RIEB セミナー (六甲フォーラム共催)
RIEB Seminar (Jointly supported by Rokko Forum)

日時:
(Date&Time)
2008年3月26日(水)午後3時半から (Wednesday, March 26, 2008, 3:30pm〜)
報告者:
(Speaker)
Pantisa PAVABUTR
所属:
(Affiliation)
タマサート大学 商業・会計学部
(Faculty of Commerce and Accountancy, Thammasat University)
論題:
(Topic)
Foreign Portfolio Flows and Emerging Market Returns: Evidence from Thailand
対外証券投資とエマージングマーケットの収益率:タイの事例から
概要:
(Abstract)
Using daily series of flows and returns in Thailand during the period January 1995 and May 2002, this study investigates the differential pricing impact of foreign equity flows on two market segments; one consisting of stocks that are favored by foreign investors, and the other that are less favored. The empirical results reveal that the price impact on the first segment is more positive. This finding corroborates with the fact that flow betas which measure the exposure to unexpected flows are mostly positive (negative) for stocks with high (low) foreign interest. The cross-sectional analysis finds that exposure to unexpected flows has a significant valuation impact for stocks traded on the foreign board, but not on the main board. Within the segment less favored by foreign investors, those with positive sensitivity to flow shocks is associated with higher price levels (lower expected return) during the crisis period.
会場:
(Place)
神戸大学経済学部 中会議室 (第3学舎1階)
Medium Meeting Room at the Department of Economics (Third Building 1st floor)
対象:
(Intended Audience)
教員、院生および同等の知識をお持ちの方
Faculty, Graduate Students and People with Equivalent Knowledge
使用言語
(Language)
英語
English
備考:
(Note)

論文のコピーは研究助成室にご用意いたします。
Copies of the paper will be available at Research Assistant Room.