Now showing items 1-6 of 6

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    Evaluating the performance of Thai equity funds 

    Ekkachai Boonchuaymetta (Assumption University, 2008)

    The focus of this study is to evaluate the performance of selected 48 open-ended equity mutual fonds in Thailand during the year 2003 through 2007. Four performance measures are used, the Treynor measure, the Sharpe measure, the Jensen measure, and Treynor-Mazuy measure. The empirical results reveal limited ability of mutual fand managers in both selecting undervalued stocks and forecasting the market correctly. Based on the market timing techniques of'Jreynor-Mazuy model, only ten mutual funds present significant ...
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    The Halloween effect and other seasonal anomalies in the energy sector of the stock exchange of Thailand 

    Ploy Tang-u-thaisuk; Witsaroot Pariyaprasert; Ekkachai Boonchuaymetta (Assumption University Press, 2018)

    This research aims to explore the existence of three well - known seasonal anomalies – the January Effect, the April Effect, and the Halloween Eff ect – as pertains to monthly returns as well as to volatility. Effects on returns and volatility will further be studied within the SET Energy index as well as 9 selected energy stocks from the period April 2005 to July 2016. The objective of this study is to find seasonality hidden within the above Index and stocks, and establish a simple trading strategy to ...
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    Management of the initial public offering performance : empirical evidence from the Thai stock market 

    Ekkachai Boonchuaymetta (Bangkok : Assumption University, 2011)
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    Management of the IPO performance in Thailand 

    Ekkachai Boonchuaymetta; Wiparat Chuanrommanee (2013)

    This research aims to explore the relationships between six major IPO elements in Thailand: underwriter reputation, ownership concentration, book-building, IPO allocation, the length of the lock up period, and investor interest and underpricing. The sample comprises 153 IPOs listed between 2001 and 2011. Cross-sectional analysis reveals that IPO allocation appears to be the strongest factor with a negative relation to underpricing. The length of the lock up period, issue size, industry, and hot issue market show significant and positive relationships ...
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    Warrant pricing model : an empirical study on the valuation models for warrants listed in Thailand 

    Ekkachai Boonchuaymetta; Treerapot Kongtoranin (Assumption University, 2007)

    This empirical study focwes on examining the relative performance between four wa"ant pric- ing models; Black-Scholes-Merton Model (BS), Galai and Schneller Model (GS), a Dilution Adjusted- BlacJc -Scholes Model (DA.BS), and Square-Root Constant Elasticity of Variance (SRCEV) of Beclrers. Over 8,000 daily wa"ant prices on 14 most actively traded wa"ants in Thailand are employed. We.find that among models, BS model provides the best accuracy. In terms of moneyness and maturity, BS model calculates accurately for ...