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Research & publications
Empirical finance in emerging markets: liquidity, asset pricing and portfolio strategy.
Market liquidity · Asset pricing · Emerging markets · Portfolio optimisation · SME finance
Publications
5 publications
A journal article, two theses, a conference paper and a working paper.
Research tools
MATLAB · Stata · Minitab · Maple · Python
2012
Journal article
Suppa-Aim, T., & Phothisane, S. (2012). Stock returns and liquidity premium in an emerging market. Journal of International Finance Studies, 12(4). ISSN 1945-2950.
Using Thai stock data from 1991 to 2010 and three liquidity measures, the paper finds a liquidity premium in returns. A four-factor model with size, value and liquidity explains returns better than the CAPM.
2015
Thesis
Phothisane, S. (2015). Measuring liquidity in emerging markets: The empirical evidence from emerging markets [Master’s thesis, Kobe University].
Compares liquidity measures across emerging stock markets.
2010
Thesis
Phothisane, S. (2010). Tactical asset allocation with return generating model: The alpha strategy [Master’s thesis, Mahidol University International College].
Tests four portfolio strategies built from positive-alpha securities. Mean-Variance outperformed Single Index, CAPM and Three-Factor models.
2010
Conference paper
Phothisane, S. (2010, May 15). Strategic allocation with return generating model: The alpha strategy. National Conference on Applied Arts, King Mongkut’s University of Technology North Bangkok.
Conference presentation of the MBA thesis findings.
2016
Working paper
Phothisane, S. Book-to-market, firm size, and the seasonal effect: Empirical evidence from the emerging markets [Working paper].
Studies whether value, size and calendar effects hold in emerging stock markets.
Lecturer since 2016
Teaching
Invited lecturer in Corporate Finance for undergraduate business students at Soutsaka Institute of Technology (formerly Comcenter College), Vientiane.
Courses taught
- Corporate Finance
- Introduction to Finance
- Financial Statement Analysis
- Business Mathematics
- Business Statistics
- Quantitative Analysis
- Marketing
- Human Resource Management
Research collaboration or a guest lecture?
I welcome joint work on Lao and ASEAN capital markets and SME finance.