Please use this identifier to cite or link to this item: https://cuir.car.chula.ac.th/handle/123456789/84660
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dc.contributor.advisorPornanong Budsaratragoon-
dc.contributor.authorPimnara Ratanasaeng-
dc.contributor.otherChulalongkorn University. Faculty of commerce and accountancy-
dc.date.accessioned2024-02-05T11:12:43Z-
dc.date.available2024-02-05T11:12:43Z-
dc.date.issued2023-
dc.identifier.urihttps://cuir.car.chula.ac.th/handle/123456789/84660-
dc.descriptionIndependent Study (M.Sc.)--Chulalongkorn University, 2023-
dc.description.abstractThe 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.-
dc.language.isoen-
dc.publisherChulalongkorn University-
dc.rightsChulalongkorn University-
dc.subject.classificationBusiness-
dc.subject.classificationFinancial and insurance activities-
dc.titleThe credit risk-return puzzle and the value premium puzzle in Thailand-
dc.title.alternativeการศึกษาปริศนาความเสี่ยงกับผลตอบแทนด้านเครดิตและปริศนาค่าชดเชยความเสี่ยงจากมูลค่าในประเทศไทย-
dc.typeIndependent Study-
dc.degree.nameMaster of Science-
dc.degree.levelMaster's Degree-
dc.degree.disciplineFinance-
dc.degree.grantorChulalongkorn University-
Appears in Collections:Acctn - Independent Studies

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