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Research at the Department of Banking and Finance
The Department is fully committed to academic research. The commitment is directly connected to our Faculty’s mission to be a research-driven business school. To this end, the Department actively encourages all faculty members to conduct high-quality research and fully supports research efforts in a number of ways. Research grants are also available for selected projects.
Each year, the Department organizes the CHULALONGKORN ACCOUNTING AND FINANCE SYMPOSIUM (CAFS). In addition, the Department co-hosted the 2012 FMA Asian Conference in Phuket, Thailand (July 11–13).
Research Areas
- Investment and Asset Pricing
- Corporate Finance
- Corporate Governance
- Market Microstructure
- Risk Management and Financial Engineering
- International Finance
- Behavioral Finance
Faculty Publications (selected)
-
Asia-Pacific Journal of Accounting & Economics,
Forthcoming,
,
,
"Executing trades in style: Retail investors vs. institutions":
Manapol Ekkayokkaya (with Jirajaroenying S., Wolff C.C.P.)
-
International Review of Finance,
2017,
17:1,
147 - 154,
"The Impact of Tax Rebate on Used Car Market: Evidence from Thailand":
Kanis Saengchote (with Tim Noparumpa)
-
Asian Academy of Management Journal of Accounting & Finance,
2017,
13(1),
143 - 158,
"The Low-Risk Anomaly: Evidence from the Thai Stock Market":
Kanis Saengchote
-
Research in International Business and Finance,
2017,
42,
102 - 123,
"A Tale of Two Cities: Economic Development, Corporate Governance and Firm Value in Vietnam":
J. Thomas Connelly (with Piman Limpaphayom, Hien T. Nguyen, Thanh D. Tran)
-
Finance Research Letters,
2017,
23,
253 - 256,
"Cross-border mergers and acquisitions: Evidence from the Indochina region":
Manapol Ekkayokkaya (with Foojinphana P., Wolff C.C.P.)
-
Journal of Economics and Business,
2016,
83,
91-122,
"Investment Policy at Family Firms: Evidence from Thailand":
J. Thomas Connelly
-
Mathematics and Financial Economics,
2016,
10,
321-337,
"Radner equilibrium in incomplete Levy models":
K. Larsen, T. Sae Sue
-
Review of Asset Pricing Studies,
2016,
6,
221-260,
"International Correlation Asymmetries: Frequent-but-small and Infrequent-but-large Equity Returns":
Solnik, B. and Watewai, T.
-
Journal of Empirical Finance,
2015,
34,
275-292,
"A trade-off in corporate diversification":
Manapol Ekkayokkaya (with K. Paudyal)
-
Pacific-Basin Finance Journal,
2013,
21,
1046-1061,
"Opportunistic Insider Trading":
Sunti Tirapat (with Visaltanachoti N.)
-
Accounting and Finance,
2012,
52,
1013 - 1039,
"Applying developed country regulation in emerging markets: An analysis of Thai insider trading":
Budsaratragoon, P. (with Suntharee Lhaopadchan and David Hillier)
-
Journal of Banking and Finance,
2012,
36,
489-496,
"Portfolio Selection with Qualitative Input":
Anant Chiarawongse, Sunti Tirapat (with Kiatsupaibul S. and Roy B.V.)
-
Journal of Banking and Finance,
2012,
25,
599 - 638,
"“Form versus Substance: The Effect of Ownership structure and Corporate Governance on Firm Value in Thailand”":
J. Thomas Connelly (with Nandu Nagarajan and Piman Limpaphayom)
-
Journal of Corporate Finance,
2012,
18,
238-253,
"Governance reform and IPO underpricing":
Manapol Ekkayokkaya (with Pengniti T.)
-
Journal of Financial and Quantitative Analysis,
2012,
47,
1303 - 1330,
"Information content of earnings announcements: Evidence from after hours trading":
Tanakorn Likitapiwat (with Christine X. Jiang, Thomas H. McInish.)
-
SIAM Journal of Financial Mathematics,
2012,
3,
137 - 162,
"Quadratic Transform Approximation for CDO Pricing in Multifactor Models":
Sira Suchintabandid (with Glasserman P.)
-
Pacific Basin Finance Journal,
2012,
20,
1-23,
"Investor type trading behavior and trade performance: Evidence from the Thai stock market":
Suparatana Tanthanongsakkun (with Phansatan S., Powell J. and Treepongkaruna S.)
-
Insurance: Mathematics and Economics,
2012,
51,
551-566,
"Optimal Investment and Consumption when Regime Transitions Cause Price Shocks":
Lim, A.E.B. and Watewai, T.
-
Financial Management,
2011,
Spring 2011,
159 - 197,
"Does Corporate Governance Predict Future Performance? Evidence from Hong Kong":
J. Thomas Connelly (with Cheung Y., Jiang P., Limpaphayom P.)
-
Mathematical Finance,
2011,
21,
643-679,
"Robust Asset Allocation with Benchmarked Objectives":
Lim A.E.B., Shanthikumar J.G., and Watewai, T.
-
Financial Review,
2010,
45,
761-783,
"Price movers on the Stock Exchange of Thailand: Evidence from a fully automated order-driven market":
Nattawut Jenwittayaroje (with Charoenwong C., Ding D.K.)
-
Journal of Futures Markets,
2009,
29,
270-295,
"Who knows more about future currency volatility?":
Nattawut Jenwittayaroje (with Charoenwong C., Low B.S.)
-
European Financial Management,
2009,
15,
451-476,
"The Euro and the changing face of European banking: Evidence from mergers and acquisitions":
Manapol Ekkayokkaya (with Holmes P., Paudyal K.)
-
Journal of Business Finance and Accounting,
2009,
36,
1201-1227,
"Limited information and the sustainability of unlisted-target acquirers' returns":
Manapol Ekkayokkaya (with Holmes P., Paudyal K.)
-
Journal of Fixed Income,
2008,
Vol.18 No.1,
86-99,
"On Pricing CDO’s with Meixner Distributions":
Nimmanunta, K., Chiarawongse, A., Tirapat, S.
-
Journal of Banking and Finance,
2007,
31,
1375-1398,
"Correlation Expansions for CDO Pricing":
Sira Suchintabandid (with Glasserman P.)
-
Journal of Business Finance and Accounting,
2006,
Vol 33, No. 9&10,
pp. 1556-1571,
"Return and Volatility Spillovers between Large and Small Stocks in the UK":
Anirut Pisedtasalasai (with Harris R.D.F.)
Working Papers (selected)
-
"An experimental analysis on pension fund asset allocation: A case study of the Thai Government Pension Fund":
Pornanong Budsaratragoon (with Lhaopadchan S. and Hillier D.)
-
"Corporate governance, family ownership and executive compensation: Evidence from Thailand":
Thomas Connelly (with Limpaphayom P., Sullivan M.J.)
-
"Disclosure timing ":
Manapol Ekkayokkaya (with K. Paudyal)
-
"Employee savings and investment preferences in public sector pension plans":
Pornanong Budsaratragoon (with Lhaopadchan S. and Hillier D.)