การศึกษาผลตอบแทนจากการลงทุนของกลุ่มอุตสาหกรรมในตลาดหลักทรัพย์แห่งประเทศไทยโดยใช้แบบจาลองห้าปัจจัย

Abstract

This independent study aims to explore the return on investment of the industry group in Stock Exchange of Thailand; Agro and Food Industry Group, Consumer Products Group, Financials Group, Industrial Products Group, Property and Construction Group, Resources Group, Service Group, and Technology Group. This study used Five-Factor Model. in order to calculate the return on investment. In addition, this study also explored the rate of abnormal return on investment using the calculation of Jensen's constant. The study of return on investments from the industry group using for studying the return on investment and risk incurred with statistical significance; by using the stocks data from Stock Exchange of Thailand from January B.E. 2556 (2013) to December B.E. 2562 (2019) in total of 84 months. The results concluded that the investment rate of return of those 8 industry groups could be explained by Five-Factor Model which those 5 factors included market risk premium, size risk premium, value risk premium, profitability risk premium, and investment risk premium. More specifically, Five-Factor Model could effectively explain rate of return on investment in Industrial Products Group, Financials Group, Property and Construction Group, Service Group, and Technology Group. Furthermore, this study also explored the abnormal return or Alpha on investment using Five- Factor Model by applying the method of Jensen to check the statistical significance of the constant from the regression model. The result showed that 8 groups of industry did not have any abnormal return. In other words, the constants had no statistical significance. Therefore, the conclusion was that the Five-Factor Model could explain the retumn on investment effectively.