This paper aims to examine the existence of calendar anomalies including month-of-year effect, turn-of-month effect, and weekend effect in Thai stock market. The stock return is computed from SET index during 1988 to 2009, and the SET50 index gathered since it was created in 1995. The unit root...

The purpose of this paper is to examine the holiday effect in Thailand. The holiday effect is the phenomenon in which the stock returns are abnormally high before holidays. There is no complete explanation for this phenomenon though there are many studies that state that the holiday effect has...

This paper aims to examine whether the market timing strategy with Gilt-Equity Yield Ratio or GEYR can create abnormal returns in Thai Stock market. The trading rules using GEYR are established and switching strategies between bonds and equities are implemented. The out-of-sample profitability...

This paper aims to examine the role of corporate governance in reducing the negative effect of earnings management. The accounting data for U.S. firms during 2002-2010 were collected from WorldScope database and the corporate governance data were from ASSET4, which is an affiliate of Thomson...