Stock return dispersion and performance of domestic equity funds in Thailand

การกระจายตัวของผลตอบแทนของหุ้นและผลการดำเนินงานของกองทุนตราสารทุนในประเทศไทย

Name: Pavit Sae-eng

ThaSH: Stocks -- Rate of return

ThaSH: Equities

Abstract: We examine the relation between cross-sectional return dispersion and actively domestic open-ended fund performance in Thailand, with the rationale mechanism that in the time of high return dispersion, where provide the opportunity for the fund managers to generate the positive value of abnormal return. Consist to the finding in US data that the period of the highest return dispersion the most activeness fund significant outperform the least activeness fund. Thai data provided the added value that active fund with the moderate to high activeness earn positive abnormal return in the period of the highest return dispersion. we also find the meaningful interpretation that the clearly pattern of result in the relation occur only in the non-simultaneous analysis.

Chulalongkorn University. Office of Academic Resources

Address: BANGKOK

Email: cuir@car.chula.ac.th

Name: Tanawit Sae-Sue

Role: advisor

Created: 2021

Modified: 2023-12-01

Issued: 2023-12-01

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.58837/CHULA.IS.2021.99

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Chulalongkorn University

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