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University of Luxembourg, Luxembourg
Smith School of Business, University of Maryland
King's College International School Bangkok
KTB Investment & Securities Co.,Ltd
Assistant Professor of Finance
Assistant Professor of Finance
Assistant Professor of Finance
Assistant Professor of Finance
Assistant Professor of Finance
Assistant Professor of Finance
University of Innsbruck Austria
Smith School of Business, University of Maryland
Copenhagen Business Sochool, Denmark
School of Economics and Finance, Massey University, New Zealand
Bruno R. Gerard DNB Chair Professor in Asset Management, Norwegian School of Management, Norway | Christian C.P. Wolff Professor of Finance, University of Luxembourg, Luxembourg | Deborah Lucas Director of the MIT Golub Center for Finance and Policy, MIT Sloan School of Management, USA | Evangelos Vagenas-Nanos Senior Lecturer in Accounting and Finance, University of Glasgow, Scotland | Hendrik Bessembinder Professor of Finance, Arizona State University, USA | Keng Yu-Ho Professor of Finance, National Taiwan University, Taiwan | Marc Paolella Professor of Empirical Finance, University of Zurich, Switzerland | Meir Statman Glenn Klimek Professor of Finance, Santa Clara University, USA | Michael J. Aitken Professor of Finance, Macquarie University, Australia | Morten Bennedsen Professor of Economics, University of Copenhagen, Denmark | Paul Embrechts Professor of Mathematics, ETH Zurich, Switzerland | Roger King Professor of Finance, Hong Kong University of Science and Techonology (HKUST) | Shawn Cole Professor of Finance, Harvard Business School, USA | Söhnke M. Bartram Professor of Finance, University of Warwick, England | Tony Kang Professor of Accounting, University of Nebraska-Lincoln, USA | Vidhan Goyal Chair Professor of Finance, Hong Kong University of Science and Techonology (HKUST) | Donald R. Chambers Professor of Finance, Lafayette College, USA
ADJUNCT and CORPORATE CONNECTIONS
Sunti Tirapat Associate Professor of Finance, National Institute of Development Administration (NIDA) | Kridsda Nimmanunta Director of Professional MBA/MSc in Finanical Investment and Risk Management, National Institute of Development Administration (NIDA) | Nattawut Jenwittayaroje Director of the MSc in Financial Investment and Risk Management (MSc in FIRM) program, National Institute of Development Administration (NIDA) | Chonladet Khemarattana Chief Executive Officer, Fintech (Thailand) Co., Ltd. | Chatsularng Karnchanasai, The Bank of Thailand | Chattrin Laksanabunsong Head of 10X Project, Siam Commercial Bank | Kobsidthi Silpachai Head of Capital Markets Research, Kasikorn Bank | Kris Panijpan Managing Partner/Co-Founder, 9 Basil Co., Ltd. | Paritat Lerngutai Chief Financial Officer, Sri U-Thong Limited | Pasu Liptapanlop Director, Proud Real Estate Plc. | Pisit Jeungpraditphan Audit Committee Director & Independent Director, Mudman Public Company Limited | Ponladesh Poomimars, The Bank of Thailand | Sirinattha Techasiriwan | Somjin Sornpaisarn Chief Executive Officer, TMB Asset Management | Sopon Asawanuchit Managing Partner, Confidante Capital Co.,Ltd. | Sornchai Suneta First Vice President, Chief Investment Officer, Wealth Segment, Siam Commercial Bank | Waraporn Prapasirikul Partner, Ernst & Young Office Limited | Yunyong Thaicharoen First Executive Vice President, Economic Intelligence Center, Siam Commercial Bank | Yuttapon Wittayapanitchagorn Executive Vice President, Fixed Income Investment Group, Investment Division SCB Securities Company Limited
developments in finance. The empirical literature includes developed stock markets.
However, emerging markets, notably the Thai stock market, lack study subjects. The
purpose is to deeply comprehend the link between investor sentiment and Thai stock
market return. The aims include customizing investor sentiment indices to explain
the Thai stock market index's movement, estimating investor sentiment's predictive
ability, providing stock investors with referable trading strategies, and providing
suggestions for cross-section equity selection.
This study initially employs Principal Component Analysis (PCA) to
customize the composite indices, called the investor sentiment indices, using the local
and global levels based on eight underlying indicators extracted from prior research.
Second, the paper examines and compares the forecasting performance of the
Martingale model, the Autoregression model, and the Multivariate Threshold
Autoregressive models (MTAR) using local and global sentiment indices. Thirdly,
the paper develops trading strategies based on the predicting models and the
fluctuating investor sentiment. Fourthly, the paper examines the impact of investor
sentiment on the various features of the Thai stock portfolio.
The paper's results suggest that 1) the customized investor sentiment has
researchable explanatory power to the Thai market index return. 2) the customized
investor sentiments significantly cause the return of the Thai stock market. 3) using
the rolling out-of-sample technique, the customized investor sentiment accurately
forecasts the Thai market index returns more than other empirical predictive models.
4) the trading strategy based on the customized investor sentiment model provides
higher predicted returns than trading strategies based on other empirical models. 5)
Thai stocks with high dividends, high tangible assets, high liability, low profitability,
and value premium are susceptible to customized investor sentiments.
on the impact of the pandemic on different financial assets. Moreover, the uncertainty of the COVID-19 pandemic situation itself is found to have a positive impact on the volatility of the REITs market as well. This study is the first to use the volatility of the growth rate of cases as a proxy for the uncertainty of the pandemic situation to investigate the impact of the uncertainty of the pandemic itself on the volatility of the REITs market. For the impact on the correlation between REITs and stock indices, the DCC-GARCH model is applied to investigate the impact of the pandemic on conditional correlations between REITs and stock markets. Most REITs markets in the study are found to be more correlated with the stock market during the pandemic. Furthermore, an increase in daily cumulative cases is found to be able to lead to an increase in correlation between REITs and stock indices in the majority of the country in this study. The results from this study in both the volatility aspects and the correlation aspects reveal that the impact of the pandemic on the REITs market is not only for the risk from investing in the REITs market but also for the diversification risk from including REITs in a stock portfolio. Overall, the findings from this study give investors an insight into the impact of the pandemic on the REITs market in both volatility and correlation aspects before including REITs in their portfolio. Investors should aware that the benefit of investing in REITs could be different from normal periods when there are no harms from the pandemic. In addition, policymakers are able to clearly see the impact of the pandemic on the REITs market and how important to control theCOVID-19 situation.
for firms with higher ownership concentration.
policy on stock market volatility. We explain the stock market volatility dynamics
via the index that measures the strict level of government response’s policy to
COVID-19. Using EGARCH (1,1) model to identify stock market volatility from
daily stock market return of 68 countries and apply the Arellano–Bond two-step
system GMM estimator for dynamic panel data analysis, we found that the stock
market volatility in the COVID-19 period can be reduced by the government policy
response to COVID-19. Furthermore, after dividing the index into 3 types, all types
of policy also reduce the stock market volatility and the economic support policy has
the highest impact on the stock market volatility.
We also further regress five factors, namely game-fi, marketplace, holders, illiquidity, and VC factor on the post-announcement CAR. However, the result is sparse. Only the constant and marketplace factor shows a positive and negative, respectively, impact at 90% level.
Our study makes two contributions; Firstly, the result indicates that metaverse tokens positively respond to the announcement in aggregate. Secondly, the abnormal returns of these tokens are mainly driven by the uniqueness of each token and the marketplace function is harmful to the abnormal returns.
financial constraints at the firm level. In this study, our first hypothesis
is that higher accounting quality reduces financial constraints at the
firm level. Our second hypothesis is that higher accounting quality
reduces financial constraints more after IFRS adoption in 2011 than
before IFRS adoption in Thailand. Our third hypothesis is that higher
accounting quality reduces financial constraints more in state-owned
enterprises than in privately-owned enterprises. Lastly, auditing quality
could be another proxy of accounting quality. Therefore, our fourth
hypothesis is that higher auditing quality reduces financial constraints at
the firm level. In this study. Our results in the first hypothesis are
consistent for KZ index and WW index model. However, the results in
WW index model show a strong relation between accounting quality
and financial constraints when compared to KZ index model. Therefore,
we choose WW index to represent our results for hypothesis 2, 3 and 4.
For the second hypothesis, there is no statical evidence to support this
hypothesis. For the third hypothesis, our results are consistent with our
expectation. For the fourth hypothesis, our test results are consistent
with our expectation.
response to COVID-19 to cross-listed companies’ stock return, mispricing and
volatility of the mispricing, using evidence from 164 Canadian companies’ stocks
listed on Toronto Stock Exchange (TSX shares) and cross-listed in New York Stock
Exchange or NASDAQ (US shares).
Our results show that there is negative impact from growth of COVID-19
cases to stock return and positive impact from government response to COVID-19 to
stock return in both Canada and US. As for impact to mispricing, using price premium
of stock listed in Canada relative to US as a proxy, the results suggest that when we
implemented separate variables of growth of COVID-19 cases and government
response to COVID-19 for each country, only government response to COVID-19 in
Canada was found to have significant positive impact to the price premium. We have
further examined the impact by implemented variables of difference in COVID-19
cases growth and government response to COVID-19 between Canada and US
instead of separate variables for each country, the results showed that difference in
COVID-19 cases growth of Canada relative to US is significantly negatively related
to the price premium while difference in government response to COVID-19 cases is
significantly positively related to the price premium. As for impact to volatility of the
price premium, COVID-19 cases growth in US and government response in both
Canada and US are found to be positively related to volatility of the price premium.
in policy or money market rate are transmitted to commercial bank rates. In
other words, monetary policy transmission is one of the useful tools for the
analysis of effective monetary policy decisions. This paper examines the
effectiveness of the interest rate passthrough from the money market rate to
various lending rates (MLR, MOR, and MRR) in Thailand from 2008 to 2021
including crisis periods, and also assesses the impact of bank characteristics.
Using the panel cointegration method and error correction model with monthly
data from individual commercial banks.
The results show the incomplete transmission of monetary policy to all
lending rates because of information asymmetry, costs, and market competition.
During the crisis periods, the monetary policy transmission tends to become
weaker since the distress causes higher risks and worse financial conditions.
With regard to bank characteristics, the capital ratio implies the regulatory
constraint, and the non-performing loan (NPL) ratio represents the quality of
assets in the bank’s portfolio, both lead to the diminishing passthrough in
on firm's dividend payout and investment policies. We use data from listed companies
in Stock Exchange of Thailand during 2000 - 2021. This paper applies fixed effect
ordinary least squares to evaluate impacts of change in credit rating. From this paper,
downgraded firms will decrease dividend payout and investment. However,
upgraded firms will increase dividend payout and investment. Moreover, this paper
studies relationship between impacts of change in credit rating on firm's investment
efficiency. From this paper, downgraded firms will overinvest and upgraded firms
will underinvest. This paper provides information or guidances to debtholders and
shareholders to evaluate the firm is worth to invest.
The findings indicate that a change in statutory tax rate indeed has an impact on the firms’ tax behavior. However, the relation between tax avoidance and firm value cannot be proved as it is not significant enough.
after the merger announcement. I study SPAC IPOs which had acquiror
and target nation in the United States and were public between January
2020 and December 2021. The final sample has 186 SPACs. I select The
Forbes 400 in 2021 as a proxy for sponsor reputation. I use event study
methodology to test for SPAC sponsors and their effects on SPAC prices.
I find that there is no statistical evidence that sponsor reputation has
impact on SPACs price on the announcement date of combination. There
are two possible plausible explanations for this finding. 1) SPACs are
structured and behave unlike any other asset class in the markets. 2) The
Forbes 400 in 2021 that use as a proxy for sponsor reputation in this paper
may not be appropriate for the study. Moreover, I cannot find the
evidence that SPACs with technology company has impact on SPACs
price on the announcement date of combination. Because investor trading
behavior is bizarre, and SPACs are structured and behave unlike any
other asset class in the markets.
The results show that whether looking at the first-day trading price of an IPO or the subsequent trading prices, the effect of pandemic fear (GFI, RCI and RDI) was positive. However, results were somewhat different for HighGFI, which was a dummy variable indicating severity of fear as they were negative in all cases. These results conclude that investors are not making IPO decisions in the first few days, but that over time the effect of high pandemic fear accumulates and suppresses subsequent trading prices.
Singapore, and Japan REIT indices for the SET index. The time scope for this study
starts from 1st January 2011 to 31th January 2022. It also compares the diversification
benefit degree between pre and during Covid-19 periods. The DCC-GARCH model
is used for the diversification benefit examination. The results posit 3 main points.
First, all the REIT indices provide diversification benefit for the SET index. Second,
the Covid-19 pandemic reduces diversification benefit generated by the US, Europe,
and Japan REIT indices. Finally, the US provides the highest diversification benefit
to the SET index among the others.
derivative warrants on ex-dividend date. Using data from the
Stock Exchange of Thailand during 2010 to 2020, this research
examines mispricing of derivative warrants by comparing the
market price to the theoretical price, which incorporates the
adjustment of exercise price and ratio on ex-dividend date
according to the rules given by SET. This research also studies
further by investigating the magnitude of impact from the
dividend yield of underlying asset. The empirical results show
strong evidence of mispricing in call derivative warrants,
whereas put derivative warrants are found to be weakly
statistically overpriced. Furthermore, dividend yield of
underlying asset is indeed highly correlated to the magnitude of
mispricing, as high dividend yield stocks have more
underpriced call derivative warrants and as well more
overpriced put derivative warrants.
governance (ESG) performance affects the idiosyncratic risk of firms in
the United States and Canada between 2007 and 2020. This study retrieves
ESG scores and other factors from the Refinitiv DataStream, the firms used
for analysis in this paper are 480 listed companies. Results show that ESG
performance can reduce idiosyncratic risk in different firms' characteristics
and periods. First, ESG performance can subdue the idiosyncratic risk in
both sensitive and non-sensitive industries at the same level. Second, only
the environmental pillar in the sensitive industry has an additional negative
influence on idiosyncratic risk due to the concentration in environmentally
sensitive industries of the samples. Third, high market value firms tend to
benefit more from improving ESG performance than low market value
firms. Fourth, the effect size of ESG performance on idiosyncratic risk of
low leverage firms is larger than high leverage firms. Fifth, ESG practice
shows a more considerable effect in times of recession periods compared
to normal periods. Lastly, ESG performance can subdue idiosyncratic risk
of firms in covid-19 period higher than in pre-covid-19 periods.
in the European REIT market in the period 2012 – 2021. The
alpha of a low minus high beta strategy is positive and
statistically significant which can interpret that the low beta
REITs have a higher risk-adjusted return than high beta
REITs. To examine the explanation behind the beta anomaly,
the controlling variables which may cause the beta anomaly
including the lottery-like stock return factor, the skewness
factor, and the institutional ownership factor are added into the
Fama-French 3-factor model. For the result, only the
institutional ownership factor which refers to the leverage
constraint hypothesis shows a significant relation with REIT
returns. To examine that the beta anomaly is a demonstration
of the leverage constraint hypothesis, the result of pooled OLS
regression shows a significant relationship between REIT
betas and institutional ownership.
firms listed in NYSE from January 2015 to December 2021 to
examine whether there is informed trading. Although postannouncement abnormal return is negatively correlated with
abnormal short volume, no evidence of informed short selling
is found. Higher level of pre-announcement abnormal short
selling is positively correlated to default risk and also
explained by the incentives of short sellers to short more when
past returns are negative. Furthermore, increase in short selling
that is preceded by credit watch placement is more pronounced
before credit rating downgrades. Moreover, the evidence
shows that cumulative abnormal return pre-announcement is
positively and significantly correlated with the abnormal short
sale activities pre-announcement. Lastly, this study provides
evidence that institutional investors or medium or large trade
size increase short position more heavily than smaller trade
bonds in 46 countries including developed and emerging countries during COVID
pandemic. The empirical result from panel data framework shows that the flights
exist and government bonds remain offered diversification benefit to investors
when they are most needed. The negative stock-bond correlation was also amplified
when pandemic is more severe in developed countries. Moreover, this study reveals
that countries with a higher degree of bond market development can support bonds
act as a safe haven better and have more negative in stock-bond correlation.
regulators and investors to concern. This paper tries to examine the impact of derivative warrant
introduction on liquidity (measured by trading volume) and risk (measure by volatility and
systematic risk beta) of the underlying stocks in stock exchange of Thailand. This paper examines
the impact on trading volume by using t-test for testing the equality of two means between prederivative warrant introduction period and post-derivative warrant introduction period and using
dummy variable regression for finding a change in the underlying’s trading volume after the
introduction of derivative warrant. For the impact on the underlying’s risk, this paper uses f-test
to determine the equality of two variance by using the ratio of variance between pre-derivative
warrant introduction period and post-derivative warrant introduction period and also uses
GARCH (1,1) model with dummy variable to find a change in volatility of the underlying stocks
after derivative warrant introduction, the dummy variable is also applied to investigate a change
in the underlying’s beta after derivative warrant introduction.
Overall, the results from the impact after derivative warrant introduction, reduction in
liquidity, reduction in volatility and no change in systematic risk beta, could provide additional
information for regulators to improve market efficiency and for investors to enhance their trading
ability of real estate investment, both direct and indirect, including single-houses, town
houses, condominium, and SETPREIT in Thailand. The Johansen cointegration test
was used to akishort run dynamic movements, the Vector Error Correction (VEC)
model for cointegrated time series was applied to analyze. In addition, Granger
causality test is conducted to see whether the cause of inflation is independent from the
movements in the price of real estate assets. In addition, the impulse response functions,
and variance decompositions were also incorporated with the purpose to emphasis the
impact of the real estate investment to inflation and vice versa.
The empirical findings, obtaining through the cointegration tests suggest that
there is an existence of the long-run relationship between the price of properties,
including townhouse, condominium and SETPREIT. With the long-term relationship
existing between the real estate assets, and inflation, these real estate assets have an
ability to hedge against inflation (Gunasekarage, 2008); (Le Moigne & Viveiros, 2020);
(Taderera, 2019). Therefore, in summary in the long run, the real estate assets, including
townhouse, condominium, and SETPREIT can be applied as a hedge against inflation.
In the short run, the result suggests that condominium and SETPREIT have
dynamic relationships with inflation. The Granger causality suggests that the direction
of causality is from the price of condominium and SETPREIT to inflation, which
implies that the past information and the variations of the price of condominium and
SETPREIT can be used to predict inflation. Consequently, the price of real estate assets
in Thailand, consisting condominium and SETPREIT are considered to have an
influence on the variation of inflation.
on shareholders’ wealth. Due to integration problems between combining
corporations, Daimler-Chrysler merger failures caused the corporate sector to think
that mergers of equals erode shareholder wealth. However, it is based on a small
proportion of MOE transactions, and there is no empirical evidence on the
shareholder’s return on the announcement date implications of MOEs related to the
size of the merger. I provide this research knowledge for the shareholder wealth at
the announcement date for the implications of MOEs related to the size effect of the
Furthermore, MOE characteristics associated with shareholder wealth
impacts are evaluated to assess MOEs. Two tests will be used to determine the
optimal structure of MOE transactions: i) small-size and large-size MOEs – to
determine whether the merger abnormal return is determined by the size of the
acquirer and target firms. ii) local and cross-border MOEs – to determine whether
local or cross-border mergers outperformed in terms of abnormal returns at
announcement date in MOE transactions.
(2014) to capture commonalities or common idiosyncratic noise in fund strategies. These
commonalities cannot be captured by the Carhart 4-factor model and it also decreases the
accuracy in fund performance evaluation. Firstly, we examine the efficiency of the APB
methodology compared with the Carhart 4-factor model. Then we also use the APB methodology
to evaluate the performance of actively managed Thai open-end domestic equity funds from
January 2006 through December 2020. In the APB methodology, we focus on two dimensions:
fund returns and the fund’s investment objectives. Our study applies the Carhart 4-factor model
with the added benchmark that indicates an equal investment in each fund included in the
category as a whole. We call this additional benchmark an "active peer benchmark" (APB). We
discover that the active peer benchmark (APB) methodology is able to decrease the average time
series pair-wise residual correlations between individual funds in the same APB category when
we add the APB factors to the Carhart 4-factor model, which increases the accuracy in fund
performance assessment. This active peer benchmarks methodology is also able to determine
which mutual funds within each peer group are performing the best.
stock price around the changes in index constituents. Specifically, this paper studies
the significant SET50 index during the period of 2014 – 2021. According to the
empirical result, there is an asymmetric price response between index additions and
index deletions. The effects from exclusions are considerably stronger than from
inclusions. The findings also show that percentage ownership of institutional
investors and abnormal return are positively correlated in case of exclusions but not
for inclusions (though insignificant). Companies deleted from the index result in
lower institutional holdings and subsequently exhibit lower share prices. Moreover,
stock valuation has no effect on stock price in response to the announcement of
index inclusion and exclusion.
the Stock Exchange of Thailand)
The findings indicate that foreign investors are trading at worse prices in all different trade sizes during the sample period and are more aggressive. However, the results are mixed in buy and sell trade prices. Foreign investors tend to trade momentum following previous short-time positive returns, and aggressive trading behavior cannot explain all the inferior trading performance of foreign investors. The price impact results can be concluded that the impact is very small.
correlations of the stock market of Thailand and China into different time scales
and frequencies. The decomposed correlations are then examined and compared
between short-term and long-term, and also between different time periods when
the interdependence of two markets is expected to change. The result shows that
long-term correlation is not significantly higher and sometimes is significantly
lower than the short-term, whereas the correlation does significantly increase from
2005 to 2020. Furthermore, the paper investigates the effectiveness of using the
correlation in the suitable time scale and frequency in an application of a minimum
variance portfolio. By comparing the traditional correlation and correlation obtained
from the wavelet method, we found that the minimum variance portfolio from the
wavelet method performs better. The result implied that the wavelet method support
investors and policymakers to understand the linkage between two markets and
make better decisions based on the co-movement of returns.
the Dow Jones Emerging Market index and commodity indices (i.e., agriculture,
energy, industrial metals, livestock, precious metals) and Islamic stock indices (i.e.,
JKII, KLFTEMSI, MSCI Bahrain, MSCI Kuwait, and MSCI Qatar). Additionally,
this paper classifies the properties of assets whether it is a diversifier, a hedger, or a
safe-haven assets to the Dow Jones Emerging Market index. The estimation method
is the dynamic conditional correlation generalized autoregressive conditional
heteroskedasticity (DCC-GARCH) model to estimate the conditional correlations
during the period of 2007-2021 which covers the Global financial crisis (GFC) and
Covid-19 pandemic. The finding indicates that all commodity and Islamic stock
indices serve as a diversifier in general. However, MSCI Bahrain, MSCI Kuwait, and
precious metals act as a safe-haven asset during certain periods of the GFC and
Covid-19 crises. Interestingly, KLFTEMSI and JKII present the highest hedging
effectiveness over the study period.
diversifier against Thailand, Philippines, and Indonesia stock exchange market.
Using DCC-GARCH model and hypothesis test, we examine the hedge ratio and the
conditional correlation between cryptocurrencies and TIP’s stock exchange
market. The sample cover data on the return of the TIP’s index, Bitcoin, Ethereum,
Tether and Litecoin from 1st January 2016 to 31st December 2021. The empirical
results show that traditional cryptocurrencies, such as Bitcoin and Litecoin can act as
diversifier, Ethereum can act as hedge instrument in PSEI index. Tether can act as
the hedge and safe haven in PSEI and JKSE index. The safe-haven capability of
Tether can change across market condition. The benefits of this research are to help
investors the important understanding into diversification of cryptocurrencies.
Moreover, authorities and governments would be interested in our findings if they
were to engage in a deeper discussion on the role of cryptocurrencies in financial
markets. This study contributes to the continuing discussion regarding the investment
potential of cryptocurrencies.
prices announcement published by analysts from both domestic and foreign brokerage firms in the Thai
market. There are two quantitative indicators that will be focused on in this study, target prices and stocks
rating, by observing the change of these two factors along with the change of market price, I will be able to
study market reaction by using the Fama-French 3-factor modal (Fama and French, 1992) to detect AR and
CAR within each focused window period. The observation period starts from January 2, 2019to December
This research is believed to be one of not many of Thai research that study an up-to-date and indepth market movement according to the change of analyst’ views towards stocks. In addition to the impact
of rating and target price changes on the stock price individually, this research also analyses the combined
effects of the 2 focused key variables. The results a significant correlation between announcements and
market price movement as there is a significantly positive AAR and ACAR when ratings and target prices
are upgraded and significantly negative AAR and ACAR when they are downgraded.
firm value of companies in the Asia-Pacific from 2011 to 2020. Fixed effects and
two-stage least squares are employed to deal with endogeneity. We find that
increasing female directors to the board has a positive and significant effect on firm
value as measured by Tobin’s Q. The result suggests that independent directors
have a positive and significant impact on firm value. However, when the board is
composed of independent directors, appointing female directors decreases the firm's
value owing to over monitoring. Furthermore, the positive effect of female directors
appears to be diminished in countries with higher corruption environments. This
may be attributable to the fact that gender diversity reduces board corruption.
Overall, we suggest that the present of female directors or mandating gender quotas
on board can reduce firm value in countries where corruption is high.
technology ETFs to six Asia emerging markets and assess whether if COVID-19
pandemic has altered the dynamic conditional correlations and hedge effectiveness
between these assets. Using daily return data from February 23, 2018 to January 28,
2022, first, the results indicate that despite the outperformance of disruptive
technology ETF’s returns during COVID-19 pandemic, these ETFs do not have a
hedge or safe haven property against Asia emerging market downturns as their
returns were still positively correlated. They can only be used as diversifier tools to
the Asia emerging markets. Second, the changes in the dynamic conditional
correlations between the ETFs and Asia emerging markets were identified in which
majority of the ETFs were found to have higher correlations with the emerging
markets during COVID-19 period. This implies that the optimal hedge ratio or
hedging cost between these assets were increased during the pandemic. Third, this
study found that the disruptive technology ETFs can provide higher hedge
effectiveness against Asia emerging markets during COVID-19 period than normal
period due to shorting a unit of the ETF can reduce variance of the long-only
portfolio in Asia emerging market by larger magnitude. Hence, these ETFs can be
used as hedging tools to minimize the risk of Asia emerging market portfolio. This
study provides insights for investors to formulate hedging strategies and determine
portfolio diversification by thematic technology ETFs.
moderated by firm age and advertising expenses from 2011 to 2020. Firm performance is
measured by Tobin’s Q, ROA, ROE and asset turnover. This study finds the evidence that
environmental pillar is the most important metric to improve firm value in healthcare equipment
& supplies and advertisement helps social and governance pillars to add more value.
Biotechnology looks alike, but firm age can moderate environment pillar to increase the value.
Moreover, social pillar is the most influential to add firm value for healthcare provider &
services and the effect is much better with older firms. Also, advertisement helps environmental
pillar to enhance firm value even though its score per se cannot. Correspondingly, advertisement
can be a moderator for environmental and governance pillars to add firm value for
pharmaceuticals while its ESG subcomponents per se cannot. The conclusions concerning other
performance measures (profitability and efficiency) are outlined in the conclusion section. The
study provides an opportunity for healthcare industry to leverage ESG for firm performance
improvement and presents refined guidelines that employ different firm performance
measurements and ESG metrics compared between crisis and non-crisis.
decision regarding Mergers and Acquisitions. Whether the decision by the acquirer
to make partial or full acquisitions is driven by moral hazard is the main implication
of this research paper. Considering several subsamples of mergers and acquisition
transactions, in domestic transaction, an increase in private benefits of control does
increase the odd of making partial acquisition. Considering the subsample of crossborder acquisitions, private benefits of control still increases the odd of making
partial acquisition but the effect is less pronounced. Having control for the profitmaximizing reasons to make full acquisitions, the increase in private benefits of
control does not increase the odd of making full acquisition which is implied as
wealth-destroying decision. The empirical results align more with the profitmaximizing explanation as the acquirer reacts to the private benefits of control by
making partial acquisition instead of making full acquisition.
International stock market around the corporate bond rating
change announcements by Moody's between 2015-2021 using
stocks and rating data from Datastream. The empirical result
shows a significantly positive reaction after the upgrades
announcement and a negative reaction around the downgrades
event date. Specifically, the impact of rating changes on stock
prices is larger around downgrades. The results imply that there
is an information effect but no price pressure effect since there
is a significant reaction in response to downgrades for all
samples insignificance impact following downgrades for subsample of the changes across investment- or speculative-grade
boundary. Furthermore, the absolute change in rating is
statistically significantly related to the cumulative abnormal
effect. It is based on the observation that return during November to April so-called winter period
tend to perform better than return during May to October so-called summer period. Using a sample
of 97 Thailand equity funds during 2012-2021, we extend previous research by focusing on the
Halloween effect in mutual funds market. Our research consists of three main objectives. First, we
investigate the existence of Halloween effect in Thailand equity mutual funds. Second, we look
into different characteristics of funds by categorizing based on categories from Morningstar
database. As different types of funds may have different strengths of Halloween effect, we further
examine the presence of Halloween effect in 6 groups of 11 different types of characteristics
includes different market capitalization, book-to-market ratio, investment style of active and
passive and sectors. Then, we create trading strategies which based on the different strength of
Halloween effect by investing in a funds characteristic with the highest Halloween effect during
winter and a funds characteristic with no or less Halloween effect during summer months and
compare with the benchmark of buy-and-hold strategy. Third, we generate modified momentum
strategy, which is to long loser portfolio in winter, and long winner portfolio and short loser
portfolio in summer and investigate whether it outperforms conventional momentum long-short
Consistent with Kenourgios and Samios (2021), our results show that Halloween effect
exists in equity mutual funds with significant positive winter months return. We provide evidence
of a robust Halloween effect in every characteristic except for growth funds. Our findings also
show that size of Halloween effect varies across different characteristics of mutual funds similar
to Arendas et al. (2018) and Jacobsen and Visaltanachoti (2009). Halloween effect is stronger for
passive funds than active funds. One possible explanation is fund manager who acknowledge this
phenomenon create their own strategy of what to invest during each period. Kenourgios and
Samios (2021) suggests that fund managers increase their equity exposure during May to October.
We also show that the investment based on rotation strategy and modified momentum strategy is
profitable and outperform their benchmark. The rotation strategy of investing
largevalue/midsmallvalue funds and passive/active funds generate a positive and significant
We further investigated the impact of firms’ environmental disclosure on the cumulative abnormal return. We proxied ESG disclosure and ESG score as one of the indicators for degree of environmental-friendly. The empirical results showed that ESG disclosure had negative impact on cumulative abnormal return at the first action of Thailand towards climate change (signing Paris Agreement) in 2016 (announcement no.2). In contrast, the ESG disclosure had positive impact on cumulative abnormal return to the announcement of Thailand’s commitment to lower temperature rising in the COP meeting in 2021 (announcement no.8). This implies that the investors viewed the impact of ESG disclosure on firms differently before and after the ESG become active in Thailand. In other word, the investors recently view that firms with ESG disclosure are likely to be better at the adaptation to new environmental policies. Additionally, among the firms with ESG disclosure, the ESG score doesn’t have impact on cumulative abnormal return.
of air pollution on stock returns in Thailand and Indonesia
from January 1, 2016, to June 30, 2021. Further effects of air
pollution on stock returns during the seasonal pollution period,
full moon period, new moon period, and high pollution period
are also studied.
The result shows that a lagged day of air pollution
proxy significantly reduces stock returns in Thailand. The
significant negative effect of air pollution on stock returns is
similar to that after controlling for the January effect. This is
consistent with the finding of Li and Peng (2016). In addition,
the negative effects of the lag air pollution agent on stock
returns are stronger during the seasonal air pollution period,
the full moon periods, and the high pollution days.
Moreover, the stock returns are higher during the new
moon period in Indonesia. This is consistent with the finding
of Dichev and Janes (2003). However, this paper does not find
the significant effects of air pollution on stock returns in
This study finds that oil price shock from the supply side has a positive relationship with corporate investment. But oil price shock from the demand sides such as aggregate demand shock and specific demand shock have limited impact on corporate investment. For subsample analysis, The empirical finding is still in line with all samples. While the existing industrial competition of non-energy related industries helps to mitigate the positive impact of supply shock and we can imply that it reduces overinvestment problems.
The study found a potential correlation between mutual fund flows with both the expected and real economy. Mutual fund flows seem to have a bidirectional relation with predictive variable. The result indicate that mutual fund flows not only react to an anticipated change in economic condition but mutual fund flows also affect investors’ expectation about the future economy. Good future economic expectation tends to lead the flow into bond fund while deteriorated future economic expectation is likely to bring up bond fund flows. Furthermore, the findings suggest that mutual fund flows could help predict predictive variables. The study evidence also suggest that mutual fund flows and macroeconomic condition are likely to be related. Mutual fund flows themselves contain information about the real economy. An improvement in the real economy is possibly predicted by an increase in equity fund flows whereas an increase in bond fund flows is likely to be a signal of a poor economic state. Also, mutual fund flows could possibly be affected by the real economic condition.
The results reveal that CFP measured by Tobin’s Q ratio negatively influences corporate governance pillar of CSR in energy industry. Moreover, the results show the negative influence of Tobin’s Q toward the aggregated CSR, environment pillar and social pillar in financial industry. These results conclude that the causality relationship between CSR and CFP vary across industries and that the use of different CFP measures generate different results.
1 year work experience
1 year work experience
|5 Core Courses||1 Core Courses +3 Elective Courses +Proposal||1 Elective Course +Thesis|
|5 Core Courses||1 Core Courses +3 Elective Courses+SP(l)||4 Elective Courses + SP(ll) + Comprehensive Exam|
Plan B: Students with at least 1 year work experience
|YEAR 1||3 Core Courses||2 Core Courses||1 Core Course + 2 Electives Courses|
|YEAR 2||2 Electives Courses+ Comprehensive Exam||2 Elective Courses +SP(l)||1 Elective Course +SP(ll)|
- ELECTIVE: Corporate Finance
- ELECTIVE: Risk Management
- ELECTIVE: Investment
- ELECTIVE: Others
types and roles of various financial institutions in intermediation process; determination of interest rates; roles of regulators;
central banks; commercial banks; money supply process; debt markets; equity markets; foreign exchange markets;
financial instruments; efficient market hypothesis; financial markets in international context.
Condition: Prerequisite 2604631 and 2604632"
Financial planning and assessment of financing needs; cost of capital estimation and capital budgeting; discounted cash flow valuation model; weighted average cost of capital; adjusted present value model; corporate financial decisions and their impact on firm valuation"
Condition: Prerequisite 2604643"
Fundamentals of pension plans; pension plan valuation concepts; pension funding concepts; solvency concepts; asset and liabilities management of pension funds; optimal asset allocation and risk management for pension plans; capital requirements and economic capital."
With proficient professors and interesting curriculum, a year spent in this program was a great opportunity for accelerating my career path in finance."
Tentative Dates for 2023 Admission (** Subject to change due to Covid Situation)
16 May 2023 (Flexible)