cumulative returns, comparing stocks with the highest and lowest extreme returns. Additionally, we examine the influence of …

National Elections And Volatility Of Stock Returns, Case Study Of Thailand, Sirawit Triyasuk

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study explores how electoral factors, including final week surprises, political donations, pre-election polls, election results, and prime minister vote outcomes, affect the volatility of stocks return which are listed on the Thai Stock Exchange. Employing regression models, it assesses how these elements impact market fluctuations, revealing that unexpected events and significant political contributions during election weeks crucially affect market stability differently. The findings indicate that pre-election polls and political donations significantly contribute to increased market volatility. This suggests that during election periods, heightened political activity and financial contributions can lead to greater uncertainty in financial markets, providing key insights …

Land Prices And The Development Process, Henry J. Munneke, C. F. Sirmans, Barrett Slade

Faculty Publications

As lot area increases, it is commonly believed that land prices will increase at a nonconstant rate. In the case where the land price-area curve increases at a decreasing rate with respect to parcel area, it is believed the cost of subdividing land is the driving factor behind the concavity. This paper uses a unique data set to explore how the area elasticity of price changes over the development cycle as land moves from raw land to finished lots. The results show the area elasticity of price increases as parcels of land move through the phases of development. The results …

Explaining Racial Disparities In Personal Bankruptcy Outcomes, Bronson Argyle, Sasha Indarte, Benjamin Iverson

Faculty Publications

We document substantial racial disparities in consumer bankruptcy outcomes and investigate the role of racial bias in contributing to these disparities. Using data on the near universe of US bankruptcy cases and deep-learning imputed measures of race, we show that Black filers are 21 and 3 percentage points (pp) more likely to have their bankruptcy cases dismissed without any debt relief in Chapters 13 and 7, respectively. We uncover strong evidence of racial homophily in Chapter 13: Black filers are 10 pp more likely to be dismissed when randomly assigned to a white bankruptcy trustee. To interpret our findings, we …

Fintech Lending With Lowtech Pricing, Mark J. Johnson, Itzhak Ben-David, Jason Lee, Vincent Yao

Faculty Publications

FinTech lending—known for using big data and advanced technologies—promised to break away from the traditional credit scoring and pricing models. Using a comprehensive dataset of FinTech personal loans, our study shows that loan rates continue to rely heavily on conventional credit scores, including 45% higher rates for nonprime borrowers. Other known default predictors are often neglected. Within each segment (prime/nonprime) loan rates are not very responsive to default risk, resulting in realized loan-level returns decreasing with risk. The pricing distortions result in substantial transfers from nonprime to prime borrowers and from low- to high-risk borrowers within segment.

Who Invests In Crypto? Wealth, Financial Constraints, And Risk Attitudes, Darren Aiello, Scott R. Baker, Tetyana Balyuk, Marco Di Maggio, Mark J. Johnson, Jason Kotter

Faculty Publications

We provide a first look into the drivers of household cryptocurrency investing. Analyzing consumer transaction data for millions of U.S. households, we find that, except for high income early adopters, cryptocurrency investors resemble the general population. These investors span all income levels, with most dollars coming from high-income individuals, similar to equity investors. High past crypto returns and personal income shocks lead to increased cryptocurrency investments. Higher household-level inflation expectations also correlate with greater crypto investments, aligning with hedging motives. For most U.S. households, cryptocurrencies are treated like traditional assets.

Human-Centred Artificial Intelligence In The Banking Sector, Krishnaraj Arul Obuchettiar, Alan @ Ali Madjelisi Megargel

Research Collection School Of Computing and Information Systems

Changes in technology have shaped how corporate and retail businesses have evolved, alongside the customers’ preferences. The advent of smart digital devices and social media has shaped how consumers interact and transact with their financial institutions over the past two decades. With the rapid evolution of new technologies and customers' growing preference for digital engagement with financial institutions, organizations need to adopt and align with emerging technologies that support speed, accuracy, efficiency, and security in a user-friendly manner. Today, consumers want hyper-personalized interactions that are more frequent and proactive. Moreover, financial institutions have a growing need to cater to consumers' …

Finance Against Law: The Case Of China, Shitong Qiao

Faculty Scholarship

Can there be a highly developed financial market without legal protection for investors and creditors? The influential law and finance literature is built on the assumption that legal protection is essential to the development of an impersonal financial market. This Article investigates how two financial markets of trillions of dollars have developed extralegally in the past two decades despite the risk of regulatory enforcement and contract defaults. Specifically, I examine (1) how Chinese internet companies from Sina to Alibaba have designed contracts to circumvent the Chinese government’s ban on foreign capital in its internet industry and (2) how Chinese entities …

Interrelationships In Inventory Turnover Performance Between Supplier And Customer Firms, Joseph J. Henry, Peter Christensen, James C. Brau

Faculty Publications

Using inventory turnover to measure the efficiency of corporate inventory management, we perform econometric analyses to verify whether the inventory efficiency of a firm’s supply chain partners is a statistically significant driver of the firm’s own inventory efficiency. We test two mutually exclusive hypotheses. First, suppliers hold inventory on behalf of customers, effectively displacing inventory up the supply chain and resulting in a negative correlation between supplier and customer inventory turnover. Alternatively, inventory efficiency is integrated along the supply chain, resulting in a positive correlation between supplier and customer inventory turnover. Our bivariate and multivariate analyses of both firm- and …

Banking Industry Sustainable Growth Rate Under Risk: Empirical Study Of The Banking Industry In Asean Countries, Isnurhadi, Sulastri, Yulia Saftiana, Ferry Jie

Research outputs 2022 to 2026

This research examines how the banking industry maintains its sustainable growth rate. The sample consists of 328 commercial banks in the ASEAN area. A fixed effect model is employed to analyze the data. The study reveals several findings: (1) The countries with the most risk in the banking industry are Indonesia, Thailand, Philippines, Malaysia, and Singapore. (2) Operational risk has a negative effect on sustainable growth and a positive effect on actual growth. Asset utilization positively affects sustainable growth and positively affects actual growth. (3) Business risk has a positive effect on sustainable growth but a negative on actual growth. …

Twitter Sentiment Analysis: Applications In Healthcare And Finance, Jiali Wang

Dissertations

This research explores the influence of Twitter sentiment on healthcare and finance industries. It assesses how Twitter sentiment and culture measure influence COVID-19 statistics, and it investigates the impact of Twitter sentiment on S&P 1500 stock mispricing. Furthermore, it examines how tweet sentiment predicts major industry returns.

The first part examines how Hofstede’s Culture Dimensions (HCD) and Twitter economic uncertainty index (TEU) relate to COVID-19 infection rate and death rate. The results show certain aspects in HCD, such as power distance index (PDI) and masculinity (MAS) both are negatively and significantly associated with the infection rate, while indulgence (IVR) and …

Esg And Intellectual Capital Efficiency: Evidence From Asean Emerging Markets, Etikah Karyani, Muhamad Resa Perdiansyah

Jurnal Akuntansi dan Keuangan Indonesia

This study aims to investigate the impacts of Environmental, Social, and Governance (ESG) in total and individual performance (“E”, “S”, and “G”) on firms’ intellectual capital (IC) efficiency. The Value-Added Intellectual Coefficient (VAIC) and Modified Value-Added Intellectual Coefficient (MVAIC) were used to measure IC efficiency. Meanwhile, the annual ESG index data from the ASEAN-4 were used to measure ESG from 2015 to 2020. The results show “E”, “S”, and “G” and total ESG positively affect firms’ efficiency in managing IC. In addition, the industry type moderates these relationships in terms of that banks have a greater influence than non-banks. Our …

Indonesian Halal Msme Open Innovation With Islamic Fintech Adoption, Muhammad Alfarizi, Ngatindriatun Ngatindriatun

Jurnal Akuntansi dan Keuangan Indonesia

The Fourth Industrial Revolution has led to the development of Islamic FinTech innovations to meet the needs of the Muslim community. This study analyzes the factors that determine the adoption of Sharia FinTech by halal MSME owners. The study utilized an exploratory method based on an online survey of halal MSME owners with 319 samples. The PLS-SEM analysis technique was chosen to prove the research hypothesis. This research finds that variables such as religiosity, Islamic financial literacy, and perception of risk affect the intention to adopt Islamic FinTech. The UTAUT2 variable has a positive effect on knowledge of Sharia FinTech …

Evaluating The Degree Of Using Islamic Financing Instruments Based On The Concept Of Indebtedness And Its Developmental Importance (A Case Study Of Palestine Islamic Banks 2013-2019), Azmi Awad

Journal of the Arab American University مجلة الجامعة العربية الامريكية للبحوث

This study aimed to shed light on the Islamic financing instruments based on the concept of Indebtedness and indicate the degree of the use of those instruments in the Islamic banks during 2013-2019. This could be achieved by indicating the size and degree of concentration of the use of those instruments and the fairness of their distribution to various economic sectors on the one hand, and explaining the developmental importance of those financing instruments in the economy on the other hand. The researcher used the descriptive analytical approach and the comparative approach. To test the validity of the hypotheses, Pearson …

Another History Of Global Financial Markets: Local Stock Market Integration Since 1913 From A Network Perspective, Cécile Bastidon, Michael Bordo, Antoine Parent, Marc Weidenmier

Business Faculty Articles and Research

We examine local and global equity market integration since 1900 using network methods. The analysis uncovers a new stylized fact about equity market integration over the past 120 years. Local equity market integration generally increases over the entire sample period. This finding is at odds with much of the existing literature that describes long-run market integration as following a U-shape pattern. Global stock market integration peaks in 1913 followed by disintegration during the Great Depression and Bretton Woods periods. Then it rebounds and achieves the highest level of integration during the recent period of globalization that began in the early …

Lessons Learned: Gaurav Vasisht, Sandra Ward

Journal of Financial Crises

Gaurav Vasisht served as assistant counsel, banking and financial services, to the governor of New York during the Global Financial Crisis of 2007–2009 (GFC). In his role, Vasisht set the governor’s agenda for banking and financial policy and oversaw the regulatory and legislative priorities of the state banking and insurance departments. Vasisht played a pivotal role in developing and drafting consumer protection legislation, particularly as it related to housing foreclosures at the time of the crisis. This Lessons Learned is based on an interview with Vasisht that occurred on September 27, 2019.