A matter of others' money: How cash holdings of other firms affect a firm’s cash holding?

PurposeThis study examines the effects of comparable companies, within the same industry, on cash-holding (CH) levels of a specific firm in the Stock Exchange of Thailand (SET). Peer effects are hypothesized to affect a firm's average CH levels.Design/methodology/approachThe authors use data of listed firms in the Thai stock markets from 1995 to 2018. The sample consists of 5,277 firm-year observations. The authors perform robustness tests by incorporating gross domestic product, economy and competitiveness.FindingsPeer firms' CH levels correspond positively to the specific firm's CH. This strengthens further for firms with high cash flow volatility during periods of high competition. Unfavorable economic periods also motivate the association between a firm's CH and peer firms' CH.Practical implicationsA policy on CH should account for cash held by peer firms. Firms can justify their CH policy as compatible with peers' cash flows, especially during periods of competitiveness and an unfavorable economy.Originality/valueThe authors provide novel evidence on how emerging markets' CH levels differ from those in developed markets and propose adjusted explanations for the rivalry- and information-based theories. The findings add substantial knowledge to corporate finance by arguing that CH policies are based on peer firms' strategic moves.

Forecasting Cyclical and Non-cyclical Stock Prices on the Stock Exchange of Thailand

Forecasting is an important role in organizations for decision making and planning. This research is to forecast the cyclical and non-cyclical weekly stock prices on the Stock Exchange of Thailand by using the models of Geometric Brownian motion, Fourier’s series, and Cauchy initial value problem. The accuracy and performance of the models are based on the minimum root mean squared percentage error which is the error between actual and forecasted stock prices. The results showed that Geometric Brownian motion is suitable for forecasting both cyclical and non-cyclical stock prices because of minimum error. Moreover, the confidence intervals of forecasted stock prices are demonstrated. Therefore, Geometric Brownian motion should be selected to describe the movement of stock prices in Thailand.

The Influencing Factors on Decision Investment: Case Study on 5 Mining Firms in 5 Countries in South East Asia

This research aimed is to find out the factors influencing decision-making in mining firms listed in Indonesian Stock Exchange, Bursa Malaysia, the stock Exchange of Thailand, the Philippines Stock Exchange and Singapore Exchange from 2014 to 2018. This study employed multiple linear regression to examine independent variable influences such as cash flow, firm size, leverage and investment opportunities. Total asset growth is the metric used to calculate investment decision. Secondary data were retrieved by the audited Mining Corporation Report and Annual Reports from the Indonesian Stock Exchange, Bursa Malaysia, the Philippines Stock Exchange, the Singapore Exchange and the Stock Exchange of Thailand from 2014 to 2018 in web.idx.id, www.bursamalaysia.com.com, www.pse.com.ph, www.set.or.th and the www2.sgx.com/ The findings suggest that cash flow and firm size have a beneficial impact on investment decision-making, leverage has a detrimental influence on investment decision-making whereas acquisition incentives have little impact on investment decision-making.

Option Pricing Under GARCH Models Applied to the SET50 Index of Thailand

Variance changes over time and depends on historical data and previous variances; as a result, it is useful to use a GARCH process to model it. In this paper, we use the notion of Conditional Esscher transform to GARCH models to find the GARCH, EGARCH and GJR risk-neutral models. Subsequently, we apply these three models to obtain option prices for the Stock Exchange of Thailand and compare to the well-known Black-Scholes model. Findings suggest that most of the pricing options under GARCH model are the nearest to the actual prices for SET50 option contracts with both times to maturity of 30 days and 60 days.

Bankruptcy Risk and Financial Performance of Companies Listed on the Stock Exchange of Thailand

Financial performance is an important issue for entrepreneurs and investors. So far the number of studies on the effect of bankruptcy risk on financial performance of firms is small. Hence, this research investigates the impact of bankruptcy risk on financial performance of companies listed on the Stock Exchange of Thailand and the relevant data cover the period between 2015 and 2019. Excluded are companies operating in the finance industry. The data are analyzed by multiple regression analysis. Altman’s Z-score (1968) is used as a proxy for bankruptcy risk while ROA, ROE, and Tobin’s Q serve as proxies for financial performance. The control variables in this study are liquidity, capital structure, firm size, and inflation rate. Results reveal that Altman’s Z-score and firm size statistically and positively affect financial performance proxied by both accounting-based-measures, i.e. ROA and ROE; and market-based measures, i.e. Tobin’s Q. These results confirm that companies listed on Thailand’s Stock Exchange have low bankruptcy risk and large size is financially performed well.