Sample Selection, Variable Measurements, and Model Specifications
1. Sample Selection
Stock markets in Thailand consist of two markets: the Stock Exchange of Thailand (SET) and the Market of Alternative Investment (mai).
1 Stocks traded in SET are classified into 8 industries as shown in Table 1. Our sample include only firms listed in SET because firms listed in mai are significantly smaller in size and trading volume, relative to firms listed in SET. We then exclude form our sample firms in financials, financial-distressed firms, property fund, and new entrants in 2008 and 2009. Our sample period is 1999–2007.Moreover, we further eliminate firm-year observations with
missing required data on SETSMART2 and firm-year observations with 1% extreme values at both ends.As shown in Table 1, our final sample consists of 2,325 firm-year observations.