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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.)