Browsing GSBA: Dissertations by Subject "e-Thesis"
Now showing items 1-2 of 2
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Asset pricing on Thailand & Malaysia stock exchange: on the use of macroeconomic and behavioral factors
; (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 ... -
Time-varying relation between corporate governance and expected stock return
; (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 ...