เมจิกฟอร์มูล่ากับการลงทุนแบบเน้นคุณค่าในตลาดหลักทรัพย์แห่งประเทศไทย
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Abstract
The objective of this research is to test whether the Magic Formula Strategy can make an abnormal return and when simultaneously including qualitative data as factors will make greater abnormal return than considering only Magic Formula Strategy for Value Investing that makes profit from mispricing. In this research will separate in 2 strategies (1) Considering only Magic Formula strategy (2) Considering both Magic Formula Strategy and monthly SET market reports that represent for qualitative data. Each strategies comprise of 10, 20, 30 and 40 securities in portfolios totaling 8 portfolios. And the sample securities of this study are listed on SET during 2009 to 2018.
From the study in 10-years period since 2009 to 2018 finds that investing by considering both Magic Formula Strategy and monthly SET market reports in 20 securities and when calculated by the Magic Formula Strategy Basis ,the Magic Formula is not greater than 30 will give the highest return and return per risk (Sharpe Ratio). Additionally, there is an empirical evidence that considering both qualitative data and Magic Formula Strategy give greater returns than considering only Magic Formula Strategy, that is only a quantitative data. And, every portfolio’s return per risk (Sharpe Ratio) is greater than SET.
Article Details
เนื้อหาและข้อมูลในบทความที่ลงตีพิมพ์ในวารสารสภาวิชาชีพบัญชี ถือเป็นข้อคิดเห็นและความรับผิดชอบของผู้เขียนบทความโดยตรงซึ่งกองบรรณาธิการวารสารไม่จำเป็นต้องเห็นด้วยหรือร่วมรับผิดชอบใด ๆ
บทความ ข้อมูล เนื้อหา รูปภาพ ฯลฯ ที่ได้รับการตีพิมพ์ในวารสารสภาวิชาชีพบัญชี ถือเป็นลิขสิทธิ์ของวารสารสภาวิชาชีพบัญชี หากบุคคลหรือหน่วยงานใดต้องการนำข้อมูลทั้งหมดหรือบางส่วนไปเผยแพร่ต่อหรือเพื่อกระทำการใดๆ จะต้องได้รับอนุญาตเป็นลายลักษณ์อักษรจากวารสารสภาวิชาชีพบัญชี ก่อนเท่านั้น
References
ภาษาไทย
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