Economics at your fingertips  

Location choice and tax responsiveness of foreign multinationals: Evidence from ASEAN countries

Roongkiat Ratanabanchuen and Kanis Saengchote
Additional contact information
Roongkiat Ratanabanchuen: Chulalongkorn Business School
Kanis Saengchote: Chulalongkorn Business School

PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research

Abstract: One of the proposed explanations for the low-beta anomaly - a prevalent yet puzzling empirical finding that stocks with low systematic risk tend to earn higher returns than the Capital Asset Pricing Model (CAPM) predicts and vice versa - is that leveraged-constrained and index-benchmarked mutual funds drive up demand for high-beta stocks, leading to systematic mispricing. We find evidence that Thai mutual fund managers, on average, favor high-beta stocks and tend to alter their portfolio composition of high,beta stocks in response to fund flows. In addition, funds that hold high-beta stocks perform poorly compared to their peers: a one standard deviation increase in high-beta stock holdings is associated with a 1.3 percentage point decrease in future relative returns.

Keywords: High-beta stocks; Mutual fund returns; Low-beta anomaly (search for similar items in EconPapers)
JEL-codes: G11 G23 (search for similar items in EconPapers)
Pages: 10 page
Date: 2018-10, Revised 2018-10
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in PIER Discussion Paper Series

Downloads: (external link) Published version, 2018 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in PIER Discussion Papers from Puey Ungphakorn Institute for Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by PIER ().

Page updated 2020-02-24
Handle: RePEc:pui:dpaper:96