Study risk and return of an investment and valuation of securities in SETCLMV

Abstract

This research aims to analyze the returns on capital asset pricing model (CAPM) in the SETCLMV group. The Study population is SETCLMV securities. The sample is 47 shares. Source of information used monthly closing prices of SETCLMV securities for a period of 60 months from March 2017 to March 2022. To calculate the market yield and take the yield on 5-year Thai government bonds represent the return on risk-free securities according to the capital asset pricing model theory (CAPM). the research found that SETCLMV securities are 15 securities with beta () coefficient less than 1 (< 1). There is 1 security with beta coefficient () equal to 1 (= 1). There are 31 securities whose beta coefficient () is greater than 1 (> 1). SETCLMV securities are 29 securities, including AJ, BBL, BCH, BDMS, BJC, CPF, DRT, INTUCH, KSL, MEGA, RATCH, SCC, TASCO, TU, BCP, CBG, BH, CK, EGCO, GPSC, KBANK, KKP, MINT, PTT, PTTEP, PTTGC, RCL, SCCC, and TOP. The required rate of return on the security is lower than it should be. (Undervalued) Investors can invest in this stock. And there are 18 securities, including AMATA, BANPU, BCPG, BPP, CKP, GLOBAL, GUNKUL, ICHI, IRPC, MAJOR, SAMART, SPRC, SUPER, THCOM, TK, TSTH, TWPC, and VNG with the required rate of return of securities is higher than it should be (Overvalued). Investors should not invest in these securities.