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Value Investing In Stock Exchange Of Thailand Set
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Book Synopsis Value Investing in Stock Exchange of Thailand (SET) by :
Download or read book Value Investing in Stock Exchange of Thailand (SET) written by and published by . This book was released on 2009 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary objective of this paper is to examine value and growth stocks in Stock Exchange of Thailand, based on 1995 to 2007, in order to investigate the assertion that value stocks on average generate higher returns than growth stocks based on numerous considerable evidences suggested that on average value investing strategy outperforms growth investing strategy. This paper uses average returns, Jensen's alpha and Sharpe ratio as a measurement for portfolio efficiency. The result shown that value portfolio could generate higher returns than growth portfolio by approximately 24% annually on portfolio sorted by B/M, E/P, and C/P in both big and small market capitalization. Further, the portfolio returns could be enhanced by approximately 4.3% annually when applied financial signals to discriminate a value firm with strong financial prospect and a value firm with poor financial prospect in order to construct a portfolio that generate a superior return than a conventional value investing strategy. Finally, this paper examines a style investing strategy through using growth in EPS characteristic incorporated with a value stocks in order to investigate whether a dual-characteristic investing strategy of high earnings yield together with high growth in EPS (HEHG) could outperform other investment strategies. However, the result indicates that although high earnings yield with high growth in EPS could generate higher returns other style investing strategies; high earnings yield with low growth (HELG), low earnings yield with high growth (LEHG), and low earnings yield with low growth (LELG), with the difference of 11% (10%), 17% (22%), and 22% (30%), respectively, in big (small) market capitalization; but when compared HEHG with financial analysis approach it seems that HEHG strategy could not outperform financial signals strategy in term of Jensen's alpha and Sharpe ratio.
Book Synopsis Relationship Between the Stock Exchange of Thailand Index and Net Value of Investment from the Foreign Investors Using the Vector Autoregression Approach by :
Download or read book Relationship Between the Stock Exchange of Thailand Index and Net Value of Investment from the Foreign Investors Using the Vector Autoregression Approach written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Momentum Strategy Based on the Timing of 52-week High Price by : Pawin Thachasongtham
Download or read book Momentum Strategy Based on the Timing of 52-week High Price written by Pawin Thachasongtham and published by . This book was released on 2015 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of this paper is to study the profitability of momentum strategy based on the timing of 52-week high price in the Stock Exchange of Thailand during the period of January 2005 to December 2015. The results show that stocks that recently achieved the 52-week high price can significantly provide more superior returns than stocks that achieved the 52-week high price in the distant past. The bias agianst 52-week high price will increases if stocks has been traded at this price level shortly. Investors are uncomfortable to bid higher price. But if stock price breaks out 52-week high price, there will be enough momentum to continue the price move in favorable direction. In addition, combining momentum strategy based on the timing of 52-week high price with both momentum strategy based on the nearness of current price to the 52-week high price and value investing strategy significantly increases the profitability compared to momentum strategy based on the timing of 52-week high price.
Book Synopsis Residual Momentum with Liquidity Factor Evidence from Stock Exchange of Thailand (SET) and Market for Alternative Investment (MAI) by : Sakulporn Chaiyaraj
Download or read book Residual Momentum with Liquidity Factor Evidence from Stock Exchange of Thailand (SET) and Market for Alternative Investment (MAI) written by Sakulporn Chaiyaraj and published by . This book was released on 2015 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Price Movers on the Stock Exchange of Thailand by : Charlie Charoenwong
Download or read book Price Movers on the Stock Exchange of Thailand written by Charlie Charoenwong and published by . This book was released on 2013 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study examines trade sizes used by informed traders. The selected sample includes 73 active stocks from the Stock Exchange of Thailand (SET), a pure limit order market, that cover two distinct market conditions of a bull and bear market. Using intraday data, the study finds that large sized trades (i.e., larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. This finding compares with the results of studies conducted on U.S. markets that show informed traders employ trade sizes falling between the 40th and 95th percentiles (Barclay and Warner 1993; Chakravarty 2001). Our results support the hypothesis that informed traders on a pure limit order market such as the SET, where there are no market makers, are able to use larger sized trades than those employed by informed traders on U.S. markets.
Book Synopsis Investor Types and Trading of the Environment, Social and Governance Stocks in the Stock Exchange of Thailand by : Kittikhun Taechaubol
Download or read book Investor Types and Trading of the Environment, Social and Governance Stocks in the Stock Exchange of Thailand written by Kittikhun Taechaubol and published by . This book was released on 2016 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study involves finding how the Environmental Social and Governance (ESG) or the Corporate Social Responsibility (CSR) affects investors’ attention in the Stock Exchange of Thailand. The goal is to examine whether there is any interest in investing on the companies with good ESG or CSR practice in the Stock Exchange of Thailand (SET) represented by those in the Environment Social and Governance 100 (ESG100) list by Thaipat Institution or in the Thailand Sustainability Investment (TSI) list by SET, announced during 2014-2015. Conducting an event study, upon examination of these events, the result shows that there are significantly negative abnormal returns of the TSI list. On the other hand, there are less significantly negative for the abnormal returns after announcement for the ESG100 list. As the result of CAAR is very economically small for daily and yearly returns, investors are unlikely to be able to exploit the abnormal returns for trading strategy. In addition, this research study further examines which types of investors are more concerned about the companies advocating for CSR and finds that foreign investors concern more CSR stocks than institutional investors and institutional investors concern CSR stocks less than individual investors but there are no significant comparing foreign investors with individual investors for the method that uses percentage of buy and sell to compute trade imbalance, while there is no significant difference across investor types for trade imbalance calculated using levels of buy and sell method.
Book Synopsis Market Segmentation and Foreign Price Premium in The Stock Exchange of Thailand by : Luxvara Piamworrakaroon
Download or read book Market Segmentation and Foreign Price Premium in The Stock Exchange of Thailand written by Luxvara Piamworrakaroon and published by . This book was released on 2016 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign share premium in Thai stock market has exhibited the downward trend during 2002 to 2014. This study attempts to explain this phenomenon by three hypotheses which are demand differential, information availability, and diversification benefit. The panel regression and cross-sectional regression are employed to account for variation of foreign share premium over time and across firms. The results of the study show that demand differential between foreign and domestic investors plays important role to explain foreign share premium. As foreign investors' demand for Thai stock is downward sloping, lower foreign room left relative to foreign ownership limit indicates higher foreign demand and higher foreign share premium for that stock. Moreover, foreign investors are likely to shift their investment from traditional foreign share on the Foreign Board to Non-Votiing Depository Receipt (NVDR) over time as it is a close substitute investment of domestic share for foreign investors. The existence of NVDR cause foreign investors' demand to become more elastic resulting in lower foreign share premium. Together with information availability hypothesis, foreign investors are interested to invest in larger firms and firms with more analyst coverages, via NVDR rather than foreign share on the Foreign Board, since they need not to concern about foreign ownership limit. Nevertheless, diversification benefit is the motive driven foreign investors to invest in domestic share on the Foreign Board. For any stock, if its return yields lower correlation with market portfolio return, it shows the higher diversification benefit and results in higher foreign share premium.
Book Synopsis A Re-Examination of Informed Trading and Firm Size in the Thailand Capital Market by : Bin Tang
Download or read book A Re-Examination of Informed Trading and Firm Size in the Thailand Capital Market written by Bin Tang and published by . This book was released on 2015 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates the stylized fact, addressed in several prior studies, that large-cap firms may have a lower probability of informed trading. Using 30 million intraday trades, daily trades, and firm accounting data of sample firms listed on the Stock Exchange of Thailand (SET), the paper finds an opposing pattern for the sample firms in Thailand, showing that large firms have a higher probability of informed trading. The paper also suggests that a clientele effect could be one potential explanation for this finding. Consistent with this conjecture, the paper finds those large firms tend to have high stock prices, and that stocks with high prices have a high probability of informed trading. This is because the monotonic positive relation between firm size and share price may repel uninformed investors, who are usually individual traders, from investing in these large firms, which usually have higher stock prices. In contrast, informed investors, who are often institutional investors, may be inclined to invest in these large firms.
Book Synopsis Stock Price Movement Analysis of the Financials Industry on the Stock Exchange of Thailand by : Nittaya Wiboonprapat
Download or read book Stock Price Movement Analysis of the Financials Industry on the Stock Exchange of Thailand written by Nittaya Wiboonprapat and published by . This book was released on 2005 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Stock Exchange of Thailand (SET). by :
Download or read book The Stock Exchange of Thailand (SET). written by and published by . This book was released on with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Retail Investors and Industry-based Style Investing by : Thanyaphat Niruthisard
Download or read book Retail Investors and Industry-based Style Investing written by Thanyaphat Niruthisard and published by . This book was released on 2016 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates if retail investors in the Stock Exchange of Thailand pursue industry-based style investing using transaction data during 2004-2013. It finds the coordination in retail investor demand at the industry-level. In contrast to the prediction of the style investing model, retail investor industry demand is negatively related to past industry returns. No relationship between retail investor industry demand and subsequent industry returns is found across all time horizons. In addition, there is evidence that after choosing to invest in an attractive industry, retail investors prefer to invest in small-cap stocks more than large-cap stocks. These findings suggest that retail investors' investment decisions are influenced by industry-wide categorization, and they make their buying decisions follow a two-step decision-making process.
Book Synopsis Stock Return, Volatility, Market Liquidity and Earning in the Stock Exchange of Thailand by : Worraport Kittikajonassawachot
Download or read book Stock Return, Volatility, Market Liquidity and Earning in the Stock Exchange of Thailand written by Worraport Kittikajonassawachot and published by . This book was released on 2002 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Value Investing in Asia by : Peir Shenq (Stanley) Lim
Download or read book Value Investing in Asia written by Peir Shenq (Stanley) Lim and published by John Wiley & Sons. This book was released on 2017-12-26 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, step-by-step guide to value investing in Asian stocks Value Investing in Asia offers a uniquely targeted guide to investors seeking new opportunities in Asian markets. Most value investing advice is geared toward US markets, leaving out the key guidance that pertains specifically to investing in publicly listed Asian companies — guidance that is critical for success. This book focuses on the opportunities and challenges of Asian markets, including current and historical case studies that illustrate various successes, risks and pitfalls. Step-by-step guidance helps you unearth great opportunities in Asia; from understanding the macroeconomic situation, to narrowing down on specific investment opportunities. Invaluable for both new and experienced investors, this practical reference shows you how to apply value investing principles specifically to Asian stocks. Investing in Asia comes with an inherent set of unique challenges that must be understood before any decisions are made; some of these challenges are the result of operating practices, some are the result of regulatory issues and others come from the markets themselves — yet regardless of the source, value investors in particular bear the brunt of the obstacles. This book shows you what you need to know, and how to invest intelligently in Asian companies. Step-by-step approach guides investors towards the practical application of value investing principles in Asia Navigate the challenges unique to Asian investing Examine real-life case studies that illustrate both risk and opportunity Delve into the key markets in Greater China and South-East Asia Includes exclusive interviews with well-known value investors in Asia Despite the challenges and risks, Asian markets represent significant opportunity — especially for investors seeking value. Value Investing in Asia offers a practical reference for new and experienced investors, with real-world guidance toward intelligently investing in Asian markets.
Book Synopsis Trends in Intelligent Systems and Computer Engineering by : Oscar Castillo
Download or read book Trends in Intelligent Systems and Computer Engineering written by Oscar Castillo and published by Springer Science & Business Media. This book was released on 2008-04-25 with total page 666 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains contributions from participants in the 2007 International Multiconference of Engineers and Computer Scientists. It covers a variety of subjects in the frontiers of intelligent systems and computer engineering and their industrial applications. The book offers up-to-date information on advances in intelligent systems and computer engineering and also serves as an excellent reference work for researchers and graduate students working in the field.
Download or read book The Stock Exchange of Thailand written by and published by . This book was released on 2003 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Market Risk Models for the Stock Exchange of Thailand by : Siraprapa Watakit
Download or read book Market Risk Models for the Stock Exchange of Thailand written by Siraprapa Watakit and published by . This book was released on 2010 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Finance by : Sardar M. N. Islam
Download or read book Empirical Finance written by Sardar M. N. Islam and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
