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TIME-VARYING RELATION BETWEEN CORPORATE GOVERNANCE AND EXPECTED STOCK RETURN

dc.contributor.advisorKridsda Nimmanunta
dc.contributor.authorYosuke Kakinuma
dc.contributor.otherNIDA. School of Business Administration
dc.date.accessioned2020-08-14T03:46:51Z
dc.date.available2020-08-14T03:46:51Z
dc.date.issued7/23/19
dc.identifier.urihttps://repository.nida.ac.th/handle/662723737/5078
dc.descriptionNIDA, 2018
dc.description.abstractThis 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.en
dc.language.isoen
dc.publisherNIDA
dc.subject.classificationEconomicsen
dc.subject.otherEconomicsen
dc.titleTIME-VARYING RELATION BETWEEN CORPORATE GOVERNANCE AND EXPECTED STOCK RETURNen
dc.titleTIME-VARYING RELATION BETWEEN CORPORATE GOVERNANCE AND EXPECTED STOCK RETURNth
dc.typeDissertationen
dc.rights.holderNIDA
thesis.degree.nameDoctor of Philosophy (Business Administration)
thesis.degree.levelDissertation
thesis.degree.disciplineDoctor of Philosophy Program in Business Administration (International Program)
thesis.degree.grantorNational Institute of Development Administration
ithesis.email.advisorkridsda.nim@nida.ac.th, k.nimmanunta@gmail.com


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