Browsing by Author "Thananporn Sethjinda"
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ItemAbnormal return on stock split-revisiting the evidence of Thailand during 2009-2018An abnormal return on the stock split is one of the most prominent debates in the finance industry. Positive signaling and optimal trading range hypotheses are underlying principles that are commonly used to describe a positive market reaction to the stocksplit. This research paper focuses specifically on the market’s reactions by the announcement date of the stock split, applying firm size and price range to explore insightful connections. The samples are listed companies in the Stock Exchange of Thailand(MAI excluded) with a stock split from January 1, 2009, to December 31, 2018, aiming to capture data in all economic cycles. To examine positive abnormal returns around announcement date, the event-study-methodology is applied. The study indicates that average abnormal return (AAR) and cumulative average abnormal return (CAAR) are significantly positive during the announcement. Applying firm size in the study, the market tends to react more positively to small-size firms, likewise, low-price. The pieces ofevidence indicated that stocks responded more positively by reason of consciously or subconsciously anticipation to post-splits. The investors are able to apply the rationales and logic behind this corporate action to distinguish between fundamental changes and expectations for their investment decisions in financial markets.
ItemThe influence of investment knowledge and risk perception on mutual fund choices among Millennials investors in Bangkok metropolitan areaMutual funds are one of the simplest investments and are considered a ‘gateway’ investment for new investors, which should make them ideal for new investors such as younger Millennials. It is more diversified portfolios in many sectors than direct investment in one sector. This research paper focused on investment knowledge and risk perception on mutual funds investment among Millennials investor which is largest population in Thailand . The research done have been collected from 427 Millennials mutual fund investors in Bangkok. The objective of this study was to investigate the effects of investor characteristics on investor knowledge, investor anxiety, risk-taking propensity, and risk aversion on the choice of mutual funds. Descriptive statistics showed that most of investors making transaction via mobile application and relying on online social media for source of information. Moreover, they had moderate investment anxiety and low to moderate risk-taking propensity, along with moderate investor knowledge and risk aversion. The result of logistic regression was investment knowledge only effects to equity fund investment. Investment anxiety effects to fixed income investment. In term of risk taking effects to money market fund and equity fund, while risk aversion only effects to equity fund. Finally, none of the factors had an influence on REIT, balanced funds and FIF.
ItemThe over-reaction effect in the stock exchange of Thailand: an exmpirical studyOne of the main cornerstones of traditional financial theory is the Efficient Market Hypothesis (EMH). However, several violations of EMH have been discovered to the contrary of explanation provided by traditional financial theory. One of the key discoveries was the over-reaction effect of investors to recent information over base-rate data by De Bondt and Thaler (1985), which has been further studied in many different markets. Inspired by the work of De Bondt and Thaler (1985), this study investigated the over-reaction effect in the Stock Exchange of Thailand during 2012–2017 and the total return to investors based on the contrarian trading strategy by tracking performance of past losers and winners portfolio. In terms of method of analysis, this study tracked the total return index of stocks listed in the Stock Exchange of Thailand tracked during 2012–2014 to identify top 20% winners and bottom 20% losers. Equal weighted portfolios of winners and loser portfolios were formed with Cumulative Average Returns (CARs) tracked during 2015-2017 for comparison of performance. Mean difference and t-test were performed to test statistical significance. The results show that loser portfolios outperformed winner portfolios by 35.48%, 31.77%, and 55.87% at 1 year, 2 years, and 3 years after ranking, respectively. The differences between the returns generated by loser and winner portfolio were statistically significant from the 27th month onward. This study provides supporting evidence for the over-reaction effect in the Stock Exchange of Thailand during the study period. Results of portfolio tracking suggest that over-reaction of investors in the Stock Exchange of Thailand may present an opportunity for “contrarian trading strategies” over a medium term holding period. In other words, contrarian investors could benefit from tracking performance of underpriced stocks, for which the market has underestimated earning potential and business prospects and avoiding position in overpriced “hot” stocks, for which the market has overreacted to positive news, resulting in overpricing.