The Low-Risk Anomaly: Evidence From The Thai Stock Market

In many developed countries, low-risk stocks tend to earn superior risk-adjusted returns compared to high-risk stock. Using data on the Stock Exchange of Thailand between 2004 and 2015, this paper shows that the abnormal returns associated with investing in low-beta stocks are signifcant and robust. The zero-cost portfolio that longs low-beta stocks and shorts high-beta stocks delivers monthly four-factor alpha of 1.26%. This paper provides suggestive evidence that, in addition to leverage constraints, the low-risk anomaly can be caused by institutional designs that favour stocks that are index constituents

Factors Shaping Thai Millennials' Low-Carbon Behavior: Insights from Extended Theory of Planned Behavior

Objective: This research serves a dual purpose: To construct a predictive model for low-carbon behavior among Thai millennials and to analyze the interplay between socio-demographic variables and eco-conscious actions. Methods/Analysis: By employing PLS-SEM and surveying 150 Thai millennials through purposive sampling, this study reaffirms the influence of persuasive technology and incentives on low-carbon behaviors. It highlights the significance of perceived behavioral control within the TPB framework and reveals intricate pathways by which persuasive technology and incentives shape attitudes, perceived control, and social norms, thereby driving eco-friendly actions. Findings: Among Thai millennials, positive attitudes and perceived control drive low-carbon behavior, while social norms and accessible low-carbon infrastructure also impact eco-conscious actions. Persuasive technology shows promise for attitude adjustment, but incentives' relationship with low-carbon behavior is complex. Interestingly, mature women exhibit more low-carbon behavior, whereas education and income show an inverse relationship. Novelty/Improvement: This study contributes novel and substantial insights into the drivers of low-carbon behavior among Thai millennials by integrating diverse theoretical frameworks. It enriches our understanding of the mediating role of TPB factors and socio-demographic dimensions, offering invaluable guidance for stakeholders in crafting effective interventions while aligning seamlessly with Sustainable Development Goals 7, 9, 12, and 13. Doi: 10.28991/HIJ-2023-04-03-02 Full Text: PD

Chasing returns with high-beta stocks: evidence from tax-privileged mutual funds in Thailand

One proposed explanation for the low-beta anomaly – a puzzling finding that stocks with low systematic risk tend to earn higher returns than the CAPM predicts and vice versa – is that mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai equity mutual funds tend to alter their risk exposure in response to fund flows, but only for incentivized funds where investors receive immediate tax benefits. We argue that the benefits change the way investors make their decisions, raising an issue of how public policies may have unintended consequences in capital markets

Network topology in decentralized finance

La modularidad y anonimato de los participantes en las Finanzas Descentralizadas plantean desafíos significativos para comprender sus interacciones y la acumulación de riesgo dentro de la red. Mapeamos las interconexiones entre los protocolos de finanzas descentralizadas utilizando transacciones entre contratos y direcciones, exploramos propiedades de redes de una y múltiples capas y cuantificamos la exposición financiera de los nodos más críticos. Observamos propiedades de escala libre similares a las redes financieras tradicionales, pero la inclusión de interacciones de usuarios y la influencia de cuentas de propiedad externa (externally owned accounts) producen características de red distintas. Además, las medidas de centralidad y las métricas de alta frecuencia brindan información sobre participantes de importancia sistémica y protocolos en riesgo, lo que requiere una investigación adicional para desarrollar medidas de riesgo sólidas. Al identificar posibles vulnerabilidades y desarrollar estrategias de gestión de riesgos adecuadas, los actores involucrados pueden ayudar a garantizar la estabilidad y seguridad de las finanzas descentralizadas como una alternativa viable a los sistemas financieros tradicionales.The composability and anonymity of participants in Decentralized Finance pose significant challenges in understanding their interactions and the buildup of risk within the network. We map the interconnections among decentralized finance protocols using transactions among contracts and addresses, explore single-layer and multiplex network properties and quantify the financial exposure of the most critical nodes. We observe scale-free properties similar to traditional financial networks, but the inclusion of user interactions and the influence of externally owned accounts yield distinct network characteristics. Furthermore, centrality measures and high-frequency metrics provide insights into systemically important participants and at-risk protocols, necessitating further research to develop robust risk measures. By identifying potential vulnerabilities and developing appropriate risk management strategies, the stakeholders can help ensure the stability and safety of decentralized finance as a viable alternative to traditional financial systems