Please use this identifier to cite or link to this item: https://cuir.car.chula.ac.th/handle/123456789/84660
Title: The credit risk-return puzzle and the value premium puzzle in Thailand
Other Titles: การศึกษาปริศนาความเสี่ยงกับผลตอบแทนด้านเครดิตและปริศนาค่าชดเชยความเสี่ยงจากมูลค่าในประเทศไทย
Authors: Pimnara Ratanasaeng
Advisors: Pornanong Budsaratragoon
Other author: Chulalongkorn University. Faculty of commerce and accountancy
Issue Date: 2023
Publisher: Chulalongkorn University
Abstract: The 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.
Description: Independent Study (M.Sc.)--Chulalongkorn University, 2023
Degree Name: Master of Science
Degree Level: Master's Degree
Degree Discipline: Finance
URI: https://cuir.car.chula.ac.th/handle/123456789/84660
Type: Independent Study
Appears in Collections:Acctn - Independent Studies

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