Browsing by Author "Visaltanachoti N"
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- ItemAre individual stock returns predictable?(SAGE Publications on behalf of the University of New South Wales, 2022-02) Zeng H; Marshall BR; Nguyen NH; Visaltanachoti NWe show that the previously documented predictability of macroeconomic and technical variables for market returns is also evident in individual stock returns. Technical variables generate better predictability on firms with high limits to arbitrage (small, illiquid, volatile firms), while macroeconomic variables better predict firms with low limits to arbitrage. Technical predictors show a stronger predictive power for high limits to arbitrage firms across the business cycle, whereas macroeconomic variables capture more predictive information for firms with low limits to arbitrage during recessions.
- ItemBe nice to the air: Severe haze pollution and mutual fund risk(Elsevier Inc, 2023-11) Surva R; Nguyen H; Visaltanachoti NMotivated by the significant impacts of environmental risks on economic decisions and the increasing roles of mutual funds in financial markets in recent decades, this study examines the impact of ambient pollution on mutual funds’ risk outcomes. Using propriety data manually collected from several datasets, our fund fixed-effect regression estimates show that polluted air increases tracking errors and mutual fund return volatility. The adoption of different identification strategies, including instrumental variable estimations and difference-in-difference analyses based on two natural experiments, suggests the impact of air pollution on mutual funds’ risk is causal. Our findings suggest that air pollution harms fund managers’ cognitive abilities and impairs their investment efficiency, leading to an increase in mutual funds’ tracking errors and return volatility. Overall, our findings provide more insights into the impact of climate change on social behavior by shedding new light on the impact of air quality on asset managers’ behavior.
- ItemEstimating Long-Term Expected Returns(Taylor and Francis Group, 2024-07-01) Ma R; Marshall BR; Nguyen NH; Visaltanachoti NEstimating long-term expected returns as accurately as possible is of critical importance. Researchers typically base their estimates on yield and growth, valuation, or a combined yield, growth, and valuation (“three-component”) framework. We run a horse race of the abilities of different frameworks and input proxies within each framework to estimate 10- and 20-year out-of-sample returns. The three-component model based on the TRCAPE valuation proxy outperforms estimates based on historical mean benchmark returns, with mean square error improvements exceeding 30%. Using this approach in asset allocation decisions results in an improvement in Sharpe ratios of more than 50%.
- ItemWarrants and their underlying stocks: Microstructure evidence from an emerging market(Virtus Interpress, 27/09/2018) Charoenwong C; Ding D; Visaltanachoti NThe Stock Exchange of Thailand provides an ideal platform for comparing the trading characteristics of warrants and their underlying stocks since both of them trade in the same market under identical trading rules. If their patterns diverge significantly, it may be possible for an astute trader to devise profitable arbitrage strategies during the life of the warrants. We find that both their patterns are downward-sloping for spreads, U-shaped for flow toxicity, volatility, depth concentration, and trading volume; and upward-sloping for depth and market order flow ratio. This implies that trading under identical market structures leads to similar trading characteristics. We document that flow toxicity is negatively related to spread and positively related to depth, market order flow ratio, trade size, trading volume, and volatility.
- ItemWhat influences demand for Buy Now, Pay Later credit?(Elsevier B V, 2024-09) Chen T; Marshall BR; Nguyen NH; Visaltanachoti NWe investigate the determinants of demand for Buy Now, Pay Later (BNPL) credit using a comprehensive database from New Zealand. We consider both absolute demand and relative to total personal lending demand. The results indicate that BNPL is more popular with single individuals, younger people, and those on lower incomes. There is a negative relation between absolute and relative BNPL demand and interest rates. BNPL demand was reduced during the period around responsible lending legislation changes, even though these were not specifically related to BNPL, while demand increased following the end of COVID-19 lockdowns.