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 effects. Core activists emerge with a significant positive impact, while the significance of an activist's stake size and the breadth of objectives varies, pointing to the complex interplay between activism strategies and firm outcomes. The study calls for further research to understand the conditions under which activism most effectively enhances firm performance, emphasizing the nuanced role of shareholder activism in corporate development and value creation in the APAC region.

This paper investigates the determinants of forecast accuracy and brokerage coverage in the Thailand stock market from 2009 to 2022. Leveraging a comprehensive dataset comprising various financial metrics and market variables, we explore the impact of infrastructure development, digital communication, and external factors such as the Covid-19 pandemic on analysts' forecast accuracy and the coverage of stocks by brokerage firms. Our analysis employs regression models to examine the relationships between these variables and forecast accuracy, as measured by the absolute deviation between predicted and actual earnings, and brokerage coverage, quantified by the number of brokerage firms covering a particular stock. The results reveal nuanced relationships between infrastructure development, digital communication, and forecast accuracy, with infrastructure improvements and digital tools exhibiting varying effects on analyst behavior and forecast accuracy. Moreover, the Covid-19 pandemic and its associated disruptions have introduced additional complexities, altering the dynamics of forecast accuracy and brokerage coverage in ways not fully captured by traditional metrics. Our findings underscore the importance of considering the interplay between physical and digital infrastructures, alongside external factors, in shaping market dynamics and analyst behavior. Additionally, control variables such as firm profitability and financial leverage exhibit consistent significance, highlighting the influence of firm-specific financial health on market outcomes. Overall, our study contributes to a deeper understanding of the factors driving forecast accuracy and brokerage coverage in financial markets, providing valuable insights for investors, analysts, and policymakers alike.

This study investigates the impact of greenhouse gas (GHG) emissions on corporate financial performance in Japan, with a particular focus on the role of environmental regulations. We hypothesize that while lower GHG emissions generally enhance financial performance, the benefits diminish beyond a certain point. Additionally, we examine how stringent environmental regulations influence this relationship. We use total GHG emissions and total GHG emissions per company’s enterprise value including cash (EVIC) as the proxies. The results indicate that GHG emissions negatively impact corporate financial performance, as measured by ROA and Tobin's Q. However, the regulatory environment, whether stringent or not, does not significantly alter this relationship. These findings suggest that while regulatory measures might have short-term profitability implications, they do not necessarily negatively impact long-term firm valuations. Furthermore, the study reveals that companies with lower emissions may incur fewer long-term costs highlighting the financial benefits of effective pollution management, particularly in the context of strict environmental regulations. Also, the study provides valuable implications for policymakers and businesses, highlighting the complex interplay between environmental responsibility, regulatory frameworks, and financial performance.

This study explores the impact of goodwill impairment avoidance on the future financial performance growth of firms listed on the Stock Exchanges of Thailand (SET). Spanning 14 years from 2008 to 2021, the research analyzes 405 observations from 124 distinct firms, utilizing multivariate regression models to uncover the relationship. The study also focuses on understanding how Big 4 auditors can impact this dynamic.
The study finds evidence that firms avoiding timely goodwill impairment exhibit lower performance growth in the subsequent year. Interestingly, the negative impact of goodwill avoidance is less pronounced for firms audited by one of the Big 4 compared to those audited by non-Big 4 firms.
The practical implications of the findings extend to stakeholders in Thailand's financial landscape. Users of financial statements can refine decision-making by scrutinizing report reliability and staying vigilant about firms suspected of goodwill impairment avoidance. Regulators can leverage the research to consider improvements to accounting standards. The study highlights the crucial role of Big 4 audit firms in mitigating adverse effects, emphasizing the significance of auditor reputation and oversight in financial reporting, particularly concerning goodwill impairment recognition.

This study investigates the influence of market return dispersion on the profitability of momentum investment strategies within the Stock Exchange of Thailand (SET). Employing an analytical approach, the research identifies a significant and persistent pattern of return dispersion in the Thai stock market. This pattern is characterized by a strong positive correlation between the dispersion of returns in a given period and the subsequent period, as confirmed by a significant autoregressive coefficient and the Dickey-Fuller test. Additionally, the study explores the performance consistency of top-performing stocks during periods of high and low dispersion, using transition matrices and the Chi-squared test. The results indicate a notable stability in the probability of stocks maintaining their performance rankings, regardless of market return dispersion. Furthermore, the study assesses the effectiveness of various momentum strategies – Traditional Momentum, Weighted Dispersion Momentum, and High Dispersion Momentum – considering the return dispersion factor. The Weighted Dispersion Momentum strategy emerges as the most effective, offering the highest returns with the lowest volatility. However, the analysis reveals that during the period under examination, investing solely in SETTRI would have been the most advantageous strategy. This finding underscores the significance of evaluating momentum strategies against benchmark indices to determine their relative effectiveness. The study concludes that integrating the concept of market return dispersion into momentum strategies can significantly enhance portfolio performance in the Thai stock market, but this approach may not always surpass the returns of a well-established benchmark like the SETTRI.

This study delves into the complex interplay between various types of traders and the resulting effects on the volatility-volume relationship in Thailand's SET50 Index Futures market. It categorizes traders into institutional, retail, and foreign investors, examining their distinct trading behaviors and access to information. The research aims to discern how these diverse investor profiles impact market volatility, particularly in the context of an emerging financial market like Thailand.
Utilizing a range of econometric techniques, the study categorizes trading activity into expected and unexpected variables. The findings reveal a positive correlation between retail investors' expected trading volume and market volatility, aligning with the notion that less informed traders, lacking access to private or semi-fundamental information, exhibit a greater dispersion of beliefs. Surprisingly, retail investors display more caution in unexpected market scenarios, reducing their trading activity, which contrasts with their general speculative behavior. Conversely, institutional and foreign investors, often considered more informed, do not show a statistically significant impact on market volatility. Additionally, the study finds that changes in open interest do not significantly influence the volatility of the SET50 Index Futures, suggesting a need for further exploration into this aspect.
The research contributes valuable insights for regulatory bodies, investment managers, and market strategists, especially in formulating policies and strategies for emerging markets. Understanding the differentiated roles of investor types is crucial for market stabilization efforts and aligning investment approaches with market behaviors.

This study investigates whether investment styles in wind and solar sector with technology-specific considerations incentivize portfolio investors. We use two criteria to create high and low score portfolios using 150 global large capitalization stocks in renewable energy and sector classified by Bloomberg Industry Classification Systems (BICS). The sorting factors include green complexity score and purity score. The assessment of comparative return and risk-adjusted performance demonstrates that high score portfolios dominate their low counterparts. Our results also indicate that divestment of low green complexity country enhances portfolio performance and has incentives for investors. The comparative green complexity score in wind and solar suggests leading producers of these renewable energy products in the future. The knowledge accessible to investors as they strategically build their portfolios in the renewable energy industry is augmented by knowing which nations are more specialized in the manufacturing and manufacture of wind and solar items than other kinds of eco-friendly goods.

This research investigates the relationship between Environmental, Social, and Governance (ESG) performance, represented by ESG scores, and Probability of Financial Distress Risk (FDR), as proxied by Ohlson O-Score, for firms operating in the Asia-Pacific region from 2010 to 2022. In addition, the aforementioned relationship during economic crisis and the level of market development is also investigated. The findings reveal a negative association between ESG performance and the probability of FDR in which the increase in ESG performance reduces the likelihood of FDR. Notably, the environmental and social pillars of ESG consistently exhibit negative relationship with FDR, with the social pillar having more pronounced effect. However, the governance pillar presents mixed results, underscoring the potential risks of excessive investment in governance-related activities. Moreover, this study underscores the impact of external factors, such as economic conditions and market development levels, on the ESG-FDR relationship. During economic crises, the Covid-19 pandemic, firms prioritizing ESG practices faced an elevated likelihood of financial distress. In terms of level of market development between developed and emerging markets, the research highlights that ESG practices exert a more significant influence in developed markets in the reduction in the probability of FDR, emphasizing the role of market maturity in shaping this connection.

This paper examines how financial liberalization, institutional quality, and mobile banking adoption affect the probability of a banking crisis using a panel of 36 countries over the period 2000 – 2021. Our key inference is that the relationship between financial liberalization and the probability of a banking crisis is depended in institutional quality. In strong institutional quality countries, the impact of financial liberalization on the probability of a banking crisis is a concave curve, increasing the likelihood of a crisis at low to moderate liberalization levels and reducing it at medium to high levels. Conversely, weak institutions do not exhibit an impact. Surprisingly, mobile banking adoption is associated with a decreased likelihood of a banking crisis, showing its benefits. Moreover, mobile banking adoption intensifies the impact of financial liberalization on the probability of a banking crisis only in countries with strong institutional quality. Additionally, in bank-based financial systems, mobile banking adoption can intensify the impact of financial liberalization on the probability of banking crises, aligning with the characteristics of centralized bank-based countries with commercial banks as intermediaries.

This study investigates the empirical association between Environmental, Social, and Governance (ESG) factors and downside risks in stock returns during negative shocks focusing on 13 countries within the Asia-Pacific (APAC) region. The study assesses ESG performance using combined ESG scores, E pillar, S pillar, G pillar and controversy scores, examining their impact on downside risk measured by Value at Risk (VaR) and Maximum Drawdown (MDD). The sample includes publicly traded companies across diverse APAC countries from 2012 to 2021. The research contextualizes the global significance of ESG practices, emphasizing their role in mitigating financial risks and contributing to sustainable financial markets. The study addresses a research gap by specifically exploring the APAC region, providing insights for investors, regulators, and society. The regression results confirm the negative relationship between ESG performance and downside risk, except for the Environmental pillar is not significant. This possibly reflects regional differences in environmental standards. The study emphasizes the importance of disaggregating ESG metrics for accurate risk assessment. Results reveal the complex interplay between ESG metrics, the rule of law, and financial risk. This complexity arises because ESG may have varying impacts on financial risk depending on the strength and nature of the rule of law in different jurisdictions. The findings contribute significantly to understanding the relationship between ESG aspects, legal frameworks, and downside risk in the APAC region. Investors, governments, and policymakers can leverage these insights to manage risk exposure, strengthen legal frameworks, and promote sustainable financial markets in both developed and emerging economies.

This study investigates the complex relationship between free float and market reactions to earnings surprises within the context of the Thai stock market, casting light on the role of free float in influencing market efficiency and investor behavior. The study examines the Efficient Market Hypothesis (EMH), which states that stock prices reflect all available information, making consistent market outperformance difficult. However, it acknowledges that market inefficiencies can occur, with earnings surprises as one possible source. The study investigates how the level of free float or the number of shares available for trading impact the speed and precision of market adjustments to earnings surprises. A limited free float could have an impact on stock prices and market efficiency. This phenomenon is investigated using a sample of Thai stock market data from 2012 to 2019, such as earnings surprise, stock price, and free float levels. Low free float stocks have a significant impact on cumulative abnormal returns following earnings surprises, with a distinct pattern of initial enthusiasm and potential overreactions. In contrast, stocks with a high free float react quickly to negative news, resulting in greater price declines. These findings have considerable implications for market participants and researchers, highlighting the significance of incorporating free float into stock market dynamics analyses. This study provides valuable insights into the interaction between free float, market efficiency, and investor behavior in the context of earnings surprises on the Thai stock market.

This study investigates the impacts of asymmetric shock on volatility and beta within the Thai stock exchange. It finds that portfolios composed of stocks that demonstrate lower sensitivity to negative shocks and heightened responsiveness to market trends consistently outperform in various market conditions. The empirical analysis, spanning from 2018 to 2022, underscores the benefits of integrating asymmetry into investment strategies. A long-short strategy, in particular, is identified as highly effective, providing a means to capitalize on this asymmetry. The comparison of asymmetry-based portfolios with traditional ones and the SET index further illuminates the advantages of such strategies in enhancing risk-adjusted returns and effectively managing downside risk, thus offering investors a significant advantage in portfolio management.

The objective of this study is to examine the presence of two puzzles in the stock market which are empirically inconsistent with the fundamental principle of risk and return. Theoretically, the assets with higher risk should compensate higher returns. However, when the credit risk is considered, the previous evidences show that the stocks of firms with high credit rating (low risk) generate higher return than the stocks of firms with low credit rating (high risk). Moreover, previous studies find that the firms with high book-to-market (value firm) generates higher return on stock than the firms with low book-to-market (growth firm). This study tests the puzzles in Thailand by using data from 150 firms with credit ratings from 2015 to 2022. The result shows the credit risk-return puzzle does not exist in Thai market, but the value premium puzzle is presented in Thai market.

This study introduces a novel approach to enhancing the momentum strategy in the Thai stock market. We combine the traditional momentum strategy, focusing on historical performance, with insights from insider transactions disclosed via SEC 59-2 forms. This dual approach aims to construct robust trading portfolios, with long positions in high-performing stocks backed by recent insider purchases and short positions in underperforming stocks accompanied by recent insider sales. Notably, our analysis spans the period from January 2016 to December 2022, encompassing the tumultuous era of the COVID-19-induced Thai stock market crashes.
Interestingly, we discovered the potential of using insider transaction information to construct trading portfolios capable of predicting future stock movements. Moreover, the integration of insider transaction data with the momentum strategy improved our portfolio's performance in terms of stronger returns and increased robustness over time. Regrettably, we have not yet identified a solution to make this momentum strategy resilient during market crash periods, which can lead to momentum crashes.

As Environmental, Social, and Governance scores (ESG) are increasingly becoming aware to the public, it is imperative to understand the impact of ESG on firm values, especially in the Asia-Pacific region, as it is home to a diverse and rapidly growing economy, including emerging markets. Therefore, the purpose of this study is to investigate the relationship between ESG and firm value using the takeover market as an empirical setting.
The primary focus of the study involves examining the influence of ESG on the occurrence of takeovers through binary logistic regression. Subsequently, the study explores the association between ESG and target firm shareholder wealth gain (measured by cumulative abnormal return - CAR) using a linear regression model. The findings suggest a positive relationship between ESG and the probability of a target firm being taken over, aligning with the concept of synergistic takeovers. However, it is also found that an excessive allocation of resources on ESG can not only diminishes the likelihood of a takeover but also reduces the wealth gain (CAR) for target shareholders during the takeover announcements.
In conclusion, a positive and significant relation is observed between ESG and the probability of takeover. Furthermore, a notable positive and significant association is found between ESG and shareholder wealth gain. Crucially, it is found that ESG square term has a negative and significant relation on ESG and CAR, i.e. - a non-linear relationship, showing that ESG has a diminishing effect on CAR. Therefore, the paper highlights the need for companies to maintain an ideal ESG standard to optimize target shareholder wealth gain in terms of corporate takeovers perspective.

This research investigates the existence of a lead-lag relationship in information asymmetry between Thailand's futures and spot markets. We use the volatility of order imbalance (VOIB) as an indicator of this asymmetry, concentrating on three investor groups: Foreign Investors (FI), Local Institutions (LS), and Local Investors (LI). Data from TFEX and SET, covering January 2017 to December 2022, was analyzed to identify trading patterns of these investor types. Using vector autoregression (VAR), we examined the connection between variables in the futures and spot markets. We also evaluated the impact of shocks in one market on the other using impulse response functions and variance decomposition.
Our findings showed that local institutional and local investors in Thailand are more linked with informed trading compared to foreign investors. Local investors often access information early and share it with local institutions in spot market. Furthermore, trading patterns in the futures market significantly influence those in the stock market, particularly among local institutional and local investors. This shows that key information in the futures market gets effectively transferred to the spot market. The findings of this study provided empirical support for our hypotheses, which implied the existence of informed traders who have information and investors tend to adjust their trading activities in the futures market prior to making adjustments in the spot markets.

This research investigates the role of Catastrophe (CAT) Bonds as diversification tools, hedges, and safe havens in global financial markets, with a focus on their behavior during the global financial crisis and the Covid-19 crisis. The study reveals that CAT bonds, recognized as a valuable asset class for their unique structure and ability to transfer catastrophic risks, have gained prominence among institutional investors. By examining the diversification benefits of CAT bonds in relation to traditional assets and analyzing their performance in crisis and non-crisis periods, the research highlights CAT bonds as effective tools for risk management and portfolio diversification. The findings demonstrate CAT bonds' ability to offer stability and protection in volatile market conditions, providing valuable insights for portfolio managers and investors. Additionally, the study explores the role of CAT bonds in different market conditions, contributing to the understanding of their potential in portfolio management and risk mitigation across various economic landscapes.

This study investigates the relationship between bank liquidity creation, performance, and stock returns across 11 banks in Thailand from 2012 to 2021, spanning the economic crisis in Thailand and the COVID-19 pandemic. Liquidity creation measures the extent to which banks generate a money supply for the public, classified into liquidity created on the balance sheet and liquidity created both on and off the balance sheet categories. After controlling for macroeconomic and bank-specific variables, the results of a fixed-effects regression model reveal that next-period performance and stock returns deteriorate as liquidity creation levels increase. An inverted U-shaped relationship between liquidity creation (excluding off-balance sheet activities) and subsequent period performance is also observed, suggesting a trade-off between profitability and risk management. Furthermore, during a crisis, liquidity creation has a negative impact on bank performance and stock returns; however, this relationship is not significant when considering liquidity created on- and off-balance sheet activities and stock returns. This might be attributed to investors prioritizing on-balance sheet activities due to their immediate impact on a company's financial health, while off-balance sheet activities often involve non-cash credit and may have less short-term influence on stock returns. Additionally, a Mann-Whitney U test is employed to support the hypotheses; overall, it shows that increased liquidity creation is associated with lower performance. These findings provide valuable insights for policymakers, regulators, and investors regarding liquidity creation and its implications for bank performance and stock returns.

This paper examines the influence of ESG performance on the cost of debt (CoD) in Asia-Pacific firms from 2010 to 2022. It is among the first to explore how ESG performance scores affect the cost of debt against different economic conditions and market maturity levels. The study finds that companies with higher ESG ratings, particularly environmental and social dimensions, correlate with lower borrowing costs. Governance scores also matter, but they don't seem to influence borrowing costs as much. Additionally, the paper reveals that ESG's impact on borrowing costs is stronger in developed countries than in emerging ones. The research also indicates that during times of economic uncertainty, firms with better social ESG scores are able to adapt more effectively, which may influence their borrowing costs.

This study examines how firms’ life cycle affects Trade credit including the recession period by using evidence from Stock Exchange Thailand (SET). The study has been performed during 2000 – 2020 with 253 listed firms. Regarding results, it suggested that the firm life cycle has a significant impact on AR and AP days, except for AP’s growth. During the recession period, AP days for the introduction and mature stage have no positive impact. The empirical also finds there are no significant levels for the introduction and mature stage of AR and AP days, which have a high level of market concentration during the recession period.

This study examines whether intangible capital influences capital
structure which influent to cost of debt. Moreover, this study also
analyzes more whether adding the effect of and ESG performance as risk
reduction together with intangible capital affect to capital structure by
using financial leverage and WACC cost of debt as the dependent
variable and using intangible capital and ESG performance as
independent variable.
The empirical results of this study show intangible capital and
financial leverage are not relevant under these equations. Moreover, they
also have no relationship between intangible capital and cost of debt, and
there is a 10% chance that the observed a negative relationship between
the companies which have the increase in intangible capital with the
higher ESG score and financial leverage due to random chance rather
than a true association. However, the interesting parts is when we focus
within firm, increasing in ESG score is associated with increasing in cost
of debt. These results are opposite to the primary expectation that ESG
score would reduce that risk. The backup information of these results is
mainly associated with Gonçalves, Dias et al. (2022) who concluded that
creditors believe that the sustainability activities with the borrower’s
firms are considered as a waste of a firms’ cost under the overinvestment
theory.

The research explores the information content of earnings announcements in REITs operating in a market with less stable rental incomes. By examining the presence of Post-Earnings-Announcement Drift (PEAD) in Thai REITs, this study contributes to existing literature and investigates changes in market efficiency for REITs during the COVID-19 pandemic. Using the Earnings Announcement Returns (EAR) method, the study analyzes abnormal returns through visual analysis and a trust/firm-level regression framework.
Findings indicate a PEAD effect as the baseline for abnormal returns in the local market, suggesting potential market inefficiencies. However, most variables in regression analysis do not significantly address the research questions, except for firm size and earnings surprise. The study finds that being a Thai REIT or Real Estate Operating Company (REOC) does not have a significant effect on the PEAD effect. Additionally, larger market capitalization in REITs/REOCs is associated with reduced PEAD or greater price efficiency. Comparing alternative models incorporating market-based surprise indicators, the study observes firm or trust size as a key explanatory variable, regardless of earnings surprises or market-based indicators. This suggests that information asymmetry is influenced by firm or trust size, with larger firms attracting more analyst coverage, leading to increased information efficiency and reduced PEAD effect.
Regarding the impact of the COVID-19 pandemic, the study does not find significant evidence of a difference in the PEAD effect between the pre and post-COVID periods. Contrary to expectations, firms' market capitalization shows a slightly negative but highly significant coefficient. In summary, this study investigates the information content of earnings announcements in REITs and the impact of the COVID-19 pandemic on market efficiency. It provides insights into the PEAD effect, the role of firm size, and the limited influence of COVID-19 on REIT pricing. Further research could explore additional factors to gain a deeper understanding of market dynamics in the REIT context.

The purpose of this study is to investigate the effectiveness of momentum strategies in investment
portfolios, a well-known anomaly in the efficient market hypothesis, by portfolio are constructed by long winners
and short losers. Specifically, the study focuses on the use of volatility to enhance momentum strategies in the
Stock Exchange of Thailand from January 2013 to December 2022. The enhanced momentum strategies under
investigation vary the portfolio weight with volatility and can be classified into constant volatility-scaled, constant
semi-volatility-scaled, and dynamic-scaled approaches. The research aims to achieve two main objectives. Firstly,
to analyze the potential of the enhanced momentum strategies by comparing the average return, the Sharpe ratio,
and maximum drawdown, while also taking into account transaction costs as proxied by round-trip costs.
Secondly, to examine the time-varying characteristics of these approaches and identify sub-periods within
momentum crashes, which are associated with consistent negative returns. These periods typically occur during
panic states following market declines and coincide with market rebounds. Additionally, asymmetry in bull and
bear markets is analyzed.
The findings of this study demonstrate that enhanced momentum strategies exhibit superior
performance compared to the standard momentum approach, both from a statistical and economic standpoint.
These volatility-managed portfolios effectively scale and time the volatility of the standard portfolio, leading to
improved returns and Sharpe ratio. Furthermore, the study highlights the emergence of a momentum crash in the
Thai stock market, commencing in early 2020. Even amidst market crises such as the COVID-19 pandemic,
certain enhanced strategies outperform the standard approach, particularly the dynamic approach. By considering
the expected return in its scaling, this dynamic approach enables the portfolio to achieve high profitability during
the momentum crash. Moreover, the study identifies that transaction costs are generally manageable, except for
some significant levels observed in the standard momentum approach.
Finally, this study reveals that momentum portfolios display asymmetry in their sensitivity between
bull and bear markets. These strategies tend to generate positive returns by aligning with the market during bullish
phases, while moving in the opposite direction during bearish phases. By holding a momentum portfolio during
a bullish market, investors can enjoy on the trend-following strategy. Conversely, during trend reversals, the
sensitivity or risk automatically decreases. This decrease in sensitivity during trend reversals can be interpreted
as an inherent risk management mechanism embedded within momentum portfolios. Throughout the sample
period, these momentum strategies demonstrate a consistent characteristic, except during the crisis period. During
this period, all momentum strategies exhibit significantly high sensitivity. However, the market's severe impact
caused by the pandemic introduces changes in the characteristic of momentum portfolios, leading to a momentum
crash and causing negative results and heightened volatility.

Most of the empirical studies that analyze the impact of corruption on the
economy suggest that corruption is a serious obstacle against economic growth.
However, it is ambiguous whether corruption has negative effect on the financial
sector, especially stock market development. Thus, the first objective of this paper
is to reexamine the relationship between corruption and stock market development.
Furthermore, several previous literatures argue that democracy potentially mitigates
the negative effect of corruption on economic growth. By this argument, the second
goal of this paper is to investigate whether democracy has influence on mitigating
the negative impact of corruption from stock market development. This study
employs the Generalized Method of Moments (GMM) estimator for regression
analysis of cross-counties panel data, covering 10 years period from 2011 to 2020.
Corruption is found to have significant and positive effect on stock market
development in terms of size. Additionally, it is found that the influence of
democracy on corruption is significant and positive to stock market growth. When
stock market liquidity is used as a proxy of stock market development, it is found
that corruption has no significant effect on stock market development. Moreover,
democracy is found to have no significant influence on the relationship between
corruption and stock market development.

Recession is known to cause an increase in stock return predictability. The COVID19 pandemics had not only resulted in sickness and loss of life but also plunged global economy into recession prompting governments to come up with measures to combat the disease. This paper first confirms that return predictability increased due the spread of COVID19 using data from 41 countries on variations of popular predictors. Furthermore, it shows that government responses to COVID-19 alleviated the pandemic, the recession and reduced the return predictability with varying impact for different government measures. However, cases and deaths from COVID-19 which should have intensified the recession were found to have an insignificant impact on the return predictability.

The independent study aimed to examine the relationship between Environmental, Social, and
Governance (ESG) scores and Intangible Capital Ratio (ICR) and their implications for buy-and-hold returns
(BHR) and stock performance among Thai listed companies. The study focuses on firms listed on the Stock
Exchange of Thailand (SET) with available ESG scores, covering the period from 2018 to 2022 (169 companies).
The finding for the first objective found that an increase in the ESG score leads to a rise in the ICR,
these findings highlight the importance of ESG scores and company size & high BTM in determining a firm’s
ICR. However, the study also considered fixed effects in terms of Stock, Year and Industry factors. The influence
of the ESG score on the ICR did not demonstrate statistical significance. We could not conclude from this analysis.
There is a gap in recognizing and capitalizing on the potential of ESG investing to build and enhance intangible
capital. Moreover, ESG investment is considered as a long-term value, it might take time to create value through
company.
The second objective: the findings show that ESG score and the ICR do not significantly influence
the return (RI) across all models. We do not have sufficient evidence to claim a significant relationship between
these independent variables and Return. The result supported the existing research on ESG did not significantly
affect stock performance and ESG/CSR investments may indicate agency problems. Moreover, there is in line
with CFA global ESG survey that some investors did not integrate ESG in the process of valuation. In addition,
intangible assets like brand reputation, patents, or proprietary technology can play a crucial role in a company's
success and potential for growth. Their value might not always be fully reflected in short-term stock price
movements but could have long-term effects on a company's market position and financial performance.
However, the study conducts a portfolio analysis to further explore abnormal returns and risk aspects.
The portfolio characterized by a Low ESG Score and High ICR (LH) demonstrates an impressive cumulative
return of 61.64%, outperforming the SETTRI benchmark at 21.99%. Furthermore, the LH portfolio exhibits the
highest alpha at 55.95% and better risk-adjusted performance based on the Sharpe and Treynor ratios.
In conclusion, the dissertation highlights the challenge and opportunity presented by the gap in
integrating ESG investing with intangible capital. With a limited sample size of 169 SET companies providing
ESG score data, further analysis is recommended to deepen our understanding of this subject. There is significant
potential for comprehensive ESG assessment, valuation, reporting standards, regulatory support, and increased
awareness to facilitate the full integration of ESG principles into investment strategies and the valuation of
intangible capital.

This research paper has the objective to investigate and examine
the basic relationship on the dividend policy and the earnings quality of
companies in Thai stock market, by covering all the industries. The
proxies for the earning qualities include a total of four proxies which
are earnings persistence, accruals quality, earnings informativeness, and
timely loss recognition. Moreover, this research paper also further
examines the incentive of dividend policy of companies under Thai
stock market by applying the dividend signaling Theory and the
information content of dividends hypothesis. The incentive of dividend
policy can be viewed as the signal sending by the corporation side.
Moreover, this research paper classifies the companies into two major
types of companies with stock price loser and company with stock price
gainer. Later that, the examination leads to see the difference incentive
to pay dividend between these major two types of company based on
the dividend signaling theory, the information content of dividends
hypothesis, and the catering incentives.

Previous research has shown that stock prices will also respond to environmental
policy announcements because of the impact on firms' value. As equity mutual funds are
primarily invested in stocks, this study aims to examine whether these announcements also
impact the investment performance of equity mutual firms. Some studies also prove that it
is still debatable whether green mutual funds or polluting mutual funds perform better in
terms of investment returns. Based on this, this study will also further extend to analyze
investment performance between green and polluting equity mutual funds under stringent
and loosened environmental policy announcements. This study utilized the polluting and
green mutual funds data from Morningstar as well as US SIF website. For the
announcements, the major environmental policy announcements were selected from several
US government websites as well as news sources. The event study methodology along with
regression analysis was used in this study to capture the cumulative abnormal returns
(CAR) generated from green and polluting mutual funds under stringent and loosened
environmental policy announcements. The findings indicate that significant impacts were
observed on cumulative abnormal returns (CAR) in both stringent and loosened
announcements for event periods of 5 days, 10 days and 20 days. To account for fund and
fund managers’ characteristics, control variables were added, and expense ratio and fund
size have material effect on fund returns except portfolio turnover ratio which appears to
have weak influence on mutual funds’ returns under the announcements. Furthermore,
when comparing investment performance of green and polluting mutual funds’
performance under stringent and loosened environmental policy announcements, it was
found that green mutual funds outperform most of the time.

This research paper provides a comprehensive analysis of the dynamics of
volatile oil prices over the past two decades, with a focus on the stock exchange of
Thailand from the period of 2004 to 2022. Firstly, the study utilizes the Vector
Autoregressive Model (VAR) technique to examine the impact of global oil price
fluctuations on domestic fuel prices and the stock market in Thailand. The findings
reveal that changes in global oil prices have a delayed and indirect effect on the
Thai stock market. The transmission of volatility through domestic diesel prices is a
crucial factor in this relationship. Notably, domestic diesel prices exhibit an
immediate influence on the stock market, serving as a reliable indicator of
economic growth. These insights shed light on the dynamic nature of the
interactions between diesel prices, global oil prices, and the stock market in
Thailand. Furthermore, the study investigates the impact of changes in domestic
diesel prices on the accounting performance measures of energy sector firms.
Through sub-sample analysis, the sample is divided into groups based on their
association with energy prices. The results demonstrate a positive and significant
effect of domestic diesel prices on accounting returns, particularly the return on
assets (ROA), across the energy sector. The effect is more pronounced within the
oil and gas companies. This highlights the dominant role of commodity prices,
particularly diesel prices, as explanatory factors for accounting performance
measures in the energy sector. Overall, this research contributes valuable insights
into the temporal relationship between commodity prices, stock market
performance, and accounting performance in the energy sector. By examining the
dynamics of volatile oil prices and their impact on the stock exchange and
accounting measures, this study enhances our understanding of the interconnections
and dynamics within the energy sector and its relationship with the broader
economy.

Based on each direct evidence consists of actual cases disclosed by the Securities and
Exchange Commission (SEC), and indirect evidence consists of suspected cases detected by the
identification model of trading suspension propensity. This study aimed to examine the
relationship between audit quality aspects and trading suspensions of listed companies in
Thailand, as well as the changes in this relationship after the outbreak of the COVID-19
pandemic. The research utilized สําคัญ obtained from the annual reports and financial statements
of 263 companies listed on the SET50 and MAI indexes, covering the periods of 2016 to 2018
and 2020 to 2022. The findings indicated that auditing practices contributed to enhancing the
validation of the information contained in financial statements and reports. This, in turn, resulted
in improved quality of financial information and reduced information asymmetry among users,
thereby discouraging insider trading and market manipulation. Consequently, the probability of
trading suspension was lowered without any notable difference observed during the COVID-19
period relative to the previous pandemic period. Furthermore, the study revealed that high-quality audit reports facilitated users' ability to predict future performance and expected returns
of companies. The signals of audit quality were assessed using Audit Firm Size, Audit Switch,
Audit Fees, Auditor Tenure, and Qualified Audit Opinion. The collected data underwent analysis
employing Descriptive statistics, Correlation analysis and Ordered Probit estimations.

This study investigates the behavioral bias in numbers. It analyzes the relationship between behavioral bias in the number of last-digit quote prices and volatility as a proxy of market inefficiency from 2 January 2020 to 30 June 2020 of penny stock in the Thailand stock market. This period is interesting because the circuit breaker triggered due to the COVID-19 pandemic. This research studies the event that exogenous effect on volatility to find that the relation between volatility and behavioral bias is still the same. The exogenous effect is the stock exchange of Thailand changed regulations by reducing the ceiling and increasing the floor to minimize the stock price volatility after the circuit breaker is triggered. The results show that penny stock in the Thailand stock market has bias behavioral in numbers with quote prices by ending digit 0. This study does not have evidence that bias behavior in the number of quote price impact volatility. These will provide evidence to the studies from Blau & Griffith (2016).

Employing an event-study approach, we examine how the stock market responded
to the offering of green bonds by non-financial companies listed on the European stock market
from January 2013 to September 2022. We observed a drop, on average about 0.28%, in the
company stock prices on the day they announced these offerings and the day after. Moreover,
we found that investors react in the same manner for green bond announcements as for
conventional bond announcements. We also studied if the Gavriilidis (2021)'s climate policy
uncertainty index has any relationship with the market reactions. Our findings suggest that the
index is positively related to the market's reaction to green bond offerings only before the
COVID-19 pandemic hit.

The paper investigates whether green bonds are priced
at a premium compared to conventional bonds by analyzing
the yield spread between green bonds and comparable
conventional bonds (where a negative yield spread indicates a
premium). The study also examines the factors influencing the
yield difference including the effect of participating in Paris
Agreement to the green bond premium. Initially, the paper
expected to find a negative green bond premium, indicating
that green bonds have lower yields than comparable
conventional bonds, as investors are willing to accept lower
yields for the ESG benefits associated with green projects.
However, the paper obtained contradictory results.
Additionally, participating in the Paris Agreement cannot be
used to explain the green bond premium in US markets.

This research investigates the relationship between COVID-19 growth
rates and the performance of Thai equity funds during the pandemic. Focusing on
weeks with substantial increases in COVID-19 cases, we hypothesize that negative
returns primarily originate from these weeks. We acknowledge the pandemic's
impact as a black swan event, instilling fear and uncertainty, and its demonstrated
negative effect on fund returns. Moreover, our research aims to identify the fund
characteristics that have provided resilience and immunity to the negative effects of
the crisis. Using a panel data regression with a fixed effect model, we analyze
various fund characteristics and their impact on performance. The dataset covers the
initial and peak periods of the pandemic in Thailand from March 2020 to October
2021, and performance is evaluated using three metrics: excess risk-free return,
Sharpe ratio, and Jensen's alpha.
The findings reveal a negative relationship between COVID-19 growth
rates and domestic equity fund performance. Specifically, extreme growth cases
have a significant detrimental effect on fund performance. However, certain fund
characteristics, such as equity large-cap funds and fund age, demonstrate resilience
and positive performance during the pandemic. The research contributes to our
understanding of how fund characteristics and COVID-19 growth rates interact to
influence performance. It provides valuable insights for investors and fund
managers in fund selection and management strategies during challenging market
conditions.

This research investigates the influence of finance influencers on stock and
cryptocurrency returns by analyzing the relationship between their asset-related
YouTube videos and market movements. The study was conducted in two parts: the
VAR Granger causality analysis in both the cryptocurrency and stock markets, and
the analysis of the behavior of the top finance influencers in the cryptocurrency
market. The findings from the VAR Granger causality analysis revealed distinct
patterns between the cryptocurrency and stock markets. In the cryptocurrency
market, YouTube videos, particularly the number of videos published, showed a
significant Granger causality effect on returns. However, the causality from returns
to YouTube videos was less prominent. Conversely, in the stock market, the
relationship between YouTube videos and returns was weak or non-existent. The
influence of finance influencer content on stock returns appeared to be less
significant compared to the cryptocurrency market. Moreover, the study analyzes
the behavior of top finance influencers in the cryptocurrency market, demonstrating
that their impact on returns is not as significant as previously observed in the
overall market. The overall market dynamics and the presence of videos related to
cryptocurrencies play a more substantial role in influencing returns. Overall, these
findings indicate that while top finance influencers may attract a large number of
views, their influence on price movements in cryptocurrencies is not substantial.
The presence of videos related to cryptocurrencies, regardless of the creator, has a
significant pronounced impact on cryptocurrency returns.

This research study examines the importance of capital ratios in assessing
the financial health of insurance companies in the context of Singapore and
Thailand. The primary objective is to investigate the extent to which capital ratios
provide informative insights into the risk, efficiency, and profitability of insurance
companies. The study covers both life and non-life insurance companies during
the period from 2017 to 2021.
The findings show that higher capital ratios correspond to lower liquidity
risk, improved efficiency, and increased profitability. These results emphasize the
importance of maintaining adequate capital reserves to ensure financial stability
and enhance operational performance in the insurance sector.
In conclusion, risk-based capital ratios not only serve as indicators for
solvency but also reflect liquidity risk, efficiency, and profitability. Adequate capital
reserves are crucial for the financial stability of insurance companies. This research
study expands the understanding of the relationship between capital ratios and
performance metrics, providing valuable insights for stakeholders involved in
managing and assessing the financial health.

The paper aims to examine whether risk-shifting behavior exists in Thai equity mutual funds or not. The empirical analysis studies the period from 2005 to 2022. It is investigated that risk-shifting behavior exists in Thailand by having compensation and employment incentive influences fund managers’ decision on risk shifting.
Firstly, this study uses the states of the market which are positive and negative market returns as the proxy of compensation and employment incentive, respectively. The finding is illustrated that mid-year losers take more risk of the portfolio in the latter half of the year in both positive and negative market return periods where the greater risk adjustment is found in the positive market return period. This relationship is the same for both tax and non-tax-privileged mutual funds. Also, the paper finds a stronger degree of risk shifting in tax than non-tax-privileged mutual funds.
Secondly, this study uses the profitability of the companies which the fund managers work under as another proxy. High and low profitability companies can refer to the domination of compensation and employment incentives respectively. The paper finds that underperformed fund managers increase the portfolio risk in the latter half of the year when working under high-profitability companies. The result is the same for low-profitability companies but a weaker degree of risk shifting.

This research examines how democracy affects mutual fund performance and recovery in emerging
countries: Brazil, Chile, China, India, Mexico, South Africa, and Thailand. Data from 2010 to 2021 is analyzed,
focusing on domestic equity mutual funds. Democracy levels are measured using the V-Dem dataset.
Performance is evaluated using risk-adjusted returns, while recovery duration measures how long it takes for
funds to return to pre-crisis levels. The findings show that in Chile, characterized as a strong democracy,
demonstrates improved performance with higher levels of democracy. In contrast, Brazil, South Africa, India,
and Mexico exhibit higher returns with lower levels of democracy. China, as a non-democratic country, exhibits
a significantly negative impact. These negative relationships could be caused by struggles in making credible
commitments, increased risk-taking, credit rating downgrades during elections, and longer decision-making
processes. Meanwhile, Thailand, as a non-democratic country, exhibits a positive relationship, aligning with the
initial hypothesis. The study also finds that higher democracy levels prolong the recovery period for mutual
funds during crises. This research provides insights for policymakers and investors on how democracy
influences mutual fund performance and recovery in emerging economies.

This paper presents a comprehensive analysis of the relationship between the US
Flash Manufacturing PMI news releases, returns, and volatilities of Russell 1000 and 2000
indexes. Using an autoregressive (AR) and generalized autoregressive conditional
heteroskedasticity (GARCH) model, the study examines data from January 2015 to
November 2022, encompassing both pre-pandemic, pandemic, and post-pandemic periods.
The statistical analysis indicates that these news releases do not significantly influence stock
returns, supporting the efficient market hypothesis. Various factors, including measurement
errors and the unique circumstances of the Covid-19 pandemic, likely overshadowed the
impact of PMI news releases. Additionally, the analysis finds no significant evidence to
support the hypothesis that PMI news releases have an amplified impact on stock market
volatilities during the pandemic compared to other periods. The study suggests considering
other economic indicators, applying advanced time-series analysis techniques, conducting
sector-specific analysis, exploring different stock markets, and extending the analysis over
longer periods for a more comprehensive understanding. This research contributes to the
understanding of the complex dynamics between economic indicators and stock market
performance.

This study examines the role of bank capital in the transmission of
monetary policy, considering the bank lending channel (BLC) and financial
development. Analyzing bank-level data from nine countries during 2007-2021
with GMM method, the study finds that well-capitalized banks are better positioned
to expand loan supply and withstand adverse shocks. However, behavioral patterns
differ between developed and ASEAN countries. In developed nations, policy rate
changes have inconclusive effects on loan growth, while profitable banks and
inflation drive credit expansion. In ASEAN countries, policy rate increases are
associated with loan growth, reflecting favorable economic conditions. Financial
development impacts credit expansion differently in developed and ASEAN
countries, with improved financial systems mitigating shocks in ASEAN. These
findings emphasize the importance of bank capital and the need for policymakers to
consider bank capital and financial development in designing effective monetary
policies.