Please use this identifier to cite or link to this item: 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

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