| Author | Ng, Kim Hua |
| Call Number | AIT Thesis no.IE-89-11 |
| Subject(s) | Stock-exchange|xThailand
|
| Note | A thesis submitted in partial fulfillment of the requirements for
the degree of Master of Engineering |
| Publisher | Asian Institute of Technology |
| Abstract | This study examines the risk-return relationship for
short- term common stock investments in the present situation in
the Securities Exchange of Thailand. The Capital Asset Pricing
Model (CAPM) is adopted to quantify the systematic risks of the
s tocks proxied by beta. Seventy-five active and performing stocks
from various industrial sectors were selected from the period of
December 1985 to September 1989. The results from CAPM using
monthly data showed more than 83% of the stocks' beta were
statistically significant. The portfolios were classified into
five sizes of five, eight, twelve, fifteen and twenty-five stocks
over three different short-term investment holding periods of
one, two and three months.
Results showed that small market value stocks (bottom
portfolios) returns ranged from 6.06% to 9.44% per month for
simple returns and from 3.24% to 5.93% per month for excess
returns. The large market value stocks (top portfolios) returns
ranged from 1.05% to 2.93% per month for simple returns and from
-2.08% to - 0.28% per month for excess returns. The results also
show that s mall market values stocks consistently and
significantly outperformed large market value stocks in all 15
cases using simple rates of return (from 3.14% to 7.68% per
month), and in 14 out of 15 cases using excess rates of return
(from 3.54% to 7.14% per month). This implied that short-term
investment in small market value stocks is a viable investment
strategy. A fairly profit able strategy would invest in a
portfolio of more than 10 stocks over the three months. All tests
were conducted at a 95% level of significance for a 2- tail T-test.
Plainly, if an investor would invests naively in stocks
in SET, assuming the present situation continues, using the
market value basis, he would make on average from 6.68% to 9.44%
per month for every baht invested depending on his holding period
and the size of the portfolio. In comparison the risk-free rate
of interest from finance companies is around 0.75% per month. |
| Year | 1989 |
| Type | Thesis |
| School | School of Engineering and Technology (SET) |
| Department | Department of Industrial Systems Engineering (DISE) |
| Academic Program/FoS | Industrial Engineering (IE) |
| Examination Committee(s) | Tang, John C.S.;Tabucanon, Mario T.;‪Vanchai Ariyabuddhiphongs; |
| Scholarship Donor(s) | Royal Government of Belgium; |
| Degree | Thesis (M.Eng.) - Asian Institute of Technology, 1989 |