Now showing items 1-9 of 9

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    Abnormal return on stock split-revisiting the evidence of Thailand during 2009-2018 

    Sedthaporn Tosiriwatanapong; Thananporn Sethjinda; Nopphon Tangjitprom (Assumption University Press, 2020)

    An 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 ...
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    Bank Stock Return Sensitivity to Interest Rate Changes in Thailand 

    Sirikarn Jeanchutima; Nopphon Tangjitprom (2015-01)

    Many studies were trying to explain the changes of stock returns by finding the factors impact on a certain market, industry, or stock. Focusing on the financial institution especially commercial bank, there are some research proved that interest rate is one of the crucial factor impact the commercial bank stock returns. Interest rate is the cost and return of money in financial market since commercial bank acts as major financial intermediary; therefore, interest rate is still the majority of its cost and return. In Thai stock market shows ...
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    Does real estate fund in Thailand provide diversification benefits for stock investment? 

    Nopphon Tangjitprom; Preechaya Chavalittumrong; Veeranuch Leelalai (Assumption University, 2016)

    The real estate investment has been an alternative investment as a diversifier for traditional investment like the stock market. Previous studies have shown the diversification benefits of real estate investment for stock portfolios. This paper aims to examine whether and to what extent real estate funds can provide diversification benefits to investors. The information of stock returns and real estate funds in Thailand was gathered for the period during 2007 and 2015. The results show that there is no diversification benefit in terms of hedge ...
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    The impact of single stock futures on spot price volatility of underlying stock in the stock exchange of Thailand during 2006-2012 

    Arada Muntanaveerakul; Nopphon Tangjitprom; Thananun Siwamogsatham (Assumption University Press, 2020)

    The impact of the Stock Futures Trading to spot market has been considered by many countries all around the world. The debate on whether Stock Futures destabilizes or stabilizes the spot market has been well established in the developed market and emerging market on the Stock Index level. This research aims to examine the impact of the introduction of the Single Stock Futures on the volatility of the underlying equity in the Stock Exchange of Thailand from year 2006 to 2012, using the GARCH model. Based on ...
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    Market Timing with GEYR in Emerging Stock Market: The Evidence from Stock Exchange of Thailand 

    Nopphon Tangjitprom (2012)

    This paper aims to examine whether the market timing strategy with Gilt-Equity Yield Ratio or GEYR can create abnormal returns in Thai Stock market. The trading rules using GEYR are established and switching strategies between bonds and equities are implemented. The out-of-sample profitability of these switching strategies compared with the simple buy-and-hold strategy. The result shows that switching strategies using GEYR can provide higher return but lower risk than buy-and-hold equity portfolio, even after the transactions costs are considered. ...
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    Over-investment and Free Cash Flow: Evidence from Thailand 

    Nopphon Tangjitprom (2015-04)

    This paper examines whether there is a relation between over-investment and free cash flow. In perfect capital market, it is expected that investment decision should not be influenced by the level of cash flow. However, the free cash flow hypothesis predicts that firms with higher free cash flow will be vulnerable to the agency problem like over-investment. Using the data from listed firms in the Stock Exchange of Thailand during 2001-2013, the result indicates that there is a positive relation between over-investment and free cash flow. ...
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    The over-reaction effect in the stock exchange of Thailand: an exmpirical study 

    Nitis Pokavattana; Thananporn Sethjinda; Nopphon Tangjitprom (2019)

    One 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 ...
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    Propensity to pay dividends and catering incentives in Thailand 

    Nopphon Tangjitprom (2013)

    The paper aims to measure the investors' demand for dividends in Thailand and examine whether the demand for dividends could link to the firms' decisions to pay dividends. The positive dividend premiums show that investors in Thailand having the preference towards dividend, even though the dividend incomes could be taxed more heavily than capital gain in Thailand. After controlling the effect of 1997 Asian Crisis, there is the evidence to support the catering theory of dividends.
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    The Review of Macroeconomic Factors and Stock Returns 

    Nopphon Tangjitprom (2012)

    This paper aims to review a number of studies on macroeconomic factors and stock returns. All of the macroeconomic variables are classified into four groups: variables reflecting general economic conditions, variables related to interest rate and monetary policy, variables concerning price level, and variables concerning international activities. Furthermore, various studies on macroeconomics factors and stock returns have employed different methodologies based on their purposes and interpretations. Although the results are mixed, most studies ...