Tests of a Four-Factor Asset Pricing Model: The Stock Exchange of Thailand

• 발행기관: 한국유통과학회
• 저자명: Sasipa POJANAVATEE
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.9, 117~123쪽, 전체 7쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.09.30

영문 초록

The objective of this study is to examine whether the four-factor model explains variation in the expected return of stocks on the Stock Exchange of Thailand. The study used individual monthly data for all stock with continuous trading on the Stock Exchange of Thailand. The study used sample data of 429 listed stocks to construct 8 portfolios bases on the industries. In this study, subject to market factors such as size, the book-to-market ratio, the market beta, and stock liquidity are taken into account. The Empirical analysis reveals that not all of the variables included in the four-factor asset pricing model are statistically significant to do affect the formation of the rate of return on stocks calculated on a monthly basis. The result shows that market beta, stock liquidity, and the book-to-market ratio has a significant increase in the rate of return on shares listed on the Consumer Products. It is therefore apparent that at least in respect of monthly analysis, the predictions of bass models in the field of modern finance theory systematic risk measured by the beta coefficient did play a significantly important role in the formation of the rate of return on the Stock Exchange of Thailand.

목차

1. Introduction

2. Literature Review

3. Research Methods

4. Results and Discussion

5. Discussion and Conclusions

References

키워드

Liquidity Risks Pá stor and Stambaugh Model Stock Returns Thailand Stock Exchange