Title: A new dimension of investment forecasting: evidence from Thailand

Authors: Woraphon Wattanatorn; Sarayut Nathaphan

Addresses: Thammasat Business School, Thammasat University, Bangkok, Thailand ' Business Administration Department, Mahidol University International College, Mahidol University, Nakonpatom, Thailand

Abstract: 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.

Keywords: coskewness; market timing; skewness; affiliated fund; bank-related fund; mutual fund; higher moment risk; Thailand.

DOI: 10.1504/IJBIR.2020.108008

International Journal of Business Innovation and Research, 2020 Vol.22 No.3, pp.429 - 446

Received: 17 Mar 2018
Accepted: 14 Nov 2018
Published online: 01 Jul 2020 *

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