As momentum and value strategy have been employed globally by much traders and investors, this study examines the existence of value and momentum strategy in the stock exchange of Thailand from 2007 to 2017. The efficiency of value and momentum strategies is confirmed by the results, which indicates that, from 2007 to 2017, high momentum portfolios and high value portfolios generate higher returns than other portfolios. Also, the central focus of this study is to scrutinize whether momentum and value strategies can be explained through funding illiquidity or not. Nevertheless, this study finds that funding illiquidity additionally represented by (1) the proportion of stocks pledged in margin accounts to stocks held by free-float, (2) active margin trading, and (3) active margin account are loaded negatively on both momentum and value portfolios, the results of which are inconsistent with prior research whose context is developed countries, and funding illiquidity exposes a positive relation to momentum portfolios. Also, concerning the results of Fama-MacBeth regression, funding illiquidity is not priced in, at least, the stock exchange of Thailand as indicated by a statistically insignificant result of Funding PCA and Funding PCA2.
Funding Liquidity and Value/Momentum in Thailand
Post by MSF Chula at Sunday, 10 January 2021 03:29 PM
Last updated at Sunday, 10 January 2021 03:29 PM