Despite its simplicity, the yield curve is one of the best predictors of future economic activity. Empirical studies suggest that the yield curve is capable of forecasting market downturn in major economies. In this paper, the relationship between the yield curve and stock market downturn will be studied with the focus on predicting market downturn in Thailand. Also, this paper seeks to answer the question if a market-timing strategy, based on yield-curve information, can outperform the market.
The results of this study suggest that the spread between government bond indices with maturities of 3 to 7 years and 7 to 10 year, to 10 years and over 10 years and the widely-used 2-10 year spread are statistically significant in generating positive alpha and gamma values, confirming their effectiveness in market timing and their utility in enhancing investment strategies by predicting future market downturns.

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 high ESG-rated funds, which attract substantial fund flows. However, this effect wanes over time. Additionally, the influence of sustainability ratings on Thai mutual fund flows during the COVID-19 pandemic suggests a "flight to quality," with investors prioritizing high sustainability rating funds over performance of funds.

The purpose of this study is to address the financial challenge of predicting market risk premiums and to determine which factors and models are most effective. This research employs three methodologies: single regression, combined regression, and a time-series model. The study focuses on the accuracy of prediction models in four different countries: India, Thailand, Korea, and Taiwan, over the period from January 2009 to December 2023.
The findings of this study demonstrate that certain factors in the single predictive model can outperform the historical MRP in these four countries, providing significant evidence for the emerging market, as this result aligns with previous studies. The study reveals that the AR (4) model outperforms both single and combined regression models in most countries, offering more accurate short-term forecasts of MRP. This result is consistent with prior research suggesting that simpler time-series models can be more effective for short-term predictions.
The study's novel approach, focusing on emerging Asian markets, contributes to the existing literature by highlighting the unique dynamics in these regions compared to developed markets. The insights provided are valuable for investors and policymakers in emerging markets, offering a more nuanced understanding of MRP predictability and aiding in more informed investment decisions. When comparing the combined regression model to the single regression model, the results generally support the hypothesis that the combined model outperforms individual factor predictions in single regression models.

This paper aims to reconsider whether mutual funds managers’ characteristics, including gender, working experience (tenure), and CFA designation, affect the fund risk-adjusted performance, using the Thai open-ended domestic equity funds from 2018 to 2023. The first objective is to examine whether each fund manager characteristic impacts the fund risk-adjusted performance (alpha), including Jensen’s, 3-factor Fama French, and 5-factor Fama French alpha, using the pooled ordinary least square (OLS) regression. The alphas are estimated over the 24-month rolling window. The second objective of the study, as the extension of the first objective, is to examine the fund performance persistence over the next 12 months and 24 months following the initial ranking period for each fund manager's characteristic, including male, female, longer working experience, shorter working experience, CFA charter holder designation, and non-CFA charterholder designation manager’s fund.
I determined that however, on average, fund managers tend to generate negative alphas for their investors, there is a significant positive relationship between female, less experienced, and/or CFA-designated fund managers and risk-adjusted performance, which supports the behavioral finance as the overconfidence and too risky managed portfolio of male fund managers, the survivorship in the mutual fund industry for the less experienced fund manager which needs to work harder than more experienced fund manager, and more knowledge in the investment management industry to obtain the CFA designation. Regarding the fund performance persistence, the 12-month performance persistence mainly occurs in most characteristics, except the female manager’s fund. For 24-month performance persistence, the persistence more explicitly exists in males, with longer working experience, and/or non-CFA designated manager’s fund.

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 capital gains overhang and the impact of investor sentiment, measured through overnight returns on subsequent stock performance.
The findings reveal that high-loss stocks tend to rebound, supporting the underpricing phenomena, while high-gain stocks often continue to perform well, challenging the overpricing phenomena. The study shows that underpricing is negatively related to capital gains overhang, and investor sentiment significantly affects stock returns following extreme price movements. These results provide valuable insights into market dynamics, offering practical implications for investors, policymakers, and researchers in understanding and navigating Thailand's stock market.

This thesis explores the relationship between corruption, the shadow economy, and institutional quality in 39 Asian countries from 2001 to 2021, using 819 observations and fixed effect models. The results 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 reduce the shadow economy. Trade openness correlates positively with the shadow economy, suggesting that more open economies may see more informal activities. Interaction effects reveal that economic freedom's impact on reducing the shadow economy is less effective in highly corrupt environments, whereas democratic governance can mitigate corruption's adverse effects. These findings highlight the need for comprehensive policies that address corruption, enhance economic freedom, and strengthen democratic institutions to curb the shadow economy and promote sustainable development in Asia.

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 expansion provides a conducive environment for SMEs to thrive and meet their financial obligations. Conversely, higher unemployment rates are found to increase NPLs, which aligns with Keynesian economic theory and empirical studies indicating that economic downturns and higher unemployment lead to increased financial distress among businesses. However, variables such as inflation rates and interest rates, including the Monetary Policy Rate (MPR), did not show significant direct effects on NPLs. Additionally, business sentiment showed a complex relationship with NPLs, suggesting potential over-optimism in economic cycles. The research underscores the importance of fostering economic growth and reducing unemployment to manage NPLs effectively.

This paper studies the relationship between oil price volatility and corporate bond credit spread. The sample is selected from bonds offered by listed companies in energy and utility sector (categorized by the Thai Bond Market Association) whose profit directly relates to the oil price movement. The studied period is 10 years which covers January 2013 – December 2023. The period covers both upturn and downturn of oil price movement. For the oil price volatility proxy, this paper uses end of month data of OVX index and conditional variance of Brent return estimated with GARCH (1,1) model. After controlling for other factors and testing for the suitable model and estimator, the fitted model was run with fixed effect estimator. The fixed effect occurs in the model is from bond series. The results from both oil price volatility measurements show that oil price volatility significantly influences corporate bond credit spread. However, the influences of credit rating and time-to-maturity on the relationship between oil price volatility and corporate bond credit spread could not be clearly concluded. The directions of the relationship are the same for both oil price volatility measurements. The longer time-to-maturity and the worse credit rating enhance the impact of oil price volatility on the credit spread. The relationships are significant with OVX index as oil price volatility measurement, but they are not significant with conditional variance of Brent return as oil price volatility measurement.

This study examines the impact of Environmental, Social, and Governance (ESG) performance, proxied by the ESG Combined Score, on the cost of equity (COE), measured by the CAPM, for companies in the Asia-Pacific region from 2015 to 2022. It also explores how this relationship is influenced by economic crises and market development levels. The findings indicate a negative correlation, where higher ESG performance leads to a lower COE. Specifically, the environmental and governance pillars are negatively associated with COE, similarly reducing equity costs, while the social pillar shows no significant effect. The research also studies the impact of economic conditions and market development on the ESG and COE relationship. During economic downturns, such as the Covid-19 pandemic, the effect of ESG on COE is stronger. Additionally, the study finds no significant difference in the impact of ESG on COE between developed and emerging markets, which can be attributed to the globalization-driven convergence of average COE between these markets. As globalization enhances market interconnectedness, shifts in one market can rapidly influence others, leading to a unified response in COE adjustments across both developed and emerging markets. Moreover, the research delves deeper and reveals that the impact of ESG on COE is greater for firms with higher COE.

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 business cycle phases (upturn), investor sentiment, economic uncertainty, and previous accuracy. Our findings indicate that the impact of news varies across different strategies and market conditions. Significant negative coefficients were found for high-impact news events like NFP, IP, and ISM, suggesting underperformance when trades are avoided during these periods. Conversely, certain news events showed positive impacts, highlighting potential missed opportunities. Additionally, the study examines the role of investor sentiment, economic uncertainty, and past trading accuracy in influencing performance. The results reveal that while sentiment and uncertainty exhibit mixed significance, their overall impact is crucial in shaping trading outcomes. Specifically, high uncertainty can sometimes enhance performance, though this relationship is inconsistent. Our analysis supports the hypothesis that avoiding trades during high-impact news events generally leads to lower returns, emphasizing the importance of strategic trading decisions in the presence of significant market news. This research contributes to the understanding of news impact on trading strategies, offering valuable insights for traders and financial analysts in optimizing their trading approaches.

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 by Thai mutual funds in response to changing market conditions.

The analysis reveals that Thai mutual funds generally avoid lottery-like stocks characterized by high skewness. However, this research finds during periods of low sentiment, small funds and more experienced funds show reduced aversion to these stocks, suggesting a strategic flexibility. Despite this shift, significant excess returns are not achieved, indicating that the strategic adjustments made by small funds and more experienced funds during periods of low sentiment do not influence on substantial financial gains.

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 associated with higher borrowing costs. This suggests that overconfidence and risk-taking behavior among financially experienced executives in these influential roles elevate perceived risks. Educational diversity also does not significantly affect debt costs, indicating that other factors such as work experience and organizational culture may play more crucial roles. These insights highlight the complexity of board composition's influence on financial outcomes and underscore the importance of balanced governance practices in mitigating risks associated with financial expertise, especially among top-tier executives.

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 of Corruption. Asset Tangibility helps firms secure loans more easily and at lower costs even amid high public debt levels, suggesting policies promoting asset investment can buffer the negative effects of public debt. Effective control of corruption reduces financial risks and mitigates the financial burden imposed by public debt on corporations, emphasizing the importance of anti-corruption measures. High levels of economic policy uncertainty, as measured by the WUI, discourage investment, indicating the need for clear and stable economic policies to enhance investment even in the face of high public debt. These insights emphasize the importance of good governance, asset investment, and stability in economic policies to support sustainable growth and development.

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 performance in the Thai market.

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 for investors, financial analysts, and policymakers. By understanding these dynamics, stakeholders can better anticipate market responses during elections and strategize to mitigate associated risks, emphasizing the importance of navigating the complexities of financial markets amidst political uncertainties. This research underlines the intricate relationship between democratic processes and market behavior, stressing the need for informed decision making in politically sensitive periods.

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 impact of reputable FAs on IPO pricing. The research highlights the differing incentives and responsibilities of FAs and UWs, with FAs being more aligned with issuers' interests due to their fee-based compensation and ongoing advisory roles. Conversely, UWs may favor investors to secure future business, potentially leading to higher underpricing.

Through a detailed examination of the Thai IPO market, where FAs play a significant role throughout the listing process, this study provides insights into how FAs influence IPO outcomes. The findings suggest that distinguishing between the roles of FAs and UWs can enhance our understanding of IPO pricing mechanisms and offer practical implications for issuers aiming to optimize their IPO strategies.

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 card debt could be cash flow management and education debt could create an opportunity for hundreds of thousands of students in need. However, we found that individuals who carried debt exceed their income have a negative statistically significant effect on retirement preparedness index.

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 effectively, ensuring that their predictions remain reliable even in challenging times. Analysts who prioritize fundamental analysis, such as examining financial statements, earnings reports, and management guidance, over investor sentiment are likely to generate more accurate dividend forecasts that are independent of market mood. Analysts' forecasting behavior is more influenced by factors such as private information, experience and expertise, and career concerns rather than by investor sentiment. Robustness tests indicate that the impact of earnings quality is sensitive to model specifications. These results highlight the complexity of the relationship and suggest the need for additional factors in financial forecasting models.

This study examines firms’ capital investment decisions in relation to their credit ratings. As firms approach near-BBB credit ratings, they tend to change their behavior due to the fear of a downgrade. I found that, in general, Thai firms’ credit ratings do not influence investment decisions. However, as firms near BBB ratings, their behavior tends to shift. To clarify, firms at the lower end of the investment grade are inclined to make conservative investment decisions due to the risk of being downgraded to speculative grade. Therefore, the threat of a downgrade to speculative grade encourages managers to adopt more conservative investment strategies. The greater the perceived threat, the stronger the impact of these investment-grade cut-offs on investment decisions. Furthermore, I also studied the investment decisions of unrated firms. Firms without credit ratings do not change their investment decisions as their hypothetical credit ratings approach BBB, unlike rated firms. The reason behind this is that unrated firms’ credit ratings are hidden in the capital market, allowing them to raise funds freely since their credit ratings are not publicly disclosed.

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 have a more pronounced effect on reducing volatility compared to the environmental pillar. The analysis of moderating factors shows that lower levels of corruption enhance the volatility-reducing benefits of ESG disclosures, while improvements in economic development amplify the volatility-reducing benefits of ESG performance. These results highlight the necessity for improved regulatory frameworks and a stronger corporate commitment to ESG principles in emerging markets. This research provides valuable insights for regulators, governments, companies, and investors, emphasizing the critical role of ESG practices in fostering market stability and promoting sustainable economic development in the Asia-Pacific region.

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 policymakers and market regulators aiming to maintain the integrity and efficiency of financial markets.
Although a large body of literature has studied the behavior of institutional trading and its impact on asset prices and returns, the investment horizon of institutional investors remains an open question.
Previously, several studies have shown that institutional investors have more information than individual investors, Yan and Zhang (2009); Puckett and Yan (2011); PÁStor et al. (2017) show that, while short-term institutions’ trades positively predict future stock returns, long-term institutions’ trades do not have any predictive power.
However, Gompers and Metrick (2001) state that two forces may be driving the positive relationship between institutional ownership and future returns: institutions either provide persistent demand shocks or they have an informational advantage. Yan and Zhang (2019) found that they have an informational advantage, and it is short-term institutional investors.
This result suggests that, if an institutional investor has an informational advantage over a group of stocks, it will exploit this advantage by actively and frequently trading these stocks to the limits such that there are no further gains. This is consistent with the notion that short-term institutions’ active and frequent trading (to exploit their informational advantage) contribute to their trades being more informed compared to the rest of other institutional investors’ trades.
The investment horizon denotes the timeframe over which institutional investors intend to hold a particular stock, ranging from short-term trading to long-term buy-and-hold strategies. Concurrently, the information possessed by institutional investors encompasses a spectrum of insights derived from various sources, including financial reports, industry research, and privileged access to corporate executives.
The relationship between institutional ownership and stock returns is a topic of significant interest and contention within the field of finance. While institutional investors play a pivotal role in shaping market dynamics, the precise mechanisms through which their ownership affects stock returns remain incompletely understood. This lack of clarity poses a critical challenge for investors seeking to optimize their portfolio allocations and policymakers striving to maintain market efficiency and integrity.

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.