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https://cuir.car.chula.ac.th/handle/123456789/69748
Title: | Do Thai property fund and REIT Investors herd? |
Other Titles: | พฤติกรรมการซื้อขายตามๆกันของนักลงทุนในตลาดกองทุนรวมและทรัสต์เพื่อการลงทุนในอสังหาริมทรัพย์แห่งประเทศไทย |
Authors: | Palat Lertphitchaphong |
Advisors: | Roongkiat Ratanabanchuen |
Other author: | Chulalongkorn University. Faculty of Commerce and Accountancy |
Issue Date: | 2019 |
Publisher: | Chulalongkorn University |
Abstract: | This paper is the first to examine herding behavior in Thai Property Fund and Real Estate Investment Trusts or REIT market for the period of 2015-2019. The empirical results suggest that those market is exhibit herding behavior significantly. The herding is present in both up and down market and also present in medium to high volume days. Besides, the herding is motivated by cross-sectional premium to NAV, however, on high dividend yield days as well. Herding on high dividend yield days also robust when controlled the dividend yield by the Government bond yield. These results are sensational as herding might not occurred purely from noise trading, however to some extent fundamental based decision. In term of relationship between herding behavior and Thai Property Fund and REIT characteristics, this paper found evidences of herding in medium and small market capitalization portfolio. Notwithstanding, the conclusion cannot be reached when taking into account percent free float. |
Description: | Independent Study (M.Sc.)--Chulalongkorn University, 2019 |
Degree Name: | Master of Science |
Degree Level: | Master's Degree |
Degree Discipline: | Finance |
URI: | http://cuir.car.chula.ac.th/handle/123456789/69748 |
URI: | http://doi.org/10.58837/CHULA.IS.2019.59 |
metadata.dc.identifier.DOI: | 10.58837/CHULA.IS.2019.59 |
Type: | Independent Study |
Appears in Collections: | Acctn - Independent Studies |
Files in This Item:
File | Description | Size | Format | |
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6182035226.pdf | 1.08 MB | Adobe PDF | View/Open |
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