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Browsing Acctn - Independent Studies by Title

Browsing Acctn - Independent Studies by Title

Now showing items 1-20 of 261

A pair trading using reinforcement learning and wavelet decomposition

Panudate Nithinon (Chulalongkorn University, 2022)

In this study, we propose a trading optimization methodology for the pair trading strategy. The Johansen cointegration test and the correlation measure are used for pair selection. We apply Deep-Q-network (DQN) technique ...
A study of potential factor investing strategy from ESG score and intangible capital in Thailand

Issaraphorn Voratavornviwat (Chulalongkorn University, 2022)

The independent study aimed to examine the relationship between Environmental, Social, and Governance (ESG) scores and Intangible Capital Ratio (ICR) and their implications for buy-and-hold returns (BHR) and stock performance ...
Accruals and volatility in a real options-based investment approach: evidence from Thai market

Chayaporn Chuenurajit (Chulalongkorn University, 2020)

This study investigates the relationship between year-ahead net working capital accruals as a proxy of investment behavior and expected volatility during the period of 2009 to 2018 of listed non-financial firms in Thailand. ...
Analysts’ consensus and predictability of forward P/E ratios

Thanakorn Petkajee (Chulalongkorn University, 2020)

Analysts play a crucial role in providing some important investment data, such as firms’ performance analysis, target prices, the forward P/E ratios, and so on, to investors. This special project studies the impact of ...
Arbitrage profit from pairwise correlation: evidence from Thailand

Salinporn Dachasiriprapha (Chulalongkorn University, 2020)

This paper aims to examine the usefulness of the Dynamic Conditional Correlation in the aspect of pair trade. Since one of the challenges in the pair trading is pair formation, this research would like to fulfill and find ...
Are short sellers equally informed? Evidence from the US. credit rating announcements

Omtong Kasemsant (Chulalongkorn University, 2021)

This study uses credit rating and daily short sale data of firms listed in NYSE from January 2015 to December 2021 to examine whether there is informed trading. Although post-announcement abnormal return is negatively ...
Asia REITs interdependence and the impact of COVID-19 pandemic

Boonchai Asawapiched (Chulalongkorn University, 2020)

This study investigates Asia REIT interdependence and the impact of COVID-19 pandemic. The data of six major REIT markets in Asia (Japan, Singapore, Hong Kong, Thailand, Malaysia, and Taiwan) have been applied with Johansen ...
Bank of Japan Intervention and its Impact on Price Efficiency of Underlying Stocks in ETFs

Kunyarat Ngamboriruk (Chulalongkorn University, 2019)

Price efficiency of stock market is one of classic stories in financial and economics world. This paper aims at quantitatively identify the impact of government intervention in stock market on price efficiency of the stocks ...
Behavioral bias in number and the stability of stock price

Natapong Teekaput (Chulalongkorn University, 2022)

This study investigates the behavioral bias in numbers. It analyzes the relationship between behavioral bias in the number of last-digit quote prices and volatility as a proxy of market inefficiency from 2 January 2020 to ...
Bond market reaction surrounding share repurchase announcement

Phasaporn Kitjakarnkoson (Chulalongkorn University, 2019)

I reexamine the bond market reaction to share repurchase announcement. The wealth transfer hypothesis suggests that shareholders expropriate wealth from debtholders hence the debtholders should react negative to this news. ...
Capital structure volatility and dividend policy: evidence from Thai listed firms

Thippapha Glinlek (Chulalongkorn University, 2020)

This study attempts to identify the factors affecting capital structure volatility using firm-specific on a sample of listed Thai firms from 2001 – 2020. This study documents that firm-specific factors impact capital ...
Causality between corporate social responsibility and corporate financial performance

Yatida Palasri (Chulalongkorn University, 2021)

This paper examines the causality relationship between corporate social responsibility (CSR) and corporate financial performance (CFP) of the listed companies in Asian Pacific emerging markets from 2010 to 2020. This paper ...
Characteristic approach to high risk low return puzzle in SET

Putchara Poomgumarn (Chulalongkorn University, 2019)

Theoretically investing in high risk asset generates high return. However, actual payoff in market is in the opposite side. In several empirical studies documented high risk stocks paid low return even lower than the ...
Clayton copula value-at-risk in crisis and the gold optimal weight: evidence in Thailand

Pimsuda Tunyalagsanakul (Chulalongkorn University, 2020)

In recent days, investors are facing higher market risk due to the pandemic situation, but this is not the only time, investors also experienced similar risk during the Global Financial Crisis in 2007. We are interested ...
Complex model versus complex data in an application of predicting mortgage loan

Yu Weng (Chulalongkorn University, 2021)

This research aims to measure the benefits of complex model versus those of meaningful information, through an application of credit risk prediction for mortgage loans. The neural network represents complex model and the ...
Corporate diversification and stock risk in Thailand: Evidence from a global shock

Miaoqi Su (Chulalongkorn University, 2022)

The objective of this paper is to investigate the impact of corporate diversification on stock risk for 345 companies listed on Stock Exchange of Thailand during the sample period from 4 January 2017 to 30 December 2021 ...
Costly signal in Open market repurchase: Evidence in Thailand

Thanawat Anavachapongpan (Chulalongkorn University, 2019)

Several studies argue that open market share repurchase has the lowest power to signal the inside information to the market. In this study I explore the market reaction to the announcement of stock repurchase plan with the ...
Could morningstar sustainability rating be an indicator for downside protection?

Purisa Ruengsrichaiya (Chulalongkorn University, 2020)

This study investigates whether the Morningstar Sustainability Rating indicates the downside protection for the 2018 Global stock market downturn and 2020 Stock market crash by using daily time-series analysis and investigate ...
Cross hedging currency risk from frontier/emerging markets: Thai portfolio investors' perspectives

Tanatuch Kujiranuwat (Chulalongkorn University, 2020)

The study explored performances of cross-hedging emerging/frontier market currency risk with developed market currencies from Thai investors’ perspective. The results showed that Thai investors can use a cross-hedging ...
Demographic, macroeconomic and institutional determinants of life insurance consumption: evidence from countries in Asia

Pattha Yodseranee (Chulalongkorn University, 2020)

Objective of this paper is to examine the determinants of life insurance consumption in terms of demographic, macroeconomic and institutional conditions from 26 countries from Asia covering the period of 1980 to 2019. The ...

Now showing items 1-20 of 261

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