GSBA: Dissertations
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Item Applications of pricing and revenue optimization in capacity management and logisticsPavarit Issarathipya; Thunyarat Amornpetchkul (National Institute of Development Administration, 2023)This dissertation explores the diverse applications of Pricing and Revenue Optimization (PRO) in the fields of capacity management and logistics. Specifically, it investigates PRO in two distinct contexts: capacity sharing between two competing firms and no-rush shipping reward program. In the first context, the study examines the possibility for firms competing in the same market to willingly and profitably share their capacity. We consider two firms selling substitutable products in four different scenarios, according to their competition (noncompeting or competing) and capacity sharing (with or without capacity sharing option) situations. In each scenario, each firm’s optimal capacity sharing and retail pricing strategies are characterized. Our results indicate that the two firms are willing to share their capacity only when the capacity selling firm has sufficiently large capacity while the capacity buying firm has sufficiently small capacity. The firms' relative capacity in turn determine the optimal capacity sharing price, the exchanged capacity sharing quantity, and their retail prices in the market. Going against the common intuition, our results show that it can still be optimal for a firm to sell her capacity to her direct competitor even when she sets a capacity price lower than her retail price (i.e., she makes less per unit of capacity when selling it to the competitor rather than selling it in her own market). Furthermore, capacity sharing can cause the selling firm to willingly lower her retail price despite the smaller capacity she has left after selling some capacity to the competitor. We show that, when implemented appropriately, capacity sharing can mutually improve the competing firms' profit. In addition, when the two firms share capacity, the total sales to end customers in the market also increase, demonstrating the benefit of capacity sharing in enhancing the efficiency of demand fulfillment. Our results show, however, that the benefits of capacity sharing weaken when the intensity of competition escalates. Overall, this study suggests that capacity sharing is a viable and profitable mechanism to help firms selling substitutable products gain more profits and more effectively match their supplies with demand in the market. In the second context, the study investigates how a no-rush shipping reward program, which offers a discount or a reward to a customer who chooses no-rush shipping for her online purchased items, can be utilized by an online seller to reduce shipping and expediting costs. In particular, we consider a setting in which an online seller has to ship two items to a customer. Each item can be shipped either on time or late, depending on its uncertain lead time. If an item is shipped late, the seller will incur a loss of customer goodwill unless the customer opts in to a no-rush shipping reward program and agrees to take a reward in exchange for potentially receiving an item late. To avoid shipping an item late, the seller also has an option to expedite an item at an additional cost. The seller's optimal decisions regarding whether to offer a no-rush shipping reward program on any items and whether to ship each item separately or together at a normal or expedited speed are characterized. Our results show that the number of items that the seller should offer the no-rush shipping reward program decreases as the amount of reward required to induce a customer opt-in increases. If the no-rush shipping reward program is offered on both items, then it is always optimal for the seller to consolidate the two items into a single shipment. However, if the no-rush shipping reward program is offered to none or only one of the items, it would be optimal for the seller to consolidate the shipment if and only if the shipping cost is sufficiently large. We demonstrate numerically that the cost savings realized from the no-rush shipping reward program are significant, especially when the expected wait time to receive an item is long, the expediting cost is large, but the normal shipping cost is small. This study suggests that a no-rush shipping reward program can help online sellers gain more flexibility in shipping management, which in turn effectively reduces operating and shipping costs as well as the environmental impact, while also meeting customers' expectation. Overall, this dissertation contributes to the existing body of knowledge by offering insights into the application of PRO in capacity sharing between competing firms and the no-rush shipping reward programs. The results provide practical guidance for industry practitioners seeking to enhance their decisions in the dynamic and complex domains of capacity management and logistics.Item The role of customer voice in customer evaluation of service recoveryPhimai Nuansi; Piya Ngamcharoenmongkol (National Institute of Development Administration, 2018)This dissertation builds upon a service recovery framework to establish new perspectives on customer voice in a service recovery context. Specifically, four studies were conducted to determine how to turn customer voice to opportunity in recovering from service failure. The first study provides an integrative review of the literature associated with service failure situations. This study combines two major research streams and proposes the “service failure management process model” to explain the end-to-end process of service failure in six sequential phases. The second study deals with the negative emotions that arise as a consequence of service failure by employing venting interaction as an emotion management strategy. The study tests how this strategy affects customer evaluation of service recovery, specifically in terms of perceived justice, post-recovery emotions and postrecovery satisfaction. Drawing on the role of initiation in the service recovery process, the third study explores how inviting customers to voice dissatisfaction enhances service recovery evaluations, specifically in terms of perceived justice, post-recovery satisfaction and negative word-of-mouth. Finally, the fourth study sheds light on the role of customer voice management in sustainable marketing by examining the interaction effect between compliant initiation and coping potential on service recovery evaluations, specifically in terms of perceived justice and post-recovery satisfaction. Three separate scenario-based experiments were carried out in a bank service setting. Partial least squares structural equation modeling was conducted to test the research hypotheses in study 2. Study 3 used multivariate analysis of covariance as a statistical technique. Analysis of variance was used to test the hypotheses in study 4. As hypothesized, this dissertation demonstrates that venting interaction and voice initiation can yield favorable recovery outcomes. Specifically, venting interaction plays an important role in lessening negative emotions and enhancing perceived justice and satisfaction. In addition, preferable outcomes of perceived justice, satisfaction and negative word-of-mouth intention were found when service recovery was provided based on voice invited by the service organization, and the effects on interactional justice and satisfaction were found to be stronger for low coping potential customer. These findings suggest that service managers should encourage customers to voice their complaints and should use the customers’ voice as an opportunity to enhance positive service recovery outcomes.Item Mobile commerce adoption of micro retailers in emercing economiesTanikan Pipitwanichakarn; Nittaya Wongtada (National Institute of Development Administration, 2018)In this dissertation, the original Technology Acceptance Model (TAM) has been employed as the core theory across three studies in an attempt to establish a theoretical framework for determining the intention of street vendors to adopt a mobile commerce (m-commerce) application. The model has two tenets: perceived usefulness and perceived ease of use. Although the classical TAM is well known and well respected as a robust predictive framework, it seems to be situation specific and must be modified to accommodate other factors affecting the behavioral intentions of particular groups. No empirical study has used the TAM to investigate the perceptions and behaviors of street vendors. Therefore, to enhance our understanding of m-commerce adoption among micro vendors, the three studies that form the basis of this dissertation have examined the impact of external and internal factors on vendors as they embrace a new form of technology. The first study focused on the unique characteristics of vendors that affect their adoption of m-commerce. The features of trust in service providers, entrepreneurial orientation, and product differentiation were integrated into the TAM. Product differentiation was employed as a moderating variable on the effect of perceived usefulness on behavioral intention, whereas entrepreneurial orientation was assumed to affect a vendor’s trust in a service provider directly and to influence m-commerce adoption indirectly. A pen-and-paper survey was administered to 370 street vendors in Bangkok; 356 of the usable surveys were analyzed. Structural equation modeling was employed to analyze the data. This study contributes to the existing technology acceptance literature in the following ways: First, it shows that the predictive power of the TAM is strong and valid for street vendors. Second, it reveals that entrepreneurial orientation and technology adoption are related and that the connection continues throughout the decision-making process (i.e., these are trust and system characteristics that are otherwise known as usefulness and ease of use). Finally, it shows that the degree of product differentiation strengthens the positive relationship between perceived usefulness and the intention to use m-commerce. The first study found that not all street vendors were ready to adopt this new trading method. Vendors at various stages of adoption weighed different factors as they made decisions. Based on these findings, the second study tested how vendors at different stages approached m-commerce adoption. The vendors were classified as being in either the initial stage of adoption or the advanced stage of adoption. The role of trust and the perceived enjoyment were added to the TAM in this study. Face-to-face interviews using a structured questionnaire were conducted with 430 street vendors in Bangkok; 415 usable surveys were analyzed. By applying K-means cluster analysis, two segments were found, one with 200 initial adopters and one with 215 advanced adopters. A multi-group analysis was employed to investigate the difference in relationships between the two groups, and the findings revealed significant similarities and dissimilarities between them. Both initial and advanced adopters emphasized trust in the service provider. The first group relied more on perceived ease of use and perceived enjoyment in choosing m-commerce adoption but depended less on perceived usefulness. In the second group, the influence of perceived ease of use and perceived enjoyment significantly decreased but the effect of perceived usefulness significantly increased. In addition to perceived usefulness, perceived ease of use, and trust, online reviews are significant tools for promoting the adoption of a new technology. For instance, the integration of online reviews into the TAM can serve as an important predictor of the intention to use mobile banking. The impact of online reviews on behavioral intention and consumers’ decisions has indicated complex relationship patterns and has been context specific, which suggests the possibility of an interaction effect. For this reason, in the final study, an experiment was conducted to investigate the interaction of online reviews, perceived ease of use, and trust in enhancing the perceived usefulness and adoption of m-commerce. This study employed a 2 (perceived ease of use: high vs. low) x 2 (trust in the service provider: high vs. low) x 2 (online review: positive vs. negative) between-subjects design, resulting in eight experimental groups. A pen-and-paper survey was administered to street vendors in Bangkok. Of 280 cases, 16 cases were unusable and were deleted from the dataset; this left 264 cases for data analysis. The level of the online review was manipulated, whereas the degrees of perceived ease of use and trust were measured. The experiment revealed that the perceived usefulness was affected by online reviews when users found incongruent information in them (e.g., when reviewers reported that they found a high level of ease of use of the technology but had only a low level of trust in the service provider). In other words, users who read positive reviews were more likely to feel that m-commerce had a great deal of perceived usefulness. On the contrary, the perceived usefulness was not affected by online reviews if users found congruent information in them (e.g., when reviewers reported that they found a high level of ease of use and also had a high level of trust in the service provider). This dissertation has attempted to offer an alternative to the inadequate theoretical and managerial understanding of factors that drive m- commerce adoption for micro businesses, and in that regard, it is crucial for identifying predictors of the adoption of m- commerce applications. The results of this research should enable service providers and policy makers to continue to delve into the world of contemporary digital technology business and tailor its marketing strategies towards vendors.Item The impact of algorithmic trading on the market quality in the stock exchange of ThailandPavinee Hassavayukul; Nattawut Jenwittayaroje (National Institute of Development Administration, 2019)This dissertation aims to study how the rising algorithmic trading activities in the Stock Exchange of Thailand affects the market quality. I conducted three researches to investigate the impact of algorithmic trading. One is on the impact of algorithmic trading on volatility. Second is on the effect of algorithmic trading on liquidity and third is on the relationship between algorithmic trading and price efficiency. Furthermore, I introduced two new algorithmic trading proxies, namely, algorithmic trading initiated by institutional and foreign investors to investigate the effect of algorithmic trading initiated by these two investors on the market quality. The first research demonstrates how algorithmic trading affects stock volatility in the Stock Exchange of Thailand. The study is based on SET100 stocks from March to December 2016. I implemented the OLS regression to establish the relationship between algorithmic trading and volatility and the two-stage least square regression and the Granger causality test to verify the causal relationship. I showed that on average, algorithmic trading proxy is associated and has a causal relationship with negative volatility. However, individually, algorithmic trading proxy is related to positive volatility. Similarly, algorithmic trading initiated by institutional and foreign investors lower realized and range-based volatility. During the volatile period, algorithmic trading decreases range-based volatility. There is no evidence that algorithmic trading affects realized volatility in the volatile period. The second research investigates the relationship between algorithmic trading and liquidity. In general, I found that algorithmic trading deteriorates liquidity by widening effective spread and lowering share turnover in the short run and reducing liquidity ratio in the long run. I confirmed the result by using the two-stage least square and showed that algorithmic trading causes liquidity to decrease by enlarging effective spread and shrinking share turnover. Information asymmetry is used to explain this phenomenon. An increase in algorithmic trading imposes adverse selection cost onto other investors, causing them to decrease their participation. Algorithmic trading initiated by foreign investors has more profound effect on deteriorating short-run liquidity while algorithmic trading initiated by institutional has more profound effect on decreasing long-run liquidity. During the volatile period, algorithmic trading also associates with lowering liquidity for all measures. The slope coefficient of algorithmic trading during volatile period is higher than during the whole sample except for the share turnover. Therefore, algorithmic traders have less effect on lowering share turnover during the volatile period than during the entire period. The third research determines whether the rise of algorithmic trading enhances price efficiency. There is no evidence that algorithmic trading influences price efficiency. However, when probing further, I found that algorithmic trading initiated by institutional and foreign investors and their interaction terms decrease pricing error, facilitating price efficiency. Furthermore, algorithmic trading initiated by foreign investors has a larger effect on augmenting price efficiency. During the volatile period, algorithmic trading, on the contrary, decreases price efficiency and enlarges price errors. Finally, this dissertation investigates the effect of algorithmic trading on market quality in detail and provides insightful conclusion for policymakers, regulators and investors in order to regulate or react to the increase in algorithmic trading strategies in the Stock Exchange of Thailand.Item In the race for sustainability and financial excellence: advancing firms' investment in knowledge assets and innovationsKhalil, Muhammad Azhar; Kridsda Nimmanunta (National Institute of Development Administration, 2021)This dissertation focuses on the firms’ investment management decisions regarding knowledge assets (intangible assets), innovation, sustainable investments, and other knowledge management practices through which firms generate both financial benefits and improved environmental outcomes. The previous title of this dissertation was ‘In the race for excellence: the role of knowledge assets and innovation’ (as appeared in the IRB document). The overall agenda is classified and decomposed into three major interrelated sections in an attempt to achieve the goals of this research. The main objective of the first study presented in Chapter 2 is the development and implementation of empirical models to examine the nonlinear impact of the key intangible assets and innovation formation through R&D on the firms’ financial performance of Asian countries. The difference between intangibles (knowledge-assets) and innovation and their combined impact on firm performance remains a puzzle since all types of knowledge assets are not of equal importance. Also, firms with higher spending on innovation can perform well. Integrating these two literature approaches, this study investigates how knowledge-assets and innovation impact firm performance by analyzing the sample of 2958 listed companies of Asian countries during 2015 – 2019. Using time fixed-effects panel regression with industry and country dummies, we observe that different sectors exhibit a strong heterogeneity in their investment level in knowledge assets and innovation. The study finds that more knowledge-assets negatively impact firm performance, but up to a point. The U-shaped relationship found suggests that learning and accumulating capabilities to exploit knowledge assets potential is essential to achieve higher firm value. We also find that firms' more spending on innovation positively impacts firm performance, but only up to a certain level. An inverted U-shaped relationship found suggests a balanced investment in innovation activities to attain improved firm performance. The main contribution of this study lies in identifying novel implications of these considerations, and offer novel evidence of their empirical relevance in four ways: (i) Difference between measures of internally generated and externally acquired knowledge-assets and measures of innovation; (ii) Theoretical and empirical justifications of U-shaped relationship between knowledge-intensity and firm performance; (iii) Support Schumpeterian theory of creative destruction by innovation; (iv) Theoretical and empirical explanations of inverted U-shaped relationship between innovation-intensity and firm performance. Next, we have extended this model in our second study to capture the environmental impacts of the investments in innovation by employing a set of Environmental, Social, and Governance (ESG) indicators presented in Chapter 3. Recently, the level of climate change has substantially been rising; relatively not much is known on ‘how’ companies alter the association between their environmental performance and financial performance within the context of specific elements of innovation: conventional innovation and green innovation. Drawing upon the stakeholder theory and the natural resource-based view of the firm, this research uses firm-level Environmental, Social, and Governance (ESG) data of 462 companies across 7 Asian countries for the period 2015 – 2019, and employs time fixed-effects panel regression with country and industry dummies. We find that measures of innovation (i.e., conventional innovation and green innovation) are beneficial to the firm value. However, the positive effect of conventional innovation on the firm valuation builds at the expense of the environment since it poses a significant threat to environmental quality by positively contributing to carbon emissions. Whilst firms’ investments in green innovation are advantageous to either type of firm performance. Further analysis shows that firms that focus on environmental practices generate significant outcomes, e.g., improved financial performance, suggesting that firms should prioritize their green investments to enhance the innovation outcomes so as to achieve superior financial value and to attract potential environmentally proactive stakeholders. The contributions of this study to the stream of sustainable finance, innovation, and environmental management literature are fourfold. First, firm-level studies on environmental performance have been scant, mainly due to the unavailability of the data. Those who studied this phenomenon primarily relied upon the data collected through survey questionnaires on a specific group of firms within a particular sector and country. Since the growing Asian economies are being successful when evaluated basis on their swift growth, however less effective in preservation of environmental damage compared to other regions. Thus, we conduct this study in the Asian region by using firm-level ESG performance data, which allows us to uncover this existing challenge in cross-sectoral across different countries. Second, previous studies solely emphasize the broader aspects of R&D-augmented innovation and its outcomes on a specific performance measure, instead; in this study, we filled this gap by decomposing innovation into two types in which firms invest simultaneously and investigate their joint impact on various performance measures – financial and environmental. Third, our findings offer insights on the importance of complying with the environmental policies by investing in green innovation with an awareness that bringing an essential change in redesigning products for environmental sustainability via employing non-toxic materials in the production processes, using eco-packaging, eco-friendly labeling, lower energy consumption, and improved recycling and decomposition designs would enable firms to achieve productivity. Productivity improvement in the resources would allow these firms to obtain higher financial and environmental performance. The findings also contribute to the sustainable investment literature by signifying the investments in green innovation, since green innovation serves as the vital component through which firms could obtain market related benefits from their environmental investments, introducing systematically the steady chains of sustainable products and services with improved functionality and layout i.e., better recycling design, reduced energy consumption level, lowered exploitation of natural resources and materials, and improved product/service’s functionality with the better lifecycle. These eco-friendly products/services are shown to be advantageous to the companies in terms of gaining green products’ market share, formation of green branding, and the likelihood of setting premium prices. These benefits are specifically crucial to those firms who longing to be competitive in the green industry and to enhance their revenues and returns on investment. Lastly, one of the limitations of the first study reported in Chapter 2 is that our investigation was limited to the analysis of knowledge assets which, though on a positive note, has been identified and codified in company statements – the objective data were accessible from public domains. However, we did not include intangible knowledge of certain other forms, such as managerial talent, practices, and tacit and explicit knowledge owned by employees which may meaningfully contribute to the firms’ entrepreneurial and innovation process. Against this backdrop, therefore, moving beyond the question of how innovation affects firms’ financial and environmental outcomes, to build theoretical insights and develop an approach that encourages us to estimate a firm-level model to quantify how firms’ innovative capabilities contribute to organizational learning (knowledge sharing) and corporate entrepreneurship. In particular, this study presented in Chapter 4 examines the role of organizational innovative capabilities on the relationship between knowledge sharing, corporate entrepreneurship, and firm performance. Specifically, this study uses the knowledge-based view (KBV) to develop a model that examines the mentioned relationship. Using survey data from 520 participants across 75 service sector companies in Thailand, measurement and structure models are tested through Structural Equation Modeling (SEM) to quantify the impact between constructs. The findings of this study show that knowledge sharing and corporate entrepreneurship positively affect organizational innovative capabilities and firm performance. A positive relationship is also found between knowledge sharing and corporate entrepreneurship. The mediating impact of organizational innovative capabilities strengthens the relationship between knowledge sharing and corporate entrepreneurship on firm performance. These findings contribute to the knowledge-based view, innovation management, and entrepreneurship literature by suggesting that to improve organizational learning and knowledge-based performance, commitment, and understanding of the employees in the entire organization is crucial. Knowledge sharing significantly contributes to developing innovative abilities because of its characteristics of providing firm-specific and socially complex advantages. The way a firm transforms and exploits its knowledge may ascertain its level of innovativeness, such as coming up with certain problem-solving procedures and new product development according to the rapid change in the market demand. We believe that the findings of this research are instrumental to management, practitioners, academics, and policymakers in offering key insights on optimal investment strategies concerning knowledge assets and innovation. This research offers ways to advance innovation such that to achieve higher firm value and better environmental prospects. Finally, this research instigates the tools to effectively organize knowledge as knowledge sharing boosts entrepreneurial practices and contributes towards innovativeness across individuals, groups, units, or the entire organization.Item Analytical integration and data-driven decision making in complementary and alternative medicineKessara Kanchanapoom; Jongsawas Chongwatpol (National Institute of Development Administration, 2019)Customer Lifetime Value (CLV) measures the success of an organization by estimating the net value its customers contribute to the business over the lifetime of the relationship. How can organizations assess their customers’ lifetime value and offer strategies to retain those prospects and profitable customers? The first part of this dissertation offers an integrated view of methods to calculate CLV considering scenarios ranging from finite-and-infinite customer lifetimes to customer migration and Monte Carlo simulation models. In addition to the CLV models, customer segmentation is considered the fundamental marketing activity assisting enterprises to gain a deeper understanding of their customers’ characteristics and needs and, consequently, develop appropriate strategies to strengthen the relationship between them and their customers. Many segmentation models proposed in the literature have been based on specific criteria or attributes such as psychology, demography, or behaviors. At present, the recency (R), frequency (F), and monetary values (M) and cluster analysis models are two popular methods used to create data-driven behavioral segmentation. One of the limitations of those two methods is that most studies focus on transaction-based data, that is, past customer behavior. Therefore, the second part of this dissertation presents a case for integrating CLV and the probability of customer migration, also called the probability that a customer will return in the future, in the segmentation models. The first scenario uses a slightly modified RFM model, replacing the monetary value (M) with CLV. The second scenario integrates recency, frequency, CLV, length of relationship (L), and the probability of migration in the k-means clustering technique. Both CLV, cluster analysis, and RFM models are validated in the context of the healthcare industry, particularly in the area of complementary and alternative medicine (CAM), which refers to practices for people or patients who seek alternative treatment or illness prevention along with or instead of conventional medicines. The results show that understanding CLV and improving customer segmentation models can help the organization develop strategies to retain valuable customers while maintaining profit margins. In addition, Appendix A illustrates a teaching case study on the application of business intelligence and marketing analytics to making proper decisions in a competitor-oriented pricing environment in Complementary and Alternative Medicine (CAM) Industry. This case study helps conceptualize the nature of the complementary and alternative medicine (CAM) Industry, understand the concept, pros, and cons of price wars, outline what factors/criteria are needed to get more insights about customers, utilize the RFM model and cluster analysis to segment customers based on their similar characteristics, illustrate how to calculate customer lifetime value (CLV), utilize the business intelligence framework to justify the decision choices, and finally, understand how to make decisions in competition-oriented pricing situations.Item Capital structure and market powerPrajya Ngamjan; Aekkachai Nittayagasetwat (National Institute of Development Administration, 2016)Employing a sample set of 289 Thai listed firms during 2005-2014, the research found that leverage leads to increasing market power as measured by Tobin’s Q and sales growth. The explanation is given by the limited liability theory; that is, a firm employs debt as a commitment tool to compete aggressively in product markets. The main finding remained robust through different leveraged firms/groups, different market concentration groups, different time periods, and in different industrial sectors. Additionally, leverage had stronger effects on market power: if the period was during economic expansion, if the firm was low leveraged, if the firm was in a low-leveraged sector, and if the firm was in an unconcentrated industrial sector. Furthermore, when using total debt instead of long-term debt as the independent variable, the explanatory powers captured by the adjusted 𝑅� s substantially increased. This suggests that the portion of short-term debt is an important source of finance and plays an important role in managing financial strategies, supporting the findings of previous research, that compared to developed countries, developing countries rely more on short-term finance.Item Accrual accounting and ways forward for financial reporting in the government of ThailandOraphan Nakmahachalasint; Kanogporn Narktabtee (National Institute of Development Administration, 2017)The adoption and implementation of accrual accounting in Thailand was influenced by the 1997 financial crisis in Asia and was endorsed by international organizations such as the International Monetary Fund and the World Bank. As argued by most researchers in public sector accounting that accrual accounting is superior to cash basis of accounting, accrual accounting information and financial statements would enhance the transparency and accountability of the government.Item The bargaining power in mergersand and acquisitions and its linkage to premiumsPuvanard Hemvichitr; Aekkachai Nittayagasetwat (National Institute of Development Administration, 2017)Bidders with high premiums will face a ‘winner’s curse’ dilemma, as a result reducing the subsequent synergy created through acquisition, while bidders with low premiums paid may result in a more profitable way after acquisition. Bargaining is an important aspect in negotiating beneficial terms and conditions. The bargaining power contributes to target’s and acquirer’s characteristics to bargain each other on the premium paid in acquisitions. Therefore, bargaining power in mergers and acquisitions provides some useful implications on how negotiations in the bargaining process could affect the market for corporate control.Item Investigation of credit rating agency payment scheme to improve profit abilityand rating qualityKittiphod Charoontham; Thunyarat Amornpetchkul (National Institute of Development, 2017)This dissertation aims to examine the impact of incentive compensation mechanism on encouraging credit rating agencies (CRAs) to exert effort in the rating evaluation process and report ratings truthfully. Two analytical studies: one focusing on the CRA’s effort and rating decisions, and the other focusing on the investor’s information acquisition decision and the resulting CRA’s behavior, are conducted.Item A firm's performance and its dividend policyPrates do Amaral, Adriano; Aekkachai Nittayagasetwat (National Institute of Development Administration, 2016)Dividend smoothing is a well-known empirical phenomenon which is extensively described and analyzed in the financial literature. However, the motivation behind this widespread firm's policy is not totally understood. The signaling approach is one model employed to explain dividend smoothing: managers reduce information asymmetry between firm insiders and other stakeholders by maintaining dividends stable, thus signaling their confidence in the firm's future performance. Nevertheless, results from empirical studies are incomplete and contradictory, and the full extent and implications of dividend smoothing as a signaling approach requires further research. In this regard, firms' performance as a factor that influences dividend smoothing is not commonly studied. The goal of this dissertation is to fulfill this gap, determining the existence of a relationship between firm's performance and dividend smoothing. Additionally, this dissertation also takes business cycle effects into consideration when investigating the association between performance and smoothing. The existing research dealing with business cycle and dividend policy shows that recessions can have an important impact on firms' dividend payout, including dividend smoothing. However, firms' performance as a factor that influences dividend smoothing during recession and recovery is not directly found in the literature. In order to achieve the goals above described, the firms were divided in three performance groups: high, intermediate, and low performance. Employing a database of U.S. firms during the period 1980 to 2014, five distinct sub-periods of recession and recovery were analyzed using the Lintner's smoothing regression, including recent developments in the model. The regression analysis was carried out with a panel data model with fixed-effects. The results contribute to the literature by establishing that firm's performance has indeed an impact on dividend smoothing: intermediate performance firms practice a higher level of dividend smoothing, contrasted to an erratic dividend policy adopted by low and high performance firms. Furthermore, firm's performance has also an impact on dividend smoothing during different phases of the business cycle: compared to low and high performance firms, fewer intermediate performance firms cut dividends during recession. This leads to a higher level of dividend smoothing practiced by intermediate firms, contrasted to a higher variation in dividend policy adopted by low and high performance firms. With these findings, this dissertation sheds light on the relationship between firm's type and dividend policy, particularly in circumstances where external macroeconomic shocks, not under the control of the firm, may affect the firm's value. In practical terms, the ability to determine the firm's true performance by observing its dividend policy, either in recessions or recoveries, improves potential investors' capability to direct investments to their target firms.Item Time-varying relation between corporate governance and expected stock returnKakinuma, Yosuke; Kridsda Nimmanunta (National Institute of Development Administration, 2018)This paper provides the following three novel findings to the literature. First, the effects of the corporate governance ratings on stock returns are inconstant, non-liner, and time-varying over the long-run. Second, by taking advantage of the time-varying characteristics of expected returns from the quality of corporate governance, an optimal investment strategy with adaptation of Markov switching model is developed. Third, incorporation of style switching strategy with value premium in recessions and momentum premium in expansions improves expected returns of portfolios sorted by the corporate governance ratings.Item Asset pricing on Thailand & Malaysia stock exchange: on the use of macroeconomic and behavioral factorsFrench, Jordan Alexander; Tatchawan Kanitpong (National Institute of Development Administration, 2017)This thesis tests five macroeconomic variables that have been both theorized to affect stock returns and been proven to do so in past empirical research. Those variables are risk premium, industrial production, term structure, expected inflation, and unexpected inflation. The variables are retested for their statistical significance using four years of monthly contemporary data using Thailand and Malaysia as two of the five ASEAN markets (Singapore, Thailand, Philippines, Malaysia, and Indonesia). Contrary to previous studies, this study finds that the macroeconomic factors were not significant in explaining domestic market returns. Furthermore, principal component regressions outperformed cross-sectional ones, with factor analysis as the least statistically significant model. For the countries tested, the arbitrage pricing theory was also found to be a less robust pricing tool than the proposed sentiment model. The sentiment model relies on investor behavior, using four investor groups (local, foreign, institutional, and dealer’s accounts) on the Stock Exchange of Thailand (SET). The daily net purchases of each group are used as leading indicators for sentiment. The sentiments are examined with relation to each other and market returns. Eight proven macroeconomic factors with known cross-sectional relationships and known to forecast with returns are examined as a benchmark for the newly proposed sentiment factor model. Retesting the factors allows for an apples to apples comparison with the proposed sentiment factors. Using a VAR framework this research finds that dealers predominantly sell to institutional accounts, creating a negative correlation between the two groups, in addition to strong institutional herding which is all indicative of potential agency problems on the exchange. Also find that local individual accounts practice negative feedback trading and the other groups practice positive feedback trading. Of the four groups, the only group that influences the SET is the local individual group of investors. The foreign investor is found to be the least significant group on market returns, provide market liquidity to locals, and be the least responsive to daily market changes-- following the prudent man rule. Lastly, propose a simple model which uses investor behavior to accurately predict the market’s direction for the following day 76 percent of the time with market timing ability. This can be useful for buying and shorting the market.Item Corporate governance and the linkageJannipa Ruangviset; Viput Orgsakul (National Institute of Development Administration, 2014)This paper provides and event study evidence on whether the announcement of the corporate governance (CG) scoring affects firms' market value in the Thai capital market. To find out the results, this paper conducts an event study and employs the 3 methodology ...Item Managerial ability and dividend policy : evidence from U.S. marketVeeranuch Leelalai; Kamphol Panyagometh (National Institute of Development Administration, 2015)Dividends have long been acknowledged as profit-distributing mechanisms in classical corporate policy and are important in key investment and financial decision-making. Dividends have continued to be famously debated by scholars for almost a century. On various perspectives, many scholars have debated back and forth on their relevancy to firm performance and value.Item Performance of Islamic indices : The opportunity for non-muslim countriesSarina Preechalert; Anukul Chiralaksanakul (National Institute of Development Administration, 2015)Hitherto, comparative study of Islamic finance in both non-Muslim and Muslim countries is scarce. This is including the area of investment in Islamic equity portfolio in non-Muslim countries. Consequently, it is interesting to study performance comparison of investment in Islamic financial products such as Islamic indices created by Muslim and non-Muslim countries. Results obtained from this research will be useful for investors as investment information and for Islamic and non-Islamic countries alike to create investment alternatives such as Islamic financial products or funds.Item Capital structures of listed firms in ASEANPornpen Thippayana; Aekkachai Nittayagasetwat (National Institute of Development Administration, 2014)The objective of this dissertation is to study the firm-, industry-, and countrylevel factors influencing the capital structures of the listed firms in ASEAN. The 3,750 samples are collected annually for 12 years from 2000 to 2011, resulting in 45,000 firm-year observations. The pooled ordinary least squared regression is used in the analysis for all combined three-level features. The leverage measures cover various proxies of capital structures. The evidence shows that firm size and tangibility are significantly and positively related to leverage, while profitability, growth opportunity, non-debt tax shield, liquidity, and interest rate are significantly and negatively related to leverage, consistent with theories and prior studies. However, business risk is insignificantly related to leverage. Munificence as an industry-specific factor is significantly and negatively related to market-based leverage ratios, while dynamism of an industry is significantly and negatively related to long-term debt book leverage. However, the Herfindahl-Hirschman index is significantly and negatively related to seven of eight leverage ratios, consistent with prior study. All five country-specific factors are significantly related to total debt book leverage and long-term liabilities market leverage. Only inflation rate as a country-specific attribute is significantly and positively related to all leverage ratios. Moreover, there are differences in the leverage across industries and countries. Overall, the impact of firm-specific factors on leverage ratios plays important role.Item Stock market fund flows and return volatilityChollaya Chotivetthamrong; Aekkachai Nittayagasetwat (สถาบันบัณฑิตพัฒนบริหารศาสตร์, 2014)Market fund flows analysis is one of the topics in financial structure in part of investment decision making. Market fund flows has been known as a term of market returns and/ or volatility, as indicator of market movement. Both of them explain not only the market movement but also evaluate the market performance. As a result, the investors would know the investment techniques on the volatility of stock prices. There are several empirical studies that have studied about the returns and volatility effect to market movement since 1987 due to stock crash. Most of them study about the relation of returns and volatility with trading volume or stock movement. They explain that volume implies to investor investment. Some researches explain more about the investors’ behavior that different information reflects to different investment behavior. This paper studies market flows with the asymmetric information in The Stock Exchange of Thailand (SET) by examining SET data, started 2003-2014. This paper will help the investor to understand the information conveys by the investor, and the impact of information convey with market flows. Thus, when the investors expect the information flow, the investors can expect the impact in market flows. This paper applies the concepts of past researches that different investors have different information In SET, it had separated investors into three groups that had been foreigner, local and institution until 2009. In 2009, it has changed the way to separate trader groups from three groups to four that has been foreigner, local, institution and proprietary. This paper assumes that due to different investors in the market, they should reflect to stock movement differently. As a result, this paper evaluates the relation between returns and/or volatility with trading volume for each investor. For overall stock markets, the results show that there is a positive relation in return-volume relation; although, there is a negative relation of volatility-volume. In addition, this paper differentiates the impact of fund flows for each individual group, including foreign, local and institution investors. The analysis shows that only foreign investor impacts to stock market in both of trading volumereturn relation and trading volume-volatility relation. There is a positive relation with market return, but has a negative relation with market volatility. However, it depends on direction of fund flow. Fund inflow has positive relation in market return while outflow has negatively. On the other hand, in part of trading-market volatility, the larger of cash outflow, the more volatility is the market. Based on a theory of trading volume, this relation explains that when the buyer’s demand increases, the trading volume increases, effecting to stock price increases or return increases. Moreover, when the trading volume increase, the liquidity increases, effecting to volatility decreases. Furthermore, this paper examines the causality test to understand another way relation between volume and return, and volume and volatility. The results show that there is no relation between both relations. As a result, when return or volatility increase, it does not impact to trading volume. To prevent the robustness, this paper tests and compares the result with exogenous factors. The results show that the exogenous testing’s result has the same results as trader effect’s result. Only foreign investor has positive relation between return and trading volume, and a negatively impact on volatility. However, the exogenous factors have relation for all investors. Oil price and exchange rate have positive relation with return, and negative relation with volatility; in contrast with interest rate and rate of loan.Item Asset configuration, knowledge dependency, and relationship safeguard : The role of commitment in hierarchy mechanism as antecedent of opportunism under demand uncertaintySompote Valyasevi; Palin Phoocharoon, advisor (National Institute of Development Administration, 2004)Item Long-Horizon stock returns predictability : evidence from the Stock Exchange of ThailandSuthawan Prukumpai; Kamphol Panyagometh, advisor (National Institute of Development Administration, 2012)The primary purpose of this dissertation is to investigate the behavior of the stock returns over long horizons using the data from the Stock Exchange of Thailand. In Chapter 2, the long-run relationship between stock prices and dividends is investigated. The null hypothesis of no cointegration using both the Engle-Granger and Johansen cointegration tests cannot be rejected; however, when the structural break is addressed, the Gregory-Hansen cointegration test reports the significant evidence of the long-run relationship between stock prices and dividends. Chapter 3 explores the evidence of structural break in dividend-price ratio. The Bai and Perron’s (1998) structural break test shows that there is one break located on October 1986. The results show that the long-horizon returns predictability is strong and increasing over time horizons. Moreover, the information of structural break both in mean of predictor and in cointegrating relationship is important and hence should not be ignored. These findings explain the weak evidence of return predictability in past literatures, in which those models were misspecified. Chapter 4 further examines the relationship between stock prices and dividends in VAR and VECM. The issue of permanent and transitory components in stock prices and dividends has been emphasized in particular. Interestingly, the results from IRFs show that the effect of price shock is dried out quickly over time while that of dividend shock is not. These imply that the price shock has temporary effect whereas the dividend shock has permanent effect. In addition, the results from VD provide evidence that most of fluctuation in stock prices can be explained by their own innovation. In other words, the stock prices move according to price shocks or discount rate shocks similar to those reported in Cochrane (1994, 2011). In summary, stock prices gradually revert back to their long-term equilibrium and dividends are unpredictable.