TIME-VARYING RELATION BETWEEN CORPORATE GOVERNANCE AND EXPECTED STOCK RETURN
TIME-VARYING RELATION BETWEEN CORPORATE GOVERNANCE AND EXPECTED STOCK RETURN
dc.contributor.advisor | Kridsda Nimmanunta | |
dc.contributor.author | Yosuke Kakinuma | |
dc.contributor.other | NIDA. School of Business Administration | |
dc.date.accessioned | 2020-08-14T03:46:51Z | |
dc.date.available | 2020-08-14T03:46:51Z | |
dc.date.issued | 7/23/19 | |
dc.identifier.uri | https://repository.nida.ac.th/handle/662723737/5078 | |
dc.description | NIDA, 2018 | |
dc.description.abstract | 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. | en |
dc.language.iso | en | |
dc.publisher | NIDA | |
dc.subject.classification | Economics | en |
dc.subject.other | Economics | en |
dc.title | TIME-VARYING RELATION BETWEEN CORPORATE GOVERNANCE AND EXPECTED STOCK RETURN | en |
dc.title | TIME-VARYING RELATION BETWEEN CORPORATE GOVERNANCE AND EXPECTED STOCK RETURN | th |
dc.type | Dissertation | en |
dc.rights.holder | NIDA | |
thesis.degree.name | Doctor of Philosophy (Business Administration) | |
thesis.degree.level | Dissertation | |
thesis.degree.discipline | Doctor of Philosophy Program in Business Administration (International Program) | |
thesis.degree.grantor | National Institute of Development Administration | |
ithesis.email.advisor | kridsda.nim@nida.ac.th, k.nimmanunta@gmail.com |