Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
การศึกษาปริศนาความเสี่ยงกับผลตอบแทนด้านเครดิตและปริศนาค่าชดเชยความเสี่ยงจากมูลค่าในประเทศไทย
Year (A.D.)
2023
Document Type
Independent Study
First Advisor
Pornanong Budsaratragoon
Faculty/College
Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)
Department (if any)
Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)
Degree Name
Master of Science
Degree Level
Master's Degree
Degree Discipline
Finance
DOI
10.58837/CHULA.IS.2023.14
Abstract
The objective of this study is to examine the presence of two puzzles in the stock market which are empirically inconsistent with the fundamental principle of risk and return. Theoretically, the assets with higher risk should compensate higher returns. However, when the credit risk is considered, the previous evidences show that the stocks of firms with high credit rating (low risk) generate higher return than the stocks of firms with low credit rating (high risk). Moreover, previous studies find that the firms with high book-to-market (value firm) generates higher return on stock than the firms with low book-to-market (growth firm). This study tests the puzzles in Thailand by using data from 150 firms with credit ratings from 2015 to 2022. The result shows the credit risk-return puzzle does not exist in Thai market, but the value premium puzzle is presented in Thai market.
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Ratanasaeng, Pimnara, "The credit risk-return puzzle and the value premium puzzle in Thailand" (2023). Chulalongkorn University Theses and Dissertations (Chula ETD). 10020.
https://digital.car.chula.ac.th/chulaetd/10020