This study investigates on change in earning manipulation (Beneish M-score) quarter on quarter whether it reflected in stock returns on the Stock Exchange of Thailand (SET). This work done by using Carhart four-factor model on 398 non-financial firms over 2006Q2-2024Q4 (~7,300 firm-quarter observations), four hypotheses are tested on this work- which is direction, asymmetry, event-period moderation, and firm size moderation of the market reaction. The results show a significant on asymmetric hypothesis, which state that increases in earning manipulation risk generate negative abnormal returns, while decreases do not show significance sign. Then the event based and firm size hypothesis are not supported. This finding suggests Thai investor respond to earning manipulation signals only on the downside, consistent with loss-aversion, and highlight the M-score as a useful downside screening tool alongside a need for improved disclosure practices.
This study aimed to analyze the effects of ROE, CR, DER, and TATO on stock prices, with dividend policy as a moderating variable, in consumer non-cyclical companies listed on the Indonesia Stock Exchange during 2021–2024. The sample was determined using a purposive sampling approach. Out of 131 listed firms, 33 compani...
Gladisya Zafira Azzahra, Naelati Tubastuvi, Wida Purwidianti et al.· Agregat Jurnal Ekonomi dan B...· 0 citations
In this study, I examine whether real earnings management affects future stock price crash risk using 2,839 firm-year observations from Borsa Istanbul, with predictor variables measured from 2005 to 2024 and crash-risk outcomes measured from 2006 to 2025. Real earnings management (REM) is measured from abnormal product...
Tuba Toksoz· Üçüncü Sektör Sosyal Ekonomi...· 0 citations
This study examines whether text-based climate disclosure is associated with suspected stock market manipulation. Using dataset of China's A-share listed firms from 2010 to 2021, we construct a firm-level measure of reported climate disclosure from annual reports and a suspected manipulation count from opening-price, c...
Yong-Jian Huang, En-En Meng, Yu-Cheng Qian et al.· Journal of Environmental Man...· 1 citation
This study examines the short-term market reaction to changes in the Stock Exchange of Thailand’s ESG ratings, namely the Thailand Sustainability Investment (THSI) list (2016–2022) and SET ESG Ratings (2023–2025). Furthermore, this study tests whether firm profitability, measured by return on assets (ROA), moderates th...
This study examines the impact of monetary policy shocks (MPS) on future stock price crash risk (SPCR), using a sample of US firms from 1995 to 2019. We find that expansionary MPS significantly reduce the likelihood of SPCR, while contractionary MPS show no statistically significant effect on SPCR. These results rema...
Shun-Shun Xu, Haifeng Guo, Yeqin Zeng· International Journal of Fin...· 0 citations
This study investigates how ESG rating uncertainty impacts the cumulative abnormal returns and stock volatility of firms listed on the Stock Exchange of Thailand. Using the constituents of the SET100 Index over the 2015–2024 period, ESG ratings from three major providers (LSEG, Bloomberg, and S&P Global) are combined i...
Chawit Khamprathet· 0 citations
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