The Selection of Effective Securities in the Stock Exchange of Thailand Using the Binary Logistic Model
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Abstract
In this study, the researcher examined the characteristics of stocks having an impact on the effective of securities listed on the Stock Exchange of Thailand (SET). The researcher constructed a binary logistic model to predict the probability of stocks with a higher rate of return than the rate of return of SET which was called “effective stocks”. The probability that the stocks may have the rate of return at a lower level than the market was called “ineffective stocks”. The analysis was conducted in two cases using data in SET100 from 2014 to 2018. The first case was the return of stocks considering only the capital gain of stocks and the second case was the return of stocks including the capital gain of stocks and their dividend yields. Both cases exhibited the same conclusion. Three factors of the ratio of price as per book value, the rate of earnings per share, and the gross profit margin exhibited significance on the determination of probability that the stock was effective or ineffective. All of these three factors had a positive effect. Another three factors that did not exhibit significance in the determination were beta, price-earnings ratio (P/E Ratio), and return on equity (ROE).
Keywords: 1) Stock Selection 2) Effective Stock 3) Ineffective Stock 4) Binary Logistic
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References
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