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Papers by Woraphon Wattanatorn

Electronic Commerce Research and Applications

Journal of Advances in Management Research

PurposeThis study investigates factors in consumer trust and purchase intention through omnichann... more PurposeThis study investigates factors in consumer trust and purchase intention through omnichannel retailing. The theoretical framework is an extended theory of planned behaviour (TPB) model, with additional factors including time-saving and trust as explanatory variables.Design/methodology/approachThe study drew on a sample of Thai consumers aged 18 and over (n = 408), with data collected through an online survey. Analysis was based on a structural equation modelling (SEM) approach, employing confirmatory factor analysis.FindingsThe analysis showed that attitudes towards omnichannel retailing had the strongest effect on purchase intention, followed by subjective norms, perceived behavioural control and information search. All variables except attitudes to omnichannel retailing had moderate effect sizes. Analysis also showed that attitudes towards omnichannel retailing had a significant (though only moderately strong) effect on consumer trust towards omnichannel retailing. Subjecti...

International Journal of Monetary Economics and Finance

In this study, a universal question raised by mutual fund investors– “Does high fees matter?”– is... more In this study, a universal question raised by mutual fund investors– “Does high fees matter?”– is answered. Three evidence are documented. First, the superior mutual fund performances are not reflected in higher fees. Second, the association between mutual fund and commercial bank affects both performances and fee in that the different type of mutual funds –bankrelated and non-bank-related funds– charge different fees pertaining different performances. Last, the performances of higher fees charged funds –non-bank-related funds– are similar to those of bank-related fund consistent with the informational advantage hypothesis. Bankrelated fund has lower fees observed as lower expense ratio owed to cost benefit from economies of scale. This implies a higher fee paid to mutual funds does not guarantee a superior performance.

This study explores the impact of stochastic volatility in option pricing. To be more specific, w... more This study explores the impact of stochastic volatility in option pricing. To be more specific, we compare the option pricing performance between stochastic volatility option pricing model, namely, Heston option pricing model and standard Black-Scholes option pricing. Our finding, based on the market price of SET50 index option between May 2011 and September 2020, demonstrates stochastic volatility of underlying asset return for all level of moneyness. We find that both deep in the money and deep out of the money option exhibit higher volatility comparing with out of the money, at the money, and in the money option. Hence, our finding confirms the existence of volatility smile in Thai option markets. Further, based on calibration technique, the Heston option pricing model generates smaller pricing error for all level of moneyness and time to expiration than standard Black-Scholes option pricing model, though both Heston and Black-Scholes generate large pricing error for deep-in-the-...

Managerial Finance

PurposeThe main purpose of this study is to use a new broad board effectiveness index, which has ... more PurposeThe main purpose of this study is to use a new broad board effectiveness index, which has been created from several internal attributes of board of directors and to investigate the association of the overall index regarding stock price crash risk.Design/methodology/approachThe authors create a new board effectiveness index from a comprehensive set of board attributes, including the number of board meetings, the number of board attendances, the expertise of the directors, the size of the board and the number of independent directors, in order to test with the stock price crash risk by using panel regression models with fixed effects. The two-stage least squared regression ensures endogeneity issues.FindingsAn increase in board effectiveness index lowers firm-specific crash risk. Moreover, female directors enhance the board effectiveness.Originality/valueWith a new broad board effectiveness index, this paper is unique from other studies as the authors focus on the overall index...

Research in International Business and Finance

Abstract The ability of mutual fund managers to time coskewness successfully can help them manage... more Abstract The ability of mutual fund managers to time coskewness successfully can help them manage their portfolio’s exposure to potential losses and improve their fund’s performance. This study assesses whether mutual fund managers are able to manage the market exposure of their investment portfolios given a change in coskewness. We demonstrate that fund managers investing in Small Blend and Small Growth stocks possess the ability to time coskewness. On average, the fund managers of these two investment objectives increase the market exposures of their portfolios about 2.749 % and 1.340 %, respectively, based on their anticipations on future coskewness. Superiority is driven from the fact that the fund managers in small capitalization stocks are successfully able to manage the tail risk of their funds’ portfolios. The fund-by-fund results confirm that the number of individual funds succeeding in timing market skewness of the Small Blend and Small Growth investment objectives is larger than the remaining types. The main findings are robust when controlling for other types of timing ability, the periods of financial turbulence, and the construction of coskewness.

International Journal of Business Innovation and Research

This study explores three major issues in mutual fund portfolio management in one of the emerging... more 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.

Research in International Business and Finance

Abstract Using mutual fund data in Thailand, this study shows that fund managers can time the mar... more Abstract Using mutual fund data in Thailand, this study shows that fund managers can time the market-wide liquidity in the higher moment framework. High-performing fund managers demonstrate significantly positive liquidity timing ability, while low-performing fund managers do not. Thus, high-performing fund managers increase (decrease) the funds' exposure to the market during a high (low) market liquidity period, while low-performing fund managers do not show the liquidity timing ability. Moreover, only top-performing bank-related mutual funds possess the liquidity timing ability, supporting the information advantage hypothesis. Nonbank-related funds do not possess the liquidity timing ability at both the aggregate and portfolio levels. Several robustness tests confirm the findings.

Asia-Pacific Journal of Accounting & Economics

ABSTRACTIn this study, we examine the difference in mutual fund performance between the bank-rela... more ABSTRACTIn this study, we examine the difference in mutual fund performance between the bank-related and the non-bank-related mutual funds in emerging markets. We further improve the empirical test...

The Journal of Finance and Data Science

Abstract In this study, a liquidity timing ability of mutual fund managers in emerging markets ha... more Abstract In this study, a liquidity timing ability of mutual fund managers in emerging markets had been examined. The analysis based on three important emerging markets in ASEAN Economic Community, namely Indonesia, Malaysia, and Thailand. We found that these mutual fund managers have an ability to forecast the market wide liquidity at both aggregate level and portfolio level. Additional, the evidence suggested that the high ability fund managers can successfully manage the liquidity in all markets at portfolio level. Besides, a robustness test demonstrates a similar result.

Abstract The aim of this study is to investigate the impact of crude oil prices on the profitabil... more Abstract The aim of this study is to investigate the impact of crude oil prices on the profitability performance of sector using data on companies in the stock exchange of Thailand from 2001 to 2010. We employ the method of panel data regression. The study reveals significant fixed effects which imply that traditional least square lead to endogeneity problem, the study employ the fixed and random effects models. We find that the oil prices have significant impact on profit of energy and food sectors. Our contribution to the literature is impact of oil prices on firm profitability performance is in the same direction as the impact of oil prices on stock returns.

The Journal of Asian Finance, Economics and Business

Although the corporate governance plays a crucial role in protecting shareholder wealth, the effe... more Although the corporate governance plays a crucial role in protecting shareholder wealth, the effect of corporate governance on cost of debt is unclear. On one hand, the corporate governance reduces asymmetric information between corporate and external investor including debtholder leading to a decreasing in cost of debt financing. On the other hand, bondholders require higher rate of return for an improvement corporate governance. Hence, this study aims to investigate the relationship between the mechanism to improve corporate governance namely board effectiveness and the cost of debt in an emerging market. As we aim to explore the relationship between cost of debt and board effectiveness, we select corporation in Thailand as our sample because the businesses in Thailand are major debt-financing. Hence, our sample include listed firm in Stock Exchange of Thailand between 2007 and 2016. Our main findings support the sub-optimal investment hypothesis in that improved board effectiveness is associated with higher cost of borrowing. In addition, we find that the number of board member-board size, the number of board meeting, and the percentage of non-executive on audit committee play are positively associated with the cost of debt financing. Furthermore, we perform two-stage-least square (2SLS) to ensure that our results are far from endogeneity issue.

Electronic Commerce Research and Applications

Journal of Advances in Management Research

PurposeThis study investigates factors in consumer trust and purchase intention through omnichann... more PurposeThis study investigates factors in consumer trust and purchase intention through omnichannel retailing. The theoretical framework is an extended theory of planned behaviour (TPB) model, with additional factors including time-saving and trust as explanatory variables.Design/methodology/approachThe study drew on a sample of Thai consumers aged 18 and over (n = 408), with data collected through an online survey. Analysis was based on a structural equation modelling (SEM) approach, employing confirmatory factor analysis.FindingsThe analysis showed that attitudes towards omnichannel retailing had the strongest effect on purchase intention, followed by subjective norms, perceived behavioural control and information search. All variables except attitudes to omnichannel retailing had moderate effect sizes. Analysis also showed that attitudes towards omnichannel retailing had a significant (though only moderately strong) effect on consumer trust towards omnichannel retailing. Subjecti...

International Journal of Monetary Economics and Finance

In this study, a universal question raised by mutual fund investors– “Does high fees matter?”– is... more In this study, a universal question raised by mutual fund investors– “Does high fees matter?”– is answered. Three evidence are documented. First, the superior mutual fund performances are not reflected in higher fees. Second, the association between mutual fund and commercial bank affects both performances and fee in that the different type of mutual funds –bankrelated and non-bank-related funds– charge different fees pertaining different performances. Last, the performances of higher fees charged funds –non-bank-related funds– are similar to those of bank-related fund consistent with the informational advantage hypothesis. Bankrelated fund has lower fees observed as lower expense ratio owed to cost benefit from economies of scale. This implies a higher fee paid to mutual funds does not guarantee a superior performance.

This study explores the impact of stochastic volatility in option pricing. To be more specific, w... more This study explores the impact of stochastic volatility in option pricing. To be more specific, we compare the option pricing performance between stochastic volatility option pricing model, namely, Heston option pricing model and standard Black-Scholes option pricing. Our finding, based on the market price of SET50 index option between May 2011 and September 2020, demonstrates stochastic volatility of underlying asset return for all level of moneyness. We find that both deep in the money and deep out of the money option exhibit higher volatility comparing with out of the money, at the money, and in the money option. Hence, our finding confirms the existence of volatility smile in Thai option markets. Further, based on calibration technique, the Heston option pricing model generates smaller pricing error for all level of moneyness and time to expiration than standard Black-Scholes option pricing model, though both Heston and Black-Scholes generate large pricing error for deep-in-the-...

Managerial Finance

PurposeThe main purpose of this study is to use a new broad board effectiveness index, which has ... more PurposeThe main purpose of this study is to use a new broad board effectiveness index, which has been created from several internal attributes of board of directors and to investigate the association of the overall index regarding stock price crash risk.Design/methodology/approachThe authors create a new board effectiveness index from a comprehensive set of board attributes, including the number of board meetings, the number of board attendances, the expertise of the directors, the size of the board and the number of independent directors, in order to test with the stock price crash risk by using panel regression models with fixed effects. The two-stage least squared regression ensures endogeneity issues.FindingsAn increase in board effectiveness index lowers firm-specific crash risk. Moreover, female directors enhance the board effectiveness.Originality/valueWith a new broad board effectiveness index, this paper is unique from other studies as the authors focus on the overall index...

Research in International Business and Finance

Abstract The ability of mutual fund managers to time coskewness successfully can help them manage... more Abstract The ability of mutual fund managers to time coskewness successfully can help them manage their portfolio’s exposure to potential losses and improve their fund’s performance. This study assesses whether mutual fund managers are able to manage the market exposure of their investment portfolios given a change in coskewness. We demonstrate that fund managers investing in Small Blend and Small Growth stocks possess the ability to time coskewness. On average, the fund managers of these two investment objectives increase the market exposures of their portfolios about 2.749 % and 1.340 %, respectively, based on their anticipations on future coskewness. Superiority is driven from the fact that the fund managers in small capitalization stocks are successfully able to manage the tail risk of their funds’ portfolios. The fund-by-fund results confirm that the number of individual funds succeeding in timing market skewness of the Small Blend and Small Growth investment objectives is larger than the remaining types. The main findings are robust when controlling for other types of timing ability, the periods of financial turbulence, and the construction of coskewness.

International Journal of Business Innovation and Research

This study explores three major issues in mutual fund portfolio management in one of the emerging... more 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.

Research in International Business and Finance

Abstract Using mutual fund data in Thailand, this study shows that fund managers can time the mar... more Abstract Using mutual fund data in Thailand, this study shows that fund managers can time the market-wide liquidity in the higher moment framework. High-performing fund managers demonstrate significantly positive liquidity timing ability, while low-performing fund managers do not. Thus, high-performing fund managers increase (decrease) the funds' exposure to the market during a high (low) market liquidity period, while low-performing fund managers do not show the liquidity timing ability. Moreover, only top-performing bank-related mutual funds possess the liquidity timing ability, supporting the information advantage hypothesis. Nonbank-related funds do not possess the liquidity timing ability at both the aggregate and portfolio levels. Several robustness tests confirm the findings.

Asia-Pacific Journal of Accounting & Economics

ABSTRACTIn this study, we examine the difference in mutual fund performance between the bank-rela... more ABSTRACTIn this study, we examine the difference in mutual fund performance between the bank-related and the non-bank-related mutual funds in emerging markets. We further improve the empirical test...

The Journal of Finance and Data Science

Abstract In this study, a liquidity timing ability of mutual fund managers in emerging markets ha... more Abstract In this study, a liquidity timing ability of mutual fund managers in emerging markets had been examined. The analysis based on three important emerging markets in ASEAN Economic Community, namely Indonesia, Malaysia, and Thailand. We found that these mutual fund managers have an ability to forecast the market wide liquidity at both aggregate level and portfolio level. Additional, the evidence suggested that the high ability fund managers can successfully manage the liquidity in all markets at portfolio level. Besides, a robustness test demonstrates a similar result.

Abstract The aim of this study is to investigate the impact of crude oil prices on the profitabil... more Abstract The aim of this study is to investigate the impact of crude oil prices on the profitability performance of sector using data on companies in the stock exchange of Thailand from 2001 to 2010. We employ the method of panel data regression. The study reveals significant fixed effects which imply that traditional least square lead to endogeneity problem, the study employ the fixed and random effects models. We find that the oil prices have significant impact on profit of energy and food sectors. Our contribution to the literature is impact of oil prices on firm profitability performance is in the same direction as the impact of oil prices on stock returns.

The Journal of Asian Finance, Economics and Business

Although the corporate governance plays a crucial role in protecting shareholder wealth, the effe... more Although the corporate governance plays a crucial role in protecting shareholder wealth, the effect of corporate governance on cost of debt is unclear. On one hand, the corporate governance reduces asymmetric information between corporate and external investor including debtholder leading to a decreasing in cost of debt financing. On the other hand, bondholders require higher rate of return for an improvement corporate governance. Hence, this study aims to investigate the relationship between the mechanism to improve corporate governance namely board effectiveness and the cost of debt in an emerging market. As we aim to explore the relationship between cost of debt and board effectiveness, we select corporation in Thailand as our sample because the businesses in Thailand are major debt-financing. Hence, our sample include listed firm in Stock Exchange of Thailand between 2007 and 2016. Our main findings support the sub-optimal investment hypothesis in that improved board effectiveness is associated with higher cost of borrowing. In addition, we find that the number of board member-board size, the number of board meeting, and the percentage of non-executive on audit committee play are positively associated with the cost of debt financing. Furthermore, we perform two-stage-least square (2SLS) to ensure that our results are far from endogeneity issue.