Details about Nuttawat Visaltanachoti

Access statistics for papers by Nuttawat Visaltanachoti.

Last updated 2026-05-09. Update your information in the RePEc Author Service.

Short-id: pvi214

Journal Articles

2025

1. Broker and institutional investor short selling
   Accounting and Finance, 2025, 65, (1), 621-645
2. Improving momentum returns using generalized linear models
   International Review of Finance, 2025, 25, (2)
3. Stock price crashes and systematic risk
   Journal of Contemporary Accounting and Economics, 2025, 21, (3)

2024

4. Estimating Long-Term Expected Returns
   Financial Analysts Journal, 2024, 80, (4), 134-154
5. Insider trading and climate disasters
   Global Finance Journal, 2024, 62, (C) View citations (2)
6. New Zealand long-term equity returns and their determinants
   Pacific-Basin Finance Journal, 2024, 85, (C)
7. Predicting ETF liquidity
   Australian Journal of Management, 2024, 49, (3), 478-508
8. What influences demand for Buy Now, Pay Later credit?
   Economics Letters, 2024, 242, (C) View citations (2)

2023

9. Be nice to the air: Severe haze pollution and mutual fund risk
   Global Finance Journal, 2023, 58, (C) View citations (2)
10. Does fear spur default risk?
    International Review of Economics & Finance, 2023, 83, (C), 879-899 View citations (4)
11. How does management respond to stock price crashes?
    International Journal of Managerial Finance, 2023, 20, (2), 546-577 View citations (3)
12. Liquidity spillover between ETFs and their constituents
    International Review of Economics & Finance, 2023, 88, (C), 723-747 View citations (7)
13. Lottery stocks and stop-loss rules
    Global Finance Journal, 2023, 56, (C) View citations (1)
14. Technical indicators and cross-sectional expected returns
    Global Finance Journal, 2023, 56, (C) View citations (2)

2022

15. Are individual stock returns predictable?
    Australian Journal of Management, 2022, 47, (1), 135-162
16. Climate events and return comovement
    Journal of Financial Markets, 2022, 61, (C) View citations (11)
17. Do stop-loss rules add value in international equity market allocation?
    Applied Economics, 2022, 54, (14), 1584-1597
18. Does bitcoin liquidity resemble the liquidity of other financial assets?
    Australian Journal of Management, 2022, 47, (4), 729-748 View citations (1)

2021

19. Beta estimation in New Zealand
    Pacific-Basin Finance Journal, 2021, 70, (C)
20. Country governance and international equity returns
    Journal of Banking & Finance, 2021, 122, (C) View citations (5)
21. Do accounting information and market environment matter for cross‐asset predictability?
    Accounting and Finance, 2021, 61, (3), 4389-4434
22. Do climate risks matter for green investment?
    Journal of International Financial Markets, Institutions and Money, 2021, 75, (C) View citations (18)
23. Do stocks outperform treasury bills in international markets?
    Finance Research Letters, 2021, 40, (C) View citations (3)
24. Does a change in the information environment affect labor adjustment costs?
    International Review of Financial Analysis, 2021, 74, (C) View citations (8)
25. Risk reduction using trailing stop‐loss rules
    International Review of Finance, 2021, 21, (4), 1334-1352 View citations (3)
26. The liquidity of active ETFs
    Global Finance Journal, 2021, 49, (C)

2019

27. A Note on Intraday Event Studies
    European Accounting Review, 2019, 28, (3), 605-619 View citations (3)
28. Stock Market Predictability and Industrial Metal Returns
    Management Science, 2019, 65, (7), 3026-3042 View citations (29)

2018

29. Do liquidity proxies measure liquidity accurately in ETFs?
    Journal of International Financial Markets, Institutions and Money, 2018, 55, (C), 94-111 View citations (11)
30. Politics and liquidity
    Journal of Financial Markets, 2018, 38, (C), 1-13 View citations (11)

2017

31. Time series momentum and moving average trading rules
    Quantitative Finance, 2017, 17, (3), 405-421 View citations (31)

2016

32. Transaction costs in an illiquid order-driven market
    Accounting and Finance, 2016, 56, (4), 917-933

2015

33. Frontier market transaction costs and diversification
    Journal of Financial Markets, 2015, 24, (C), 1-24 View citations (20)

2014

34. Is there momentum or reversal in weekly currency returns?
    Journal of International Money and Finance, 2014, 45, (C), 38-60 View citations (11)
35. Sell the rumour, buy the fact?
    Accounting and Finance, 2014, 54, (1), 237-249 View citations (8)

2013

36. ETF arbitrage: Intraday evidence
    Journal of Banking & Finance, 2013, 37, (9), 3486-3498 View citations (35)
37. Liquidity commonality in commodities
    Journal of Banking & Finance, 2013, 37, (1), 11-20 View citations (52)
38. Liquidity measurement in frontier markets
    Journal of International Financial Markets, Institutions and Money, 2013, 27, (C), 1-12 View citations (25)
39. Opportunistic insider trading
    Pacific-Basin Finance Journal, 2013, 21, (1), 1046-1061 View citations (6)

2012

40. Commodity Liquidity Measurement and Transaction Costs
    The Review of Financial Studies, 2012, 25, (2), 599-638 View citations (120)

2011

41. Information asymmetry in warrants and their underlying stocks on the stock exchange of Thailand
    Journal of Empirical Finance, 2011, 18, (3), 474-487 View citations (1)

2010

42. Real exchange rates, asset prices and terms of trade: A theoretical analysis
    Economic Modelling, 2010, 27, (1), 143-151 View citations (4)
43. Speed of convergence to market efficiency for NYSE-listed foreign stocks
    Journal of Banking & Finance, 2010, 34, (3), 594-605 View citations (21)
44. The Other January Effect: Evidence against market efficiency?
    Journal of Banking & Finance, 2010, 34, (10), 2413-2424 View citations (3)

2009

45. Commonality in liquidity: Evidence from the Stock Exchange of Thailand
    Pacific-Basin Finance Journal, 2009, 17, (1), 80-99 View citations (17)
46. Idiosyncratic volatility and stock returns: a cross country analysis
    Applied Financial Economics, 2009, 19, (16), 1269-1281 View citations (15)
47. Order imbalance, market returns and volatility: evidence from Thailand during the Asian crisis
    Applied Financial Economics, 2009, 19, (17), 1391-1399 View citations (2)
48. The Halloween Effect in U.S. Sectors
    The Financial Review, 2009, 44, (3), 437-459 View citations (34)

2008

49. Economic Value Added (EVA®) and Sector Returns
    Asian Academy of Management Journal of Accounting and Finance (AAMJAF), 2008, 4, (2), 21-41 View citations (3)
50. Liquidity distribution in the limit order book on the stock exchange of Thailand
    International Review of Financial Analysis, 2008, 17, (2), 291-311 View citations (2)

2007

51. Holding periods, illiquidity and disposition effect in the Chinese stock markets
    Applied Financial Economics, 2007, 17, (15), 1265-1274 View citations (7)
52. Performance of market order execution strategy: the Australian evidence
    Applied Economics Letters, 2007, 14, (13), 945-949 View citations (1)