Details about Nuttawat Visaltanachoti

Access statistics for papers by Nuttawat Visaltanachoti.

Last updated 2022-02-10. Update your information in the RePEc Author Service.

Short-id: pvi214

Journal Articles

2022

1. Are individual stock returns predictable?
   Australian Journal of Management, 2022, 47, (1), 135-162

2021

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

2019

10. A Note on Intraday Event Studies
    European Accounting Review, 2019, 28, (3), 605-619 View citations (3)
11. Stock Market Predictability and Industrial Metal Returns
    Management Science, 2019, 65, (7), 3026-3042 View citations (26)

2018

12. Do liquidity proxies measure liquidity accurately in ETFs?
    Journal of International Financial Markets, Institutions and Money, 2018, 55, (C), 94-111 View citations (10)
13. Politics and liquidity
    Journal of Financial Markets, 2018, 38, (C), 1-13 View citations (8)

2017

14. Time series momentum and moving average trading rules
    Quantitative Finance, 2017, 17, (3), 405-421 View citations (29)

2016

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

2015

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

2014

17. Is there momentum or reversal in weekly currency returns?
    Journal of International Money and Finance, 2014, 45, (C), 38-60 View citations (10)
18. Sell the rumour, buy the fact?
    Accounting and Finance, 2014, 54, (1), 237-249 View citations (7)

2013

19. ETF arbitrage: Intraday evidence
    Journal of Banking & Finance, 2013, 37, (9), 3486-3498 View citations (27)
20. Liquidity commonality in commodities
    Journal of Banking & Finance, 2013, 37, (1), 11-20 View citations (50)
21. Liquidity measurement in frontier markets
    Journal of International Financial Markets, Institutions and Money, 2013, 27, (C), 1-12 View citations (25)
22. Opportunistic insider trading
    Pacific-Basin Finance Journal, 2013, 21, (1), 1046-1061 View citations (5)

2012

23. Commodity Liquidity Measurement and Transaction Costs
    The Review of Financial Studies, 2012, 25, (2), 599-638 View citations (109)

2011

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

2010

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

2009

28. Commonality in liquidity: Evidence from the Stock Exchange of Thailand
    Pacific-Basin Finance Journal, 2009, 17, (1), 80-99 View citations (17)
29. Idiosyncratic volatility and stock returns: a cross country analysis
    Applied Financial Economics, 2009, 19, (16), 1269-1281 View citations (14)
30. Order imbalance, market returns and volatility: evidence from Thailand during the Asian crisis
    Applied Financial Economics, 2009, 19, (17), 1391-1399 View citations (2)
31. The Halloween Effect in U.S. Sectors
    The Financial Review, 2009, 44, (3), 437-459 View citations (31)

2008

32. 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)
33. 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

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