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dc.contributor.advisorKridsda Nimmanuntaen
dc.contributor.authorKakinuma, Yosukeen
dc.date.accessioned2020-08-14T03:46:51Z
dc.date.available2020-08-14T03:46:51Z
dc.date.issued2018
dc.identifierb208808
dc.identifier.urihttps://repository.nida.ac.th/handle/662723737/5078
dc.descriptionThesis (Ph.D. (Business Administration))--National Institute of Development Administration, 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.format.extent128 leavesen
dc.format.mimetypeapplication/pdfen
dc.language.isoeng
dc.publisherNational Institute of Development Administrationen
dc.rightsผลงานนี้เผยแพร่ภายใต้ลิขสิทธิ์ของสถาบันบัณฑิตพัฒนบริหารศาสตร์th
dc.subjecte-Thesisen
dc.subjectMarkov switching modelen
dc.subjectSwitching investment strategyen
dc.subjectValue and momentum premiumsen
dc.subject.otherCorporate governanceen
dc.titleTime-varying relation between corporate governance and expected stock returnen
dc.typeTexten
dc.rights.holderNational Institute of Development Administrationen
mods.genreDissertation
mods.physicalLocationสถาบันบัณฑิตพัฒนบริหารศาสตร์. สำนักบรรณสารการพัฒนาth
thesis.degree.nameDoctor of Philosophyen
thesis.degree.levelDoctoralen
thesis.degree.disciplineBusiness Administrationen
thesis.degree.grantorNational Institute of Development Administrationen
thesis.degree.departmentSchool of Business Administrationen


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