Chulalongkorn University Theses and Dissertations (Chula ETD)
Other Title (Parallel Title in Other Language of ETD)
ปัจจัยในการขับเคลื่อน Asset Growth Premium ในตลาดหุ้นไทย
Year (A.D.)
2023
Document Type
Independent Study
First Advisor
Kanis Saengchote
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.2023.340
Abstract
This study investigates the asset growth anomaly in the Thai stock market, examining whether new factor constructed from decomposed asset components offers superior explanatory power for stock returns compared to the original aggregate asset growth factor. The research analyzes key components of total assets, including both sides of the balance sheet covering investing and financing activities. Our findings reveal that all the new factors constructing based on each component of asset is spanned by all the Fama-French factor. The overall explanatory power of total asset growth is superior. This suggests that total asset growth is the best predictor of investment performance in the Thai market.
Other Abstract (Other language abstract of ETD)
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Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Recommended Citation
Raksakunpanich, Ramita, "Determinants of asset growth premium: evidence from Thailand" (2023). Chulalongkorn University Theses and Dissertations (Chula ETD). 11195.
https://digital.car.chula.ac.th/chulaetd/11195