The study examines how the market responds to announcements of ticker symbol changes while assessing whether previous company performance affects investor behavior during these corporate events in the Stock Exchange of Thailand (SET) from the period of 2000-2025. The event study method calculates cumulative abnormal returns (CAR), which measure market responses to ticker symbol change. Regression analysis were used to study how different investor responses emerged from various stock performance patterns observed before the event, which divided companies into different groups based on their stock performance. The empirical results show that ticker symbol changes lead to a small negative abnormal return which indicates that these changes do not create significant positive market reactions. Companies that achieved better results before their announcements demonstrate higher abnormal returns during the announcement period, although their trading volume shows no meaningful statistical impact. The research demonstrates that ticker symbol changes do not significantly impact investor views, but previous company performance affects how investors process and respond to these announcements. The study provides evidence from the Thai stock market to show how specific firm characteristics shape investor behavior, which advances knowledge about how markets react to corporate announcements.

This research investigates the dynamics of asymmetric conditional correlation between individual equities and the broader market of S&P500 during periods of financial distress. Utilizing a bivariate ARMA(1,1)-aDCC-GARCH econometric framework over a comprehensive 4,000-day sample, we extract standardized innovations to model time-varying correlations and isolate the asymmetry parameter g triggered by joint negative market shocks. The time-series results confirm the presence of highly significant asymmetric correlation, demonstrating that equities like many stocks experience severe correlation spikes with the S&P 500 during market downturns, thereby deteriorating theoretical diversification benefits precisely when investors need them most.
Furthermore, a cross-sectional Ordinary Least Squares (OLS) regression analysis is conducted across multiple sectors including Financials and a targeted high-asymmetry cohort to determine if firm-specific fundamentals (Market Capitalization, Book-to-Market ratio, and Debt-to-Equity leverage) explain the magnitude of the panic response g. The empirical cross-sectional findings reveal a lack of statistical significance and low explanatory power across these variables, indicating that internal balance sheet metrics do not reliably predict a firm's correlation breakdown. We conclude that asymmetric correlation is primarily driven by exogenous macroeconomic shocks and systemic investor behavior, highlighting the critical need for dynamic risk management strategies beyond traditional static portfolio diversification.

This thesis examines the relationship between overnight–daytime return reversals and future stock returns in the Thai stock market. Motivated by the tug-of-war hypothesis, which emphasizes the interaction between overnight price pressure and daytime correction, the study investigates whether such reversals contain predictive information in an emerging market context. Using stocks listed in Thailand over the period 2014–2024, daily returns are decomposed into overnight (close-to-open) and daytime (open-to-close) components. The intensity of return reversals is measured using the frequency of negative and positive reversals and their abnormal components. Empirical analyses are conducted using portfolio-sorting and regression-based methods across equal-weighted and value-weighted portfolios, as well as subsamples based on firm size and book-to-market characteristics.
The empirical results indicate that, in contrast to evidence from developed markets, overnight–daytime return reversals in Thailand exhibit limited predictive power for future returns at the aggregate level. Although economically meaningful patterns emerge when overnight and daytime returns are examined separately, their effects largely offset each other, resulting in weak overall return predictability. This cancellation effect suggests that overnight information is incorporated into prices relatively quickly and that daytime trading does not systematically overcorrect overnight price movements. The findings are consistent with features of the Thai market, including its auction-based trading structure and the prominent role of retail investors, which may compress price discovery into narrow trading windows. Overall, this study contributes to the literature by providing out-of-sample evidence on the tug-of-war mechanism in an emerging market and highlights the importance of market structure and investor composition in shaping the predictive content of overnight–daytime return dynamics.

This study examines the determinants of short and long-term IPO performance in the SET and mai market. Using samples of SET and mai IPOs from 2014-2021, the research investigates how underwriter reputation, institutional investor ownership, and big-4 auditor influence cumulative abnormal returns across time horizons. From information asymmetry, certification, and signaling theories, the study uses multiple linear regression with OLS to analyze IPO performance. Results are different between the two markets. In SET, underwriter reputation shows no certification effect across all time horizons for all reputation measures. Institutional investor ownership demonstrates no short-term impact but exhibits negative impacts with long-term 2-3 years post-IPO cumulative abnormal returns, contradicting performance certification hypotheses. In contrast, big-4 auditor has positive effects from day 1-21 and from year 1 to 3. Control variables, including offering size and market condition, have effects to the short-term investment, while first-day traded value also demonstrates strong positive short-term effects. In mai market, only underwriter reputation based on past total IPO clients’ offering size demonstrates certification effects, reducing short-term cumulative abnormal return and information asymmetry. Institutional investor ownership is insignificant across all horizons, possibly reflecting minimal institutional participation. Big-4 auditor shows no short-term effects but has a positive impact in the long-term at the 2-year horizon. Offering size is the strongest information asymmetry-reducing signal in the short-term. Price-to-book value is also positively significant in the short-term. SET's institutional environment renders underwriter reputation redundant. Mai's retail-dominated structure requires a more tangible certification signal, such as underwriter deal-scale reputation. Lastly, the study provides practical implications from the findings for issuers, investors, and regulators in both markets.

This research investigates spillover effects during announcement days in the Thai stock market, covering the period from 2015 to 2024, covering all publicly traded companies on the Stock Exchange of Thailand. The paper aims to determine whether limited spillover effects in developed markets persist in emerging markets whose institutional features are quite different.
The empirical evidence strongly confirms that Thai earnings announcements are made up predominantly of firm-specific information, as compared with industry-level information, consistent with developed-market profiles. The conditional spillover study, however, reveals characteristic Thai capital market characteristics. Firms reporting significant earnings surprises demonstrate no systematic evidence in precipitating larger peer reaction, and leaders within industries demonstrate no identifiable information transfers, as hypothesized, despite their leadership status in markets. The evidence suggests that the characteristic institutional conditions in Thailand lead to information dynamics different from theoretical expectations. The paper provides support for the argument that investors and financial regulators in emerging markets, on average, should focus primarily on firm-specific information rather than industry-level information in making investment decisions or crafting disclosure standards.

This study investigates the relationship between corporate governance ratings and earnings management among publicly listed firms across six ASEAN countries—Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam—during the period 2015–2023. It examines whether the coverage, level, and disagreement of governance ratings influence the degree of discretionary accruals, which are used as a proxy for earnings management. The Modified Jones Model and Kothari’s performance-matched approach were employed to estimate discretionary accruals, with firm, country, industry, and year fixed effects applied to control for unobserved heterogeneity.
The results reveal that governance rating coverage and overall rating levels do not significantly affect earnings management, indicating that being rated by governance agencies does not necessarily constrain opportunistic reporting behavior. Furthermore, discrepancies among rating providers show no significant relationship with earnings manipulation, suggesting that rating disagreement does not materially weaken governance monitoring. Collectively, these findings imply that while governance ratings capture some aspects of transparency, their practical influence on managerial behavior remains limited in the ASEAN context. The study highlights the need for more consistent governance rating methodologies and stronger enforcement mechanisms to enhance the credibility and effectiveness of corporate governance evaluations in emerging markets.

This thesis investigates the relationship between foreign ownership and stock price crash risk in the Stock Exchange of Thailand during the period 2005 to 2024. It focuses on differentiating between direct foreign investors who hold voting shares and Non-Voting Depository Receipts (NVDRs), which provide economic benefits similar to regular shares but do not confer voting rights at shareholder meetings. Additionally, this study examines whether information asymmetry and stock liquidity moderate the relationship between foreign ownership and stock price crash risk. The analysis utilizes panel data from the top 100 companies by market capitalization listed on the Stock Exchange of Thailand. Using pooled OLS regression, the results indicate a positive association between the proportion of shares held by NVDR investors and stock price crash risk. However, when controlling for firm-specific effects with firm fixed effects regression, neither direct foreign ownership nor NVDR ownership shows a statistically significant relationship with crash risk. Moreover, the moderating effects of information asymmetry and stock liquidity are found to be insignificant, which contrasts with findings from other emerging markets. These findings suggest that voting rights associated with foreign ownership may play a more critical role than foreign ownership per se in relation to market stability. This has important implications for policymakers designing measures to attract foreign capital and for investors assessing risk differentials across investment channels in emerging markets

This study investigates how liquidity risk influences mutual fund selling behavior and bond
pricing in the Thai bond market during periods of distress. Using quarterly mutual fund holdings
from Morningstar and transaction-level data from the Thai Bond Market Association (ThaiBMA)
between 2015 and 2024, the analysis examines whether mutual funds exhibit “Flight from Liquidity”
behavior—selling their most liquid assets under stress—and how such behavior affects bond yield
spreads.
Three hypotheses are tested. First, whether mutual funds are more likely to sell
government bonds than corporate bonds during distress periods. Second, whether funds exhibit
flight-from-liquidity behavior within each bond segment by selling the more liquid bonds of the same
issuer. Third, whether government bond liquidity affects the corporate–government yield spread,
particularly whether the liquidity premium in government bonds declines during distress periods.
The results show that mutual funds are significantly more likely to sell government bonds
than corporate bonds during distress, indicating that government bonds serve as the main source
of liquidity when funds need to rebalance their portfolios. Within each bond segment, both
government and corporate bonds display clear flight-from-liquidity patterns, as more liquid bonds
are more likely to be sold during distress. On the pricing side, the liquidity premium embedded in
government bonds is positive in normal periods but diminishes during distress, leading to a
narrowing of the corporate–government yield spread.
Overall, the findings confirm that liquidity risk affects both selling behavior and pricing in
the Thai bond market and provide new evidence on liquidity dynamics in emerging markets.

This study analyzes how foreign and domestic capital flows influence the leverage of SET100 Thai non-financial firms, considering investor sentiment regimes and firm cyclicality (2013–2023). It contrasts fundamental foreign portfolio flows with speculative domestic trading turnover.
Sentiment regimes powerfully amplify flow effects. Bullish domestic sentiment and high domestic turnover significantly increase leverage (sentiment-exploitation). Conversely, deteriorating sentiment and foreign outflows intensify debt reliance (stress-compensation). Domestic flows have stronger, more immediate leverage effects than foreign flows, revealing a behavioral asymmetry. Cyclical firms respond aggressively to domestic factors and sentiment, while non-cyclical firms prioritize foreign capital stability.
The findings highlight the critical role of investor composition and sentiment dynamics in shaping leverage adjustments in Thailand.

This thesis investigates the impact of Economic Policy Uncertainty (EPU) and Climate Policy Uncertainty (CPU) on ESG momentum strategies in U.S. equity markets from 2011 to 2023. Momentum portfolios are constructed within high- and low-rated ESG pillar groups to assess how policy uncertainty influences their performance across different firm characteristics, including sectoral classification and geographic operations.
Empirical analysis reveals that policy uncertainty, particularly through Forecast and News channels, significantly affects momentum returns, with the strongest effects concentrated among low ESG-rated and domestically focused firms. Cyclical sectors display heightened sensitivity to both EPU and CPU, while international firms show weaker or isolated effects, indicating a buffering role of geographic diversification. Importantly, momentum alpha that is initially significant in low ESG portfolios becomes insignificant once uncertainty variables are introduced, suggesting that policy uncertainty is a key driver of momentum profits. These findings highlight how macroeconomic and climate policy dynamics shape the performance of sustainable investment strategies and provide insights for investors and policymakers on managing ESG momentum exposures under uncertainty.

This study introduces a novel approach to understanding how trading volumes from individual, institutional, and foreign investors influence anomaly returns in Thailand's stock market. I integrate comprehensive analysis of seven trading friction anomalies with unique market microstructure data from the Stock Exchange of Thailand's database. This approach enables construction of long-short portfolio strategies, while accounting for the distinct trading behaviors of different investor groups during the period from 2011 to 2021.
Remarkably, I discovered asymmetric effects where retail trading amplifies certain anomalies while reducing others, contradicting traditional noise trader theories. Furthermore, the integration of investor-type volume indicators with long-short anomaly strategies revealed that institutional investors in Thailand do not uniformly enhance market efficiency as observed in developed markets. Surprisingly, foreign investors exhibited patterns similar to individual investors in certain anomalies. Unfortunately, volume-weighted portfolio constructions showed only selective improvements over traditional-weighted portfolio constructions, indicating that optimal weighting strategies for long-short portfolios depend on the specific anomaly being exploited.

This study investigates the determinants of investor demand for high-yield corporate bonds in Thailand's primary market between 2014 and 2024, focusing on whether investors exhibit reach-for-yield behavior and how they respond to past issuance patterns. Utilizing panel regression, with the Take-Up Ratio serving as the key measure of investor participation, the findings reveal that investor behavior is highly conditional. In normal or tightening monetary periods, high nominal yields and credit spreads are generally associated with lower subscription rates, suggesting investors interpret elevated returns as a signal of greater credit risk. However, this risk aversion is reversed during accommodative monetary conditions (low policy rates), where investors become significantly more willing to purchase higher-yielding bonds, consistent with a conditional "reach-for-yield" mechanism. Furthermore, the analysis confirms strong behavioral effects: past subscription success generates significant persistence (higher subsequent demand), while overly frequent issuance triggers investor fatigue (declining demand). These results underscore that in a retail-driven emerging bond market, trust and timing are as critical as price. The findings have practical implications for issuers seeking optimal fundraising cycles, investors needing enhanced risk awareness, and policymakers regulating the domestic debt market.

This study examines the interaction between salience effects and the 52-week high phenomenon in the Thai stock market, with particular attention to the mediating role of trading volume. Using data from SET100 constituents spanning May 2005 to December 2024, we employ the salience measure developed by Bordalo et al. (2012) and Cosemans and Frehen (2021) to investigate whether stocks with salient payoffs exhibit different return patterns when approaching their 52-week highs. Following Lin (2024), we test whether abnormal trading volume amplifies these behavioral effects. Our findings reveal a notable discrepancy: while historical portfolio sorts show extreme return differentials between salience quintiles, cross-sectional regressions fail to find significant predictive power for future returns, suggesting that salience effects in the Thai market may be observable ex-post but not exploitable ex-ante. While the 52-week high momentum strategy shows some persistence, the hypothesized interaction between salience and psychological anchoring yields largely insignificant results. The study contributes to the growing literature on behavioral finance in emerging markets and suggests that behavioral phenomena documented in developed markets may not directly translate to markets with different institutional characteristics and investor compositions. These findings highlight the importance of market-specific factors when examining behavioral biases in emerging economies.

This study investigates the effect of financial flexibility on the relationship between leverage and firm performance across three distinct economic phases—pre-COVID-19, pandemic, and post-pandemic recovery—in the Thai stock market (SET). Using panel data from SET-listed firms between Q1’2018 and Q4’2023, The analysis employs the fixed-effects and random-effects regression models with interaction terms to capture the dynamic role of financial flexibility and economic context. The findings confirm that leverage exerts a significantly negative effect on firm performance, particularly during the pandemic period, as measured by return on equity (ROE) and return on assets (ROA). However, this adverse impact is found to diminish and become statistically indistinguishable from pre-pandemic levels in the recovery period. Importantly, financial flexibility—proxied by cash-based reserves—plays a crucial moderating role, especially in enhancing ROE. Sectoral analysis further reveals that capital-intensive industries such as industrials and resources suffer more from leverage under crisis conditions, while financially flexible sectors like service and consumer show resilience and even benefit from leverage when supported by liquidity buffers. These results support trade-off and dynamic capital structure theories while highlighting the strategic value of financial flexibility during periods of economic disruption and recovery. The study offers theoretical insights and practical implications for corporate financial management, emphasizing the need for tailored capital structure strategies across sectors and macroeconomic cycles.

This study investigates performance comparison between modern and traditional machine learning approaches for unsecured retail credit risk prediction. Performance is compared by assessing the ability of a model to rank probability of default of modern approaches which are random forest and gradient boosting, versus traditional approach which is logistic regression.

The findings indicate that modern machine learning models significantly outperform the traditional logistic regression model in both the overall unsecured retail market and the subprime market. This superior performance is likely due to modern models' ability to capture various customer profile, non-linear relationships and interactions among variables, which are more prevalent in riskier subprime borrowers.

However, in the prime market segment, where borrowers tend to have more stable behaviors, modern models do not show a significant advantage over logistic regression. This is because the prime segment generally exhibits simpler, more linear patterns in the data, which logistic regression can model effectively without the need for more complex algorithms.

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

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

Although a Probit model was initially applied to estimate the likelihood of safe haven behavior, it was not pursued further due to a lack of variation in the dependent variable; most healthcare sectors did not exhibit safe haven characteristics, making the model statistically unviable. Accordingly, this study does not conclude that the healthcare sector served as a safe haven during COVID-19. However, the OLS regression suggests that certain pandemic-related factors—particularly strong government responses and lower death rates—may have contributed to a reduction in correlation between healthcare and market indices, especially in countries with effective public health infrastructure.

This study investigates the role of economic narratives in shaping momentum effects in U.S. equity markets from 1984 to 2017. Utilizing narrative attention measures developed by Bybee et al. (2024), we examine how narrative attention and narrative innovation influence both time-series and cross-sectional momentum returns, after adjusting for Fama-French factors. LARS is employed for variable selection, and rolling-window regressions are used to capture time-varying factor loadings. Through a combination of time-series and panel data analysis, we test hypotheses related to static, persistent, and asymmetric narrative effects, along with firm- and market-level moderators. While the results are mixed across subsamples and specifications, they suggest that narrative impacts are dynamic and context-dependent, offering new insights for behavioral asset pricing and the integration of narrative economics into financial modeling.

This paper examines the comparative effects of ESG disclosure
and ESG performance on corporate debt financing costs of the firms in Asia-Pacific countries during the year 2014 to 2023. Grounded in signaling and stakeholder theories, the analysis assesses whether lenders respond more to transparency or actual ESG implementation.
The findings show that ESG performance consistently has a stronger and more significant impact on reducing borrowing costs than ESG disclosure. In models including both variables, only ESG performance remains significant. Robustness checks using an ESG gap score reveal that in developed economies, firms with misaligned disclosure and performance are penalized, while in emerging economies,
visibility through disclosure is more favorably received.
Overall, the results emphasize that ESG performance plays a more critical role than disclosure in shaping debt financing outcomes, though its influence varies by institutional context.

This study investigates the impact of Diversity, Inclusion, and People development (DIP) on firm value (Tobin’s Q) in Emerging Asia by utilizing DIP index during 2016-2023 and explore the moderating roles of institutional ownership and corporate governance. This study employs OLS regression models with fixed effect controls. The results reveal that the composite DIP score is positively and significantly associated with firm value, indicating that firms investing in people-centered practices benefit from enhanced market valuation. This study suggests that institutional ownership significantly moderates the effect of people development, they enhance the effectiveness of firm-level investments in employees. However, it does not significantly moderate the effects of diversity, inclusion and overall DIP combination suggesting that institutional ownership prioritizes the importance of each dimension differently. Corporate governance positively moderates the impact of diversity, implying that the value-enhancing effect of diversity becomes stronger in firms with better governance.
These findings reveal the importance of Diversity, Inclusion, and People development (DIP) that enhances a firm’s value, both the combination and each dimension, even in the diverse economy context like Emerging Asia. Corporate governance and ownership structures matter, but their influence is not a universal amplifier of DIP initiatives. Instead, its moderating effect is different on each DIP dimension.

This research examines the impact of movie-related factors on the abnormal returns of movie distributor stocks in the United States, focusing specifically on gross opening revenues and industry awards. The study analyzes nine firms using monthly data from 1995 to 2024 and applies the Ordinary Least Squares (OLS) model to test the hypotheses.
The findings reveal that only awards received by competitors significantly reduce a firm’s abnormal returns, supporting both the Asymmetric Information Theory and Social Comparison Theory. In contrast, the gross opening revenues of a firm’s own movies do not lead to abnormal returns, aligning with the Efficient Market Hypothesis, which suggests that investor expectations are already priced into the market.

This study explores the relationship between Environmental, Social, and Governance
(ESG) performance and corporate cash holdings among publicly listed firms in the Asia-Pacific region from 2010 to 2023. Grounded in stakeholder theory and the precautionary motive for cash, the analysis examines whether firms with higher ESG performance hold less cash and whether this relationship is moderated by financial constraints and financial distress. Employing panel fixed-effects regression, two-stage least squares (2SLS), and system GMM methods, the results consistently indicate that ESG performance is negatively associated with cash holdings. The moderating analyses reveal that financially constrained or distressed firms with high ESG
performance tend to retain more cash, highlighting the interplay between ESG and liquidity strategies. The study also shows that institutional quality strengthens the ESG–cash holding relationship. These findings contribute to the ESG-finance literature by offering region-specific insights from the Asia-Pacific, an underexplored and institutionally diverse region and provide practical implications for corporate financial policy and sustainability integration.

This study examines the relationship between corporate strategic aggression and Environmental, Social, and Governance (ESG) scores, with particular focus on the moderating role of institutional investors. Using a comprehensive dataset of NASDAQ-listed companies from 2018 to 2023, this research investigates whether firms pursuing more aggressive strategies demonstrate superior ESG outcomes and how institutional ownership influences this relationship.

The analysis employs a panel regression model with firm and year fixed effects to test three main hypotheses. First, I examine whether corporate strategic aggression positively affects ESG scores. Second, I investigate potential non-linear relationships where excessive strategic aggression may lead to diminishing returns in ESG scores. Third, I analyze how institutional investor ownership moderates the strategic aggression-ESG relationship.

The findings reveal nuanced relationships between strategic aggression and ESG scores across different dimensions. Corporate strategic aggression demonstrates positive but statistically non-significant effect on overall ESG scores, positive and statistically significant effects on Environmental and Governance scores, while showing limited impact on Social performance. This provides partial support for the hypothesis that strategically aggressive firms achieve better ESG outcomes, particularly in environmental innovations and governance structures that align with their competitive strategies.

The study confirms a non-linear, inverted U-shaped relationship between strategic aggression and overall ESG scores, supporting the diminishing returns hypothesis. This indicates that while moderate levels of strategic aggression enhance ESG score, excessive aggression becomes counterproductive, particularly in social and governance dimensions.

Contrary to expectations, institutional ownership negatively moderates the relationship between strategic aggression and ESG performance. While both strategic aggression and institutional ownership independently contribute to better ESG scores, higher institutional ownership weakens rather than strengthens the positive impact of strategic aggression on ESG scores. This suggests that institutional investors serve as a restraining force on aggressive strategies, prioritizing long-term sustainable value creation over short-term competitive gains.

These findings contribute to the understanding of how corporate strategic choices influence sustainability performance and highlight the complex role of institutional investors in shaping ESG outcomes. The results have important implications for corporate managers seeking to balance aggressive growth strategies with ESG responsibilities, institutional investors considering their governance role, and regulators interested in enhancing corporate sustainability frameworks.

The price of an option reflects an implied level of volatility, which is often
seen as the option market's prediction of how much the returns of the underlying asset will fluctuate in the future, over the remaining duration of the option.
If option markets operate efficiently, this implied volatility should serve as an
accurate and comprehensive forecast of future volatility. This means that implied
volatility should already incorporate all the relevant information available in the
market that could help predict future volatility; no other market variables should add
any further predictive power. This interpretation of implied volatility as an efficient
predictor of future volatility is widely used in various financial analyses.
Although the Black-Scholes implied volatility can be seen as a prediction of
future volatility, it can also be understood as a way to measure an option's price,
taking into account specific factors like how far the option is in or out of the money
and the time remaining until it expires. All existing option pricing theories agree that
option prices should rise and fall along with the volatility of the underlying asset. as
confirmed in Theorem 6 of Bergman et al. (1996).
Beside what has been studied in academic areas, It's widely observed in
options markets that implied volatility (IV) often surpasses realized volatility (RV).
This difference is usually explained by a few key factors.
Firstly, imbalances in the demand for and supply of options can play a
significant role. A strong demand for options from those looking to hedge against
risk, especially businesses and real money investors managing foreign exchange
exposure, can push option prices higher. On the other hand, the capacity of market
makers and financial institutions to sell options can be limited by regulations and risk
management rules.
Secondly, the risk aversion of market participants contributes to this
phenomenon. Essentially, people are willing to pay a premium to protect themselves
against extreme market events. This leads to a "volatility risk premium" built into
option prices, which is particularly noticeable in options with longer time horizons
and with deep out-of-money strikes.
The predictability of implied volatility and market efficiency remains an
ongoing area of research, raising questions about the potential for exploiting the
relationship between implied and realized volatility to generate consistent returns
through options trading strategies. To address this, we investigate whether mispricing
between implied volatility and realized volatility can be capitalized upon using an "at-the-money" (ATM) straddle strategy in the USD/THB currency options market. This
strategy, which involves simultaneously selling a call and a put option with the same strike price and expiration date, offers immediate premium income but carries the risk
of potential losses if the underlying asset's price experiences significant fluctuations.
The rationale behind can be simplified as higher Implied than realized volatility will
cause the options price to be overstated compared to its potential loss which can occur due to future movement of underlying asset. Hence, we will be selling overpriced options in our strategies.
Our study focuses on the USD/THB currency pair due to its importance in the
Thai economy and the prevalent use of USD/THB options for hedging purposes. We
hypothesize that implied volatility typically exceeds realized volatility in the
USD/THB options market, leading to inflated option premiums relative to the
potential payoffs from underlying asset price movements, and thus creating
opportunities for profitability.
In addition to the basic implied and realized volatility relationship, we
examine the profitability of other aspects of implied volatility, specifically the term
structure and volatility smile. Both of these phenomena are likely to incorporate
higher volatility risk premiums and irrational mispricing by the market, potentially
offering enhanced profitability compared to our base hypothesis.
Recognizing that selling and holding options until expiration without hedging
does not constitute a pure volatility play and can be influenced by scenarios of high
volatility with minimal price movement or low volatility with significant directional
price moves, we refine our analysis to include delta hedging. This involves daily
adjustments to the portfolio through the buying or selling of USD/THB forwards to
neutralize the delta exposure arising from the option positions, effectively isolating
the impact of volatility from underlying price movements.
By gaining a comprehensive understanding of the profitability of these
strategies, we aim to determine whether the observed returns are primarily driven by
mispricing between implied and realized volatility, as suspected. This will be
achieved through OLS regression analysis, examining the relationship between
strategy returns and explanatory factors. This analysis will include further
investigation of non-base strategies to define the drivers of each strategy's additional
return.
This paper will contribute to the deeper understanding of FX options trading
profitability, an area where existing research remains relatively underdeveloped,
particularly regarding the specific characteristics of options and the USD/THB
currency pair. The focus on USD/THB options is important given the growing FX
options market in Thailand. As Thai clients increasingly embrace complex financial
products for both hedging and investment purposes, this market offers significant
potential. Furthermore, FX options related products can offer more business opportunities compared to more established instruments like FX forwards and
traditional savings accounts. This research will enable service providers, such as
commercial banks, to better understand the profitability of their FX options offerings,
leading to optimized product design that benefits both the institutions and their
clients.

This study examines the relationship between ESG performance and corporate risk, focusing on systematic and idiosyncratic components. Using panel data from 264 listed companies in six Emerging Asian markets between 2014 and 2023, the analysis employs fixed-effects regression models. The results indicate that ESG performance significantly reduces idiosyncratic risk but has no clear effect on systematic risk.
Among ESG pillars, the Social Score shows the strongest risk reducing effect. Additionally, ESG proves more effective in mitigating firm-specific risk during periods of economic crisis, such as the COVID-19 pandemic, China stock market crash and
the Russia–Ukraine conflict. Firms involved in ESG controversies tend to experience higher idiosyncratic risk, reinforcing the importance of transparency and stakeholder
trust. These findings highlight the financial value of ESG as a risk management tool in volatile, high-growth markets and offer practical implications for investors, firms, and policymakers across Emerging Asia.

This study investigates the mispricing of SET50 Index Futures calendar spreads on the Thailand Futures Exchange (TFEX), focusing on deviations from the cost-of-carry model. Using end-of-day data from 2019 to 2024, the study analyzes how mispricing evolves as contracts approach expiration. The findings reveal that mispricing intensifies during the rollover period—particularly within 10 trading days before maturity—suggesting increased cost and risk for investors. Open interest in deferred contracts is found to be significantly correlated with mispricing, while net positions by investor types do not show statistical significance. The study also examines the 6-month calendar spread, which demonstrates more pricing stability than the commonly used 3-month spread. These insights provide practical implications for rollover strategies and contribute to the literature on futures pricing efficiency in emerging markets.

This study explores whether the gold-to-platinum price ratio can explain mutual fund flows in Thailand by focusing on two key indicators: the abnormal GP ratio (AGP) and the fund sensitivity to monthly changes in GP (βΔGP). These measures are used to assess whether investors perceive the GP ratio as a proxy for economic uncertainty.

The analysis uses monthly data from January 2017 to December 2023, covering both active equity funds and corporate bond funds. The models include fund level characteristics such as size, expense ratio, age, past flows, and return volatility, along with macroeconomic variables including inflation, exchange rates, interest rates, and industry sentiment.

The first result shows that AGP has a negative but statistically insignificant effect on fund flows for both active equity and corporate bond funds, although the direction is consistent with prior research only for equity funds. The second result reveals that fund’s βΔGP has a significant negative impact on future fund flows in active equity funds, implying that investors reduce capital allocation to funds that are more sensitive to economic risk, highlighting investor aversion to macro-sensitive strategies. In contrast, the relationship between fund’s βΔGP and fund flows is not statistically significant for corporate bond funds. Lastly, no significant interaction is found between βΔGP and periods of extreme market stress. Overall, while the influence of GP ratio is unobserved on corporate bond fund flows, its influence is notable in the case of equity funds with high βΔGP.

This study investigates how U.S. monetary policy affects decentralized finance (DeFi), focusing on capital flows and interest rate sensitivity across over 500 DeFi pools from 2022 to 2024. Using three models: (1) static TVL regression, (2) rolling DeFi deposit beta, and (3) rolling DeFi interest beta, the analysis captures both cross-sectional and time-varying monetary transmission effects. Model 1 shows that DeFi deposits decline in response to rising interest rates. Model 2 confirms that DeFi deposit betas are weakly negative overall, with stablecoin pools exhibiting stronger sensitivity. Model 3 finds limited responsiveness in DeFi lending rates, suggesting that APYs are primarily driven by internal protocol mechanisms rather than macroeconomic rates. The study further analyzes these effects across pool types and over time to capture heterogeneity in monetary policy transmission. The results indicate that DeFi is partially responsive to monetary policy, mainly through capital reallocation rather than interest rate pass-through. This research extends traditional monetary transmission frameworks to decentralized markets and provides new insights into DeFi’s evolving role in the financial system.

This study examines the Turn-of-the-Month (TOM) effect in the Thai stock market between 2014 and 2023, focusing on stock returns and trading volume segmented by investor type retail, institutional, and foreign. Using daily data from approximately 434 common stocks, the analysis employs paired t-tests and panel regressions across both equal-weighted and value-weighted portfolios.

While average returns during the TOM period are consistently higher than those during the Rest-of-the-Month (ROM), none of the differences are statistically significant, suggesting a weak and inconsistent TOM effect. Further calendar-based tests during the Turn-of-the-Year (TOY), Turn-of-the-Quarter (TOQ), and Index Rebalancing (IR) windows also show no robust amplification of the TOM anomaly. Regression results on trading activity similarly reveal no statistically significant increase in volume during TOM periods, though trading by institutional and foreign investors appears directionally elevated in large-cap stocks.

These findings challenge prior evidence from developed markets and imply that the TOM effect in Thailand has weakened or become conditional on firm size and market structure. By integrating investor-type trading volume analysis, this study provides novel evidence that the TOM anomaly is not a persistent feature in Thailand’s increasingly efficient and institutionally influenced equity market.

This study examines the evolving role of private equity (PE) in Japan’s mergers and acquisitions (M&A) landscape, with particular attention to three critical stages: target selection, deal completion, and the influence of board independence. Analyzing M&A transactions across the pre- and post-2015 period, we find that PE acquirors consistently target firms characterized by low profitability, high leverage, and high asset tangibility suggesting an emphasis on unlocking value through operational turnaround and debt-financed restructuring. The probability of deal completion increases when targets exhibit weaker financial performance but stronger collateral, consistent with the use of leveraged buyout strategies. Importantly, the implementation of Japan’s Corporate Governance Code in 2015 is associated with a significant rise in successful deal closures, underscoring the role of regulatory reform in reducing transaction uncertainty and enhancing market transparency. In contrast, board independence measured as the proportion of independent directors does not significantly affect either target selection or deal outcomes, even in the post-reform period. These findings highlight the limited effectiveness of structural governance indicators in isolation and emphasize the greater impact of systemic, enforceable reforms on M&A efficiency. The results have broader implications for policymakers in coordinated market economies, suggesting that robust legal frameworks and investor protections may be more consequential than formal governance structures

This study investigates the role of Morningstar ratings in predicting mutual fund
performance, persistence, and fund flows in the Thai mutual fund market. The
research focuses on three main objectives. First, it examines the relationship
between Morningstar ratings and performance metrics including net return, 1-factor
alpha, 4-factor alpha, Sharpe ratio, and Sortino ratio and risk metrics, including
maximum drawdown, standard deviation, and Value-at-Risk, using both matchedpair
analysis and regression methods. Second, it explores the persistence of fund
performance through quintile transition matrices, regression analysis of lagged 4-
factor alpha, and the cross-product ratio. Third, it analyzes the relationship between
Morningstar ratings and mutual fund flows by regressing fund flows on lagged
flows, ratings, performance, and ESG investment.

This paper finds that higher Morningstar ratings (3 to 5 stars) are
significantly associated with better fund performance. Highly rated funds tend to
deliver higher net returns, stronger alpha, and better risk-adjusted performance, while
also exhibiting lower risk. Based on this, one might expect consistent performance
over time, making investment decisions easier. However, the results in this paper also
show that during crisis the performance and rating persistence are exists but it is not
consistent in the long term. This implies that strong past performance does not
guarantee strong future performance. These findings are consistent with Carhart
(1997), who suggests that persistence is short-lived and tends to disappear over time.
Similarly, Elton, Gruber, and Blake (1996) find evidence of short-term persistence,
but not strong enough to indicate long-term outperformance. Regarding fund flows,
the results suggest that Morningstar ratings alone do not have a significant impact on
investor flows. Instead, fund flows are more strongly influenced by lagged flows,
past performance, fund characteristics (such as size, age, and expense ratio), and ESG
investment. This indicates that investors respond more to actual performance and
qualitative signals than to the rating label itself.

การศึกษานี้ตรวจสอบผลกระทบทางการเงินในระยะยาวของการควบรวมและซื้อ กิจการที่เกี่ยวข้องกับทรัพย์สินทางปัญญา (IP M&A) ในประเทศจีน โดยใช้ ROIC เป็นตัวชี้วัดประสิทธิภาพหลัก โดยอิงจากคณะกรรมการของบริษัทจดทะเบียนในช่วงปี 2000–2020 โดยขั้นแรกจะใช้แบบจาลอง DID เพื่อเปรียบเทียบการควบรวมและซื้อ กิจการที่เกี่ยวข้องกับทรัพย์สินทางปัญญากับข้อตกลงปกติ จากนั้นจึงขยายไปสู่กรอบงาน DDD เพื่อประเมินความแตกต่างในทิศทาง (จากเหนือไปใต้ จากใต้ไปเหนือ ภายในภูมิภาค) ผลลัพธ์แสดงให้เห็นว่าการควบรวมและซื้อกิจการที่เกี่ยวข้องกับทรัพย์สินทางปัญญาช่วยเพิ่ม ROIC โดยเฉพาะในธุรกรรมจากเหนือไปใต้ การศึกษานี้เน้นย้าถึงคุณค่าเชิงกลยุทธ์ของการควบรวมและซื้อกิจการที่เกี่ยวข้องกับทรัพย์สินทางปัญญาและความสาคัญของบริบทในภูมิภาคในประสิทธิภาพหลังการทาข้อตกลง

This study investigates the impact of Environmental, Social, and
Governance (ESG) materiality issues on stock returns in the Stock Exchange of
Thailand (SET). Leveraging data from 90 listed companies between 2018 and 2021,
the research examines whether firms focusing on material ESG issues demonstrate
superior performance. Using an innovative SASB, MSCI, and MSCI-SASB ESG
materiality framework, the study differentiates between material and immaterial ESG
issues. By constructing portfolios based on ESG materiality scores and evaluating
their performance through a comprehensive five-factor model, the research provides
nuanced insights into ESG investing in an emerging market context. The study
addresses a critical gap in the existing literature by exploring ESG materiality's
impact in the Thai market, where unique market characteristics may influence the
relationship between sustainability factors and financial performance. Additionally,
the research analyses potential differences in stock returns between firms listed on
the Refinitiv ESG rating and those not included in the rating. The findings of this
study exhibit that different ESG materiality frameworks as well as portfolio
weighting methodologies provide different results on the relationship between ESG
materiality and stock returns in Thailand. As the equal-weighted portfolio exhibits
consistently higher volatility than the value-weighted portfolio. This research
contributes to the understanding of ESG materiality in emerging markets and offers
valuable implications for investors seeking to integrate ESG considerations into their
investment strategies.

This study examines the relationship between share pledging intensity in credit balance accounts and firm performance and risk among publicly listed companies in Thailand. Using a balanced panel dataset of all common stocks listed on the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from December 2015 to December 2024, the analysis explores how pledging activity relates to firm outcomes across different firm sizes. Firm performance is measured using Return on Assets (ROA) and Tobin’s Q, while firm risk is assessed through cash flow volatility, stock return volatility, and idiosyncratic volatility. Employing fixed effects panel regression with firm-clustered standard errors, the findings reveal that share pledging intensity in credit balance accounts does not have a significant impact on ROA, Tobin’s Q, or cash flow volatility across any firm size group. However, higher pledging intensity is significantly associated with increased stock return volatility and idiosyncratic volatility in large-sized firms, suggesting that pledging may amplify market-driven and firm-specific risks in this group, possibly due to forced selling pressure. These results indicate that while share pledging intensity in credit balance accounts does not signal changes in firms’ core operations or strategic direction, it can influence market volatility, particularly among larger firms.

This paper examines whether Thai mutual fund investors can benefit from
volatility-managed strategies using Thai open-ended domestic equity funds from
January 2005 to December 2024. The study investigates whether volatility-managed
strategies improve risk-adjusted returns across both active and passive funds,
examines the performance drivers through volatility timing and return timing
analysis, and analyzes whether investors implement these strategies in practice
through fund flow behavior.

The results show that volatility-managed strategies improve risk-adjusted
performance and survive transaction costs but only work effectively during specific
market conditions. Thai mutual fund investors demonstrate awareness of volatility
timing benefits, as evidenced by reducing fund positions when volatility is high
across all volatility measures.

This study aims to examine the effects of various characteristics of Real Estate Investment Trusts (REITs) on dividend payouts among Thai REITs listed on the Stock Exchange of Thailand (SET) from 2018 to 2024. Specifically, it investigates how dividend smoothing, asset ownership structure, managerial gender, and regulatory policies influence dividend distributions. The analysis is conducted using a Fixed Effects panel regression model. The purpose of this study is to provide empirical insights to better understand the key drivers of dividend payment behavior among Thai REITs.

The result of this study finds that. First, it investigates the extent to which Thai REITs engage in dividend smoothing, finding that REITs in Thailand adjust dividends rapidly to align with their target dividend payout. Second, the results show that regulatory mandates by SEC—particularly the 2021 policy requiring REITs to distribute at least 90% of net income—positively influence dividend payouts, underscoring the importance of policy enforcement in promoting dividend discipline.

This study examines the impact of underwriter reputation on IPO underpricing and the moderating role of Big-4 auditors in Thailand's capital markets. Using a comprehensive dataset of IPO firms listed on both the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from 2018 to 2024, this research investigates whether certification mechanisms operate differently across market segments with varying information asymmetry levels. The analysis employs multiple linear regression with robust standard errors and fixed effects models to test two main hypotheses examining underwriter reputation effects and Big-4 auditor moderation. The findings reveal dramatically different certification dynamics across Thailand's two-tier capital market system. In the SET market, underwriter reputation demonstrates a statistically significant positive effect on IPO underpricing, contradicting traditional certification hypothesis but supporting reputation premium theory where prestigious underwriters command higher underpricing through valuable services. Conversely, the mai market shows negative but statistically insignificant effects, aligning with traditional certification theory direction but lacking statistical power due to high market volatility. The study confirms significant moderation effects in SET, where Big-4 auditors substantially reduce underwriter reputation premiums, supporting certification substitution theory. However, no significant moderation effects emerge in mai, suggesting a "certification vacuum" where traditional quality signals fail to operate effectively. These findings contribute to the understanding of how certification mechanisms operate in emerging market contexts and highlight the importance of market segmentation in IPO analysis. The results have important implications for issuing firms seeking to optimize certification strategies, investors developing screening approaches, and regulators interested in enhancing market efficiency across different market segments.

This paper studies how companies manage their cash when they face different types of climate risks. It uses data from public companies in the United States from 2002 to 2023. The study measures climate risks such as transition risk, physical risks, and regulatory risk by looking at climate related words in companies’ earnings calls and reports. It also uses a special index that shows how uncertain climate policy is, based on news articles.

The results show that companies with high regulatory risk usually keep more cash because they expect extra costs from new rules. However, risks from natural disasters or moving to a low-carbon economy have less direct effect, because companies often use other ways like insurance or long-term plans to deal with them. The study also finds that when climate policy is more uncertain, companies save more cash to be safe. This was clear after big policy events, such as when the United States left the Paris Agreement.

Finally, the study shows that companies with financial problems have less ability to change how much cash they hold when they face climate risks. This means that strong financial health and clear government policies help companies get ready for climate challenges. This paper gives useful ideas for investors and policymakers and shows why stable and clear climate policies are important for business planning.

This study investigates the presence of an ESG yield spread in Thailand’s bond market and evaluates the impact of the Thai ESG Fund policy launched in Q4 2023. Using a matched sample of ESG and conventional bonds issued from 2018–2024, we apply Exact Matching, Propensity Score Matching (PSM), and Difference-in-Differences (DiD) techniques to examine whether ESG bonds offer lower yields and whether the introduction of tax-incentivized ESG funds has influenced bond pricing.

Results indicate a significant ESG yield spread in both corporate and government segments prior to the policy. However, while the spread remained unchanged for government bonds, it narrowed for corporate bonds after the policy launch, suggesting a potential shift in market dynamics. The findings highlight the importance of investor demand and policy design in shaping ESG bond pricing and offer practical insights for policymakers, issuers, and investors in promoting sustainable finance in emerging markets like Thailand.

This study examines the impact of board gender diversity on corporate financial performance and investigates the moderating role of internationalization in the context of Southeast Asia. Using a panel dataset of publicly listed firms from five Southeast Asian countries (Indonesia, Malaysia, the Philippines, Singapore, and Thailand) over the period 2014–2023, the analysis employs fixed effects regression models incorporating country, industry, and year fixed effects.

The results show that board gender diversity is negatively and significantly associated with Tobin’s Q, indicating that increased female representation on boards is linked to lower market valuation. However, no significant effect is found on accounting-based performance measures, including ROA, ROE, and NPM. Additionally, internationalization is found to moderate the relationship between board gender diversity and profitability, with a significant interaction effect observed only for Net Profit Margin.

These findings suggest that while gender diversity may not enhance short-term financial performance or market perception in this context, it becomes more valuable in internationally engaged firms. The study contributes to the understanding of how board composition and strategic orientation interact to shape

This study examines whether the introduction of the Market Stability Reserve (MSR)
has changed how the EU Emissions Trading System (EU ETS) responds to regulatory policy announcements affecting EUA supply and demand. Using event study and volatility analysis, it compares 81 events across Pre-MSR (before 2019) and Post-MSR (after 2019) periods.
Cumulative abnormal returns (CARs) are estimated via a mean-adjusted model and
tested using Welch’s t-test. Volatility is assessed through a GARCH(1,1) model, with structural differences evaluated using a Likelihood Ratio Test and a bootstrap test.
Findings show that the MSR has reduced overreaction and volatility in specific
contexts—particularly during recurring supply-related events like Auctions and MSR updates. CARs for MSR-related events improved significantly, and volatility persistence declined post-MSR.
While variance drops in individual categories were not statistically significant, patterns suggest improved market stability.
Overall, the MSR acts not only as a supply tool but also as a behavioral anchor,
strengthening market resilience where predictability and transparency are highest.

This study examines the relationship between corporate carbon emissions and financial performance, focusing on the moderating role of corporate governance. Using panel data from 1,368 firms across 22 countries in high-carbon-emitting industries between 2015 and 2024, the analysis incorporates Scope 1, Scope 2, Scope 3, and total emissions as independent variables. Financial performance is measured using both Return on Assets (ROA) and Tobin’s Q, while corporate governance is evaluated through ESG governance pillar scores.

The findings reveal that Scope 1 emissions are positively and significantly associated with ROA, indicating that emission-intensive firms—especially in production-driven industries—may achieve higher profitability. Scope 2 and Scope 3 emissions do not exhibit significant effects on accounting-based performance, and corporate governance does not play a clear moderating role in this context.

However, in market-based performance analysis using Tobin’s Q, the winsorized results show that all emission scopes have a negative and statistically significant impact. Moreover, corporate governance is found to intensify this negative effect, suggesting that investors expect more from well-governed firms and may penalize them more severely for higher emissions.

This study examines the impact of maturity mismatch on default risk among listed companies in the Stock Exchange of Thailand (SET) and the Market for Alternative Investment (mai) from 2011 to 2023. It also investigates the moderating roles of external and internal factors that affect the relationship between maturity mismatch and default risk. The study employs a naïve probability approach, a simplified version of the Merton model, to estimate default probability. The results show that maturity mismatch significantly increases the probability of default, meaning that firms that rely on short-term financing to fund long-term investments face a higher likelihood of default. Moreover, the analysis reveals that during periods of tight monetary policy, the effect of maturity mismatch on default risk becomes more pronounced. Lastly good corporate governance reduces overall default risk and significantly mitigates the effect of maturity mismatch on default risk.

This research offers valuable insights for regulators, policymakers, financial institutions, firms, and investors by highlighting the critical role of maturity mismatch. The findings may support to improved financial regulations and institutional frameworks, and enhanced corporate transparency, and greater investment awareness in the Thai capital market.

This study examines whether corporate integrity culture plays a role in shaping firms’ access to trade credit. Focusing on a panel of U.S. publicly listed firms from 2002 to 2021, it employs a text-based proxy for integrity constructed from annual reports and uses pooled OLS regression with industry and year fixed effects. The goal is to understand how ethical culture, as a non-financial factor, influences trade credit availability beyond traditional financial metrics. While the measure used—accounts payable to COGS ratio—is commonly applied in the literature, it reflects both the willingness of suppliers to extend credit and the firm’s decision to utilize it, making it difficult to isolate supply-side effects.

The findings reveal a U-shaped relationship between integrity and trade credit: only firms with exceptionally high integrity receive significantly more trade credit, while those with moderate levels do not experience a meaningful advantage. This positive effect disappears during periods of financial crisis but becomes more pronounced among firms with low market power. These results suggest that integrity may function as a strategic intangible asset—helping less powerful firms gain supplier trust in normal times, though its influence weakens when systemic risks dominate decision-making.

This study investigates the predictive power of excess trading volume on abnormal stock returns in the Stock Exchange of Thailand, examining 11,575 stock-month observations from SET100 constituents over 2014-2023. Drawing on behavioral finance theories including attention effect, disposition effect, and investor overconfidence, the research develops a novel technical indicator called "Excess Trading Volume" (ExV), defined as the deviation between short-term (21-day) and long-term (200-day) moving averages of trading volume.

Using cross-sectional regression analysis with CAPM-adjusted abnormal returns, the study tests two hypotheses: (1) high excess volume during positive return months predicts negative future abnormal returns, and (2) high excess volume during negative return months predicts positive future abnormal returns. The empirical results provide statistically significant support for the second hypothesis (β = 0.613, p < 0.05), indicating that each unit increase in excess volume during market declines predicts a 61.3 basis point increase in next month's abnormal returns. However, the first hypothesis lacks statistical significance.

Portfolio analysis reveals that a trading strategy based on these findings generates positive raw returns (0.103% monthly) but exhibits high market exposure (beta = 1.018) with minimal risk-adjusted abnormal returns (Jensen's alpha = 0.064%). The strategy's adjusted R-squared of 0.653 indicates that portfolio performance is primarily driven by systematic market movements rather than superior stock selection.

The study documents pronounced seasonal effects, particularly significant underperformance in March (-105.3 basis points) followed by recovery in April (+96.8 basis points). These findings contribute to the literature by demonstrating that volume-based technical indicators can identify behavioral patterns in emerging markets, though practical implementation faces challenges from transaction costs and modest economic magnitude. The research provides empirical support for behavioral finance theories in a non-Western context while highlighting the asymmetric nature of volume-based signals in identifying oversold versus overbought conditions.

This study investigates mispricing between SET50 Index Futures and the spot market through a multi-regime framework that integrates traditional asset pricing theory with machine learning. Using data from 2010-2023, K-means clustering identifies distinct market regimes, while XGBoost models regime behavior based on micro- and macroeconomic features. OLS regression shows that mispricing is primarily driven by microstructural factors, with macroeconomic variables contributing marginally in specific regimes.

A regime-specific pairs trading strategy between SET50 futures and the TDEX ETF reveals persistent, regime-dependent arbitrage opportunities. Notably, one regime generates consistent net returns after transaction costs, although limited trade frequency raises robustness concerns.

The findings highlight the limitations of static models and underscore the value of adaptive, regime-aware strategies for exploiting arbitrage in futures markets for both regulatory policy designers and investors.

This paper evaluates the performance of lottery stocks held by Thai mutual funds using stock price data of all stocks (both SET and MAI) and actively managed Thai open-ended domestic equity fund holdings from 2014 to 2023. The first objective is to examine whether any Thai mutual funds hold lottery stocks, and if such holdings generate positive raw returns or alphas based on the Fama-French 4-factor model. The second objective is to test the predictive power of lottery stocks held by Thai mutual funds using simplified version of cross-sectional Fama-Macbeth regression. The last objective is to examine whether long-short portfolios—long on lottery stocks held by funds and short on those avoided—can generate positive returns and positive alphas based on 2-factor and 4-factor models.

The results show that lottery stocks underperform other categories. Fama-Macbeth result supports that stocks classified as lottery exhibit lower returns in the subsequent month. The pair of lottery stocks held and not held by Thai mutual funds can generate positive alphas under both models on value-weighted basis, but the significances disappear under equal-weighted scheme suggesting exposure to size effects.

This study examines the existence of the Green Bond Premium in the U.S. secondary corporate bond market and investigates the impact of a firm’s environmental performance on the green premium. It further analyzes the moderating effects of social and governance performance on the relationship between environmental performance and the green bond premium.

The analysis uses a sample of 66 matched pairs of green and conventional corporate bonds, matched through Propensity Score Matching (PSM) to ensure comparability across key bond characteristics. Key variables are obtained from Bloomberg for the period 2019 to 2024.

The results confirm the existence of a modest green bond premium, with green bonds trading at slightly lower yields than comparable conventional bonds, after controlling for liquidity differences. However, firm-level environmental performance does not have a statistically significant effect on the green premium. In addition, there is no evidence that social or governance performance moderates the relationship between environmental performance and green premium.

This study examines the relationship between ESG performance and equity mispricing in Asia-Pacific markets from 2010 to 2023, using the Rhodes-Kropf et al. (2005) decomposition method. The results show that stronger ESG performance is significantly associated with lower mispricing, particularly among undervalued firms, suggesting that ESG improves pricing efficiency by reducing information asymmetry. ESG performance has limited influence on overvalued firms, indicating its impact is more pronounced when valuations are suppressed.

Further analysis reveals that the environmental, social, and governance pillars each independently contribute to mitigating mispricing, highlighting their distinct roles in enhancing pricing accuracy. ESG controversy does not significantly moderate the ESG - mispricing relationship. However, the interaction between ESG performance and analyst coverage is significant, implying that analyst coverage strengthens ESG’s effect on reducing mispricing. Analyst coverage alone also shows a strong negative association with mispricing, underscoring its role in enhancing market efficiency.