A Study on Investment Returns of Industry Groups in the Stock Exchange of Thailand Using Five-Factor Model

บทคัดย่อ

This research aims to examine the rate of return in eight industry groups on the Stock Exchange of Thailand (SET). Our data was collected from the monthly closing price of common stocks in the SET from January 2013 to December 2019, a total of 84 months, using a five-factor model. The five-factor model or the five-risk premiums factor is comprised of: (1) market risk premium, (2) size premium, (3) value premium, (4) profitability premium, and (5) investment premium. The above factors exert an effect on the increases and decreases of stock returns. Thus, to determine the rate of return, the premia factors must be included. In addition, a constant must be calculated to measure the excess return.

The study reflects that the five-factor model can explain the rate of return of industry groups well, especially in the industrials industry, financials industry, property and construction industry, service industry, and technology industry. Furthermore, the research investigates the excess return using the five-factor model to calculate the constant variable according to the Jensen method, with 0.05 statistical significance. The test shows that all eight industry groups do not have abnormal returns. It summarizes that the five-factor model can be efficiently and extensively used to explain the rate of return, hence no excess return.