Finance and Financial Management Commons^™

Mutual Fund Recommendations On Fund Flows And Returns, Rachapoom Karnasoot

Chulalongkorn University Theses and Dissertations (Chula ETD)

Using Thailand open-end mutual fund samples from 2017 to 2019, this study examines the impact of analysts’ recommendations on mutual fund flow and return. We decide to use the analysts’ recommendation from two big management companies in Thailand who publicly released their analysts’ recommendation in weekly periods, SCBAM and KAsset. We hypothesize and find the recommendations have a significantly positive impact on mutual fund flows and found no significant impact on return. Our study further examines the risk-adjusted return and observe no significant excess return is generated from recommended mutual funds.

Option Returns Around Earning Announcement In London, Thanawat Thangchadakorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

While prior studies find that returns on straddles constructing before earning announcements are positive in U.S. equity option market, we further investigate and find that returns on straddle constructing before earning announcement are positive in London Stock Exchange either. The logic behind this positive return while return on straddles are generally negative is option traders underestimate volatility of upcoming earning announcement period due to recency bias.

Premium, Ownership And Operating Performance In Rto, Chawalit Rungpiboonsopit

Chulalongkorn University Theses and Dissertations (Chula ETD)

A reverse takeover is an alternative method of listing instead of IPO. Compared to IPO, firms using RTO can avoid the stringent requirement of IPO and disclose less information. Hence, these transactions were viewed as suspicious transactions. The U.S-SEC also issued the warning that investors should be careful when considering investing in the RTO firm. However, it is unlikely that investors in the market can separate between the good RTO firm and the bad RTO firm because of the loose requirement of RTO which led to the arising of asymmetric information between investors and RTO firm. As a result, in …

The Impact Of Etf Mechanics And The Bank Of Japan Intervention On The Intraday Volatility Of The Underlying Stocks, Tharita Jumroonwat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Due to their low trading costs and superior liquidity, exchange-traded funds (ETFs) attract short-term liquidity traders. The liquidity shocks can pass to the underlying securities through the ETF mechanism. ETF may therefore increase the non-fundamental volatility of the underlying stocks. I carry out the test daily which allows me to timely measure the high-frequency variable of arbitrage activity between Nikkei 225 ETFs and their components. I find the consistent result with Ben-David et al. (2018) that stocks with higher ETF holding display significantly higher volatility and the intensity of arbitrage activity, proxied by stock-level mispricing, magnifies the impact of ETFs …

The Lead-Lag Relationship Of Block Trade Single Stock Futures And The Underlying Stocks: Evidence From Thailand, Pimnapa Wongvisavakorn

Chulalongkorn University Theses and Dissertations (Chula ETD)

According to the efficient market hypothesis, there should not be any lead-lag relationship of the spot and futures price of the financial assets; however, many empirical studies have suggested otherwise. This study uses the Vector Error Correction Model (VECM) and Granger causality test with the daily trading data of Thailand’s block trade single stock futures and its underlying securities of 42 companies from 2016 to 2020. It reveals both unidirectional and bidirectional relationships of spot and futures markets with a less dominant role of the futures market in the price discovery function. None of the sample companies have both long-run …

The Market And Specific Sector Stock Prices Reaction Around Corporate Bond’S Credit Rating And Outlook Changes – Evidence In Thailand, Kittika Sansanavanee

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines stock price reaction around credit rating and outlook changes in Thailand. We collect data from stocks listed in SET (The Stock Exchange of Thailand) which issued corporate bonds. These bonds must be listed in TBMA (The Thai Bond Market Association) and were rated by either Tris or Fitch rating Thailand between 2002-2020 (corporate bond credit rating and outlook change). We also study further about the effect of these credit rating events in 3 sectors of stock - Banking, Finance and Property Development. The empirical result shows that good credit events provide significant positive abnormal stock return after …

The Presence Of Style Drift And Its Effects In Thailand’S Equity Mutual Funds, Nuttha Lertwattanakiat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Active equity mutual funds have become a widely popular investment for investors with high risk tolerance due to potentially getting a higher return with the benefit of diversification and professional management. Investors can make decision on selecting funds by looking at “style”. Style is viewed in two dimensions; size and value-growth orientation at stock level. It helps investors to see how fund manager select stocks and the overall style of stock holding for a whole portfolio. Investors can take this factor into considerations to build portfolio to align with their strategy. But what will happen if the style is changed …

The Relationship Between Fees And Performance Of Domestic Equity Funds In Thailand, Thapanee Suphapitakpaiboon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study inclusively examines the relationship between fund fees and performance of open-end domestic equity funds in Thailand from 2010 to 2019 to analyze the domestic-equity fund market in 2 main dimensions: the market competitive and conflict-of-interest between the duties of asset management companies (AMCs) to their parent bank and to unitholders through fund fee channel. The study investigates the relationship of (1) fund fees, (2) fund fees set by bank subsidiaries, and (3) fund fees set by large-bank subsidiaries with its performance in term of both returns over benchmark and Jensen’s alpha. Based on the results, investors paid higher …

Unexpected Movement In Monetary Aggregates And Its Effect On Asset Price In Thailand, Paripon Sriboon

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to develop a structural vector autoregressive (SVAR) model to study the dynamic relationships between broad money and other macroeconomics variables in Thailand. The structural restrictions on SVAR model are based on economics intuition and novel finding that money does not react contemporaneously to transitory component of the short-term interest rate. The model also features stock price and house price as the different response of asset price and goods price will be monitored. There are total of seven monthly endogenous variables included in the model covering the period of 2010 - 2020. The result based on forecast error …

Determining The Tracking Error And Value-At-Risk Of An Active Portfolio When Combined With A Passive Portfolio With Value-At-Risk Constraint, Nuttawoot Ladee

Chulalongkorn University Theses and Dissertations (Chula ETD)

When an asset manager manages a portfolio, he usually imposes a TE or a VaR limit on his portfolio to control portfolio risks. However, a portfolio may be divided into different portions. In our research, we consider a portfolio that consists of an active portion and a passive portion. Having a VaR budget of an entire portfolio, we propose methods to determine TE and VaR limit on the active portfolio and illustrate them by using real data. In the empirical part, some problems can occur when we relax certain theoretical assumptions such as (1) stocks in an investment universe can …

Double Bottom Pattern Recognition For Trading Strategy, Chusana Nuntanart

Chulalongkorn University Theses and Dissertations (Chula ETD)

We utilize the Double bottom pattern, which is a common and the most easily recognized reversal pattern in the technical analysis approach, to seek the existence of abnormal returns from 1 Jan 2009 to 31 Dec 2019. The general event study methodology was used to statistically test for the existence of abnormal returns from 611 stocks in SET. We concluded that there was an existence of abnormal return from trading with the Double bottom pattern strategy. This led to the conclusion that the Thai stock market might be not as informationally efficient as academics have conjectured.

Option Pricing Using Local Volatility Function: How To Specify Its Knots?, Wisuth Raweerojthanatt

Chulalongkorn University Theses and Dissertations (Chula ETD)

European options of an asset are priced following a continuous 1-factor diffusion model and the generalized Black-Scholes equation. Volatility knots are determined by many specifications that are the number and the location of knots at any stock price and time to expiration. Considering the volatility knots as a set of decision variables, we can approximate the local volatility function with a bicubic spline function to compute option values fitted to a finite set of market data by solving a constrained nonlinear optimization problem. With the real market data of SET50 Index options, pricing accuracy of different knots’ specifications are demonstrated. …

Reverse Stress Testing On Non-Elliptical Jointly Distributed Multivariate Data, Chevincee Werawanich

Chulalongkorn University Theses and Dissertations (Chula ETD)

No abstract provided.

The Hybrid Pareto Distribution, Implied Risk-Neutral Density And Option Pricing, Purin Luanloy

Chulalongkorn University Theses and Dissertations (Chula ETD)

This paper aims to develop a new European option pricing model based on the Extreme Value Theory (EVT). We assume that, in the risk-neutral probability measure, simple negative returns of the S&P500 index follow the Hybrid Pareto (HP) distribution. Then, we derive closed-form pricing formulas for call and put options according to the risk-neutral pricing method. Additionally, we assume that the distribution has a fat tail. Our study’s benchmark model is the Generalized Extreme Value (GEV) model proposed by Markose and Alenton (2011). We estimate model parameters by minimizing the root-mean-square error. The results show that the HP model provides …

News Shocks And Business Cycle In Emerging Markets, Jakkraphan Kangwanvibul

Chulalongkorn University Theses and Dissertations (Chula ETD)

This study examines news shocks in theoretical real-business-cycle model in the aspect of emerging-market economy. Many features in emerging-market business cycles, such as consumption volatility that exceeds income volatility, sudden stop pattern in capital flows and strongly countercyclical current account to income, distinguish itself from a developed small opened economy, and in this study, it also differentiates itself from previous works in the literature by studying in the aspect of business cycles in emerging markets. The study uses simulation method, developing on real-business-cycle theory to generate artificial business cycle moments and impulse response function. For the result, it considers news …

Market Liquidity And Mutual Fund Performance During Financial Crisis, Matina O-Warinrat

Chulalongkorn University Theses and Dissertations (Chula ETD)

Market illiquidity influences mutual fund performance differently between crisis and non-crisis period. A significant drop in market liquidity makes investors panic leading to the early and large redemption. Fund managers have to liquidate the portfolio putting pressure on the asset prices, so the underperformance of mutual fund is recognized in non-crisis period. However, the result of illiquidity is different during crisis. The total effect of market illiquidity is positively related to all fund classes. This could then be interpreted as the evidence of management skills, market-timing and volatility-timing skills in fund managers to provide superior fund performance. Moreover, the further …

Financial Vulnerability And The Reproduction Of Disadvantage In Economic Exchanges, Tianyu He, Rellie Derfler-Rozin, Marko Pitesa

Research Collection Lee Kong Chian School Of Business

Integrative value generation through negotiated business deals is a fundamental way in which organizations and economic systems attain economic benefits. It is also an important way in which individuals can improve their financial situation. We propose that individuals most in need of improving their financial standing, those in a financially vulnerable situation, are least likely to reap the benefits of integrative value generation. We theorize that financial vulnerability induces a more zero-sum construal of success, or a view that success for one person must come at another person’s success. A more zero-sum construal of success, in turn, hampers negotiators’ ability …

Sell-Side Analysts' Benchmarks, Ohad Kadan, Leonardo Madureira, Rong Wang, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

Sell-side analysts employ different benchmarks when defining their recommendations. A buy for some brokers means the stock is expected to outperform its industry, while for other brokers it means the stock is expected to outperform the market, or some return threshold. We show that these stated benchmarks have implications for the distribution of recommendations, price reactions to recommendations, and the investment value of recommendations. We conclude that, depending on the question, academics may need to account for the benchmarks when studying analysts’ outputs, and investors may find the benchmarks beneficial in interpreting analysts’ advice.

Potential Pilot Problems: Treatment Spillovers In Financial Regulatory Experiments, Ekkehart Boehmer, Charles Jones, Xiaoyan Zhang

Research Collection Lee Kong Chian School Of Business

In analyzing regulatory experiments, a fundamental assumption is that the control group is unaffected. However, in many settings, this assumption may not hold. Generally, the total effect of a regulatory change consists of direct and indirect effects, but the standard difference-in-difference approach measures only direct effects. We apply our methods to the 2007 repeal of the uptick rule by the SEC. The indirect effects are substantial, because unlike the 2005 partial repeal, total repeal enables aggressive portfolio shorting. In particular, we find that short sellers become much more aggressive across the board, and shorting activity increases, even in control stocks …

The Narrowness Of Shorting Profitability, Karl B. Diether

Faculty Publications

I examine the persistence in stock level short-selling profitability by using contract level shorting data. I do find that short-sellers are profitable on average using an approach that takes into account the exact timing of the opening and closing of short positions. But I also find that this profitability is driven by the set of stocks for which short-sellers previously had strongly profitable outcomes. I find that if short-selling contracts for a given stock are profitable in the last six months that on average short sellers continue to make profitable trades in that stock in the future. For stocks with …

Do Physician Incentives Increase Patient Medication Adherence?, Edward Kong, John Beshears, David Laibson, Brigitte C. Madrian, Kevin Volpp, George Loewenstein, Jonathan Kolstad, James J. Choi

Faculty Publications

Objective: To test the effectiveness of physician incentives for increasing patient medication adherence in three drug classes: diabetes medication, antihypertensives, and statins.

Data Sources: Pharmacy and medical claims from a large Medicare Advantage Prescription Drug Plan from January 2011 to December 2012.

Study Design: We conducted a randomized experiment (911 primary care practices and 8,935 nonadherent patients) to test the effect of paying physicians for increasing patient medication adherence in three drug classes: diabetes medication, antihypertensives, and statins. We measured patients’ medication adherence for 18 (6) months before (after) the intervention.

Data collection/extraction methods: We obtained data directly from the …

Estimating The Need For Additional Bankruptcy Judges In Light Of The Covid-19 Pandemic, Benjamin Iverson, Jared A. Ellias, Mark Roe

Faculty Publications

In this Article, we present the first effort to use an empirical approach to bolster the capacity of the bankruptcy system during a national crisis—here, the COVID-19 crisis. We provide two analyses, one using data from May 2020, very early on in the crisis, and another using data from September 2020, closer to the publication of this Article. Our analysis is based on an empirical observation: Historically, an increase in the unemployment rate has been a leading indicator of a rise in bankruptcy filings. If this historical trend continues to hold, the May 2020 unemployment rate of 13.3% would have …

Modelling Cross-Market Linkages Between Global Markets And China’S A-, B- And H-Shares, Thi Tuan Anh Do

Theses: Doctorates and Masters

One of the biggest challenges in quantifying joint risk and forming effective policies in financial management and investment strategies is to fully understand the characteristics of market associations in low and high volatility periods. Market interdependence, therefore, is a hot topic that has received interest from academics and industry experts, especially since the Asian Financial Crisis in 1997. China, being the world’s second-largest economy, has been the centre of many studies investigating stock market dependencies. While China has three major share types, namely A-, B- and H-shares, with different market players, market characteristics and operating efficiency, the number of studies …

Essays On Risk Management Of Insurance Companies, Olga Kanj

Theses and Dissertations (Comprehensive)

This dissertation examines the risk management of insurance companies. It consists of three essays, which study the risk management of property and casualty (P/C) insurance companies. The first essay examines the impact of board diversity on firms’ risk-taking strategies using Canadian P/C insurance companies. The findings show that board ethnic diversity significantly decreases company risk as measured by reinsurance, asset risk, and leverage risk. Ethnic background values of the board members could be the reason behind this effect, board members with ethnic backgrounds from countries with high (low) Uncertainty Avoidance Index (UAI) decrease (increase) the risk. Results also show that …

Challenges And Trends In Sustainable Corporate Finance: A Bibliometric Systematic Review, Tad Dat Bui, Mohd Helmi Ali, Feng Ming Tsai, Mohammad Iranmanesh, Ming-Lang Tseng, Ming K. Lim

Research outputs 2014 to 2021

Sustainable corporate finance is an attractive field of study in sustainability literature; however, the literature lacks systematic bibliometric analysis that provides a comprehensive review to clarify state-of-the-art sustainable corporate finance and that discusses new opportunities and potential instructions for further studies. To address this gap, this study adopts a literature review, bibliometric analysis, network analysis and co-wording technique to systematically investigate the Scopus database. In total, 30 keywords listed at least three times are used and are divided into six clusters considering six fields of research, namely, corporate finance in corporate sustainability, sustainable competitive advantages, sustainable stakeholder engagement, circular economy, …

Stochastic Volatility And Garch: Do Squared End-Of-Day Returns Provide Similar Information?, David Edmund Allen

Research outputs 2014 to 2021

The paper examines the relative performance of Stochastic Volatility (SV) and GARCH(1,1) models fitted to twenty plus years of daily data for three indices. As a benchmark, I use the realized volatility (RV) for the S&P 500, DOW JONES and STOXX50 indices, sampled at 5-minute intervals, taken from the Oxford Man Realised Library. Both models demonstrate comparable performance and are correlated to a similar extent with the RV estimates, when measured by OLS. However, a crude variant of Corsi’s (2009) Heterogenous Auto-Regressive (HAR) model, applied to squared demeaned daily returns on the indices, appears to predict the daily RV of …

State Ownership And Banks Information Rents: Evidence From China, Fengyan Ru, Qi Liang, Wei Wang

Business Faculty Publications

In a lending relationship, a bank with an information advantage regarding its client tends to hold up the borrower and charge higher interest rates. We conjecture that state-owned enterprises (SOEs), with worse information asymmetry, are subject to greater information
rents. State-owned banks place less emphasis on information production and hence extract lower rents compared to profit maximizing private banks. We use the decline of loan interest rates around the borrowers’ equity initial public offerings (IPOs) as the proxy of banks’ information rents. We find SOEs in China experience
larger declines in loan interest rates around their IPOs; the central government-controlled …

Does Corporate Social Responsibility Reduce The Costs Of High Leverage? Evidence From Capital Structure And Product Market Interactions, Kee-Hong Bae, Sadok El Ghoul, Omrane Guedhami, Chuck C.Y. Kwok, Ying Zheng

Finance Department Faculty Journal Articles

Research on capital structure and product market interactions shows that high leverage is associated with substantial losses in market share due to unfavorable actions by customers and competitors. We examine whether corporate social responsibility (CSR) affects firms’ interactions with customers and competitors, and whether it can reduce the costs of high leverage. We find that CSR reduces losses in market share when firms are highly leveraged. By reducing adverse behavior by customers and competitors, CSR helps highly leveraged firms keep customers and guard against rivals’ predation. Our results support the stakeholder value maximization view of CSR.

Development Of A Financial Literacy Component For A Comprehensive Secondary Transition Program For Diploma-Bound Students With Learning Differences, Rose Marie Borillo

Student Capstone Papers

Under the Individuals with Disabilities Education Act (IDEA), schools are required to provide transition planning for students with disabilities and mental illness by age 16 (Eismann et al, 2017). Occupational therapists have been underutilized in secondary transition planning, despite their expertise in targeting functional abilities, comprehension, and health using activity analysis to promote skill attainment and achieve independence (Mankey 2012; Eismann et al, 2017).

At the Winston School, there was no formal transition program aside from the individual college counseling provided by a staff member. A coordinated transition program was indicated to prepare students for life after high school to …

The Cost Of Secrecy Isn't Worth It For The Lds Church, Nathan B. Oman

Popular Media

No abstract provided.