Publication: A new dimension of investment forecasting: Evidence from Thailand
Issued Date
2020-01-01
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ISSN
17510260
17510252
17510252
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2-s2.0-85089083460
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Mahidol University
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SCOPUS
Bibliographic Citation
International Journal of Business Innovation and Research. Vol.22, No.3 (2020), 429-446
Suggested Citation
Woraphon Wattanatorn, Sarayut Nathaphan A new dimension of investment forecasting: Evidence from Thailand. International Journal of Business Innovation and Research. Vol.22, No.3 (2020), 429-446. doi:10.1504/IJBIR.2020.108008 Retrieved from: https://repository.li.mahidol.ac.th/handle/123456789/57779
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Title
A new dimension of investment forecasting: Evidence from Thailand
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Abstract
Copyright © 2020 Inderscience Enterprises Ltd. This study explores three major issues in mutual fund portfolio management in one of the emerging markets – Thailand. The first issue is to examine mutual fund managers’ ability to time market coskewness by testing whether fund managers shift portfolio exposure when market coskewness changes which could be observed from changing in beta coefficient. The second issue is whether market coskeweness helps the mutual fund managers quest for alpha (superior) portfolio return. The third issue is to examine whether mutual funds managers’ behaviours could be explained by the structure between bank and mutual fund relationship. Based on the analysis of 332 unique funds between January 2000 and November 2017, the results demonstrate that the good performing fund managers adjust their portfolio beta basing on changing in market coskewness. Outperform fund managers increase their portfolios’ beta by 8.88% more than that of bottom performing fund managers. Besides, we find that both outperformed bank-related and non-bank-related mutual fund managers demonstrate an ability to time market coskewness. However, we find that non-bank-related mutual fund outperform bank-related mutual funds which support the conflict of interest hypothesis.