การวิเคราะห์อัตราผลตอบแทน ความเสี่ยง และประเมินมูลค่าของหลักทรัพย์ บริษัท เอสพีซีจี จำกัด (มหาชน)

Abstract

This study has the objective to analyze returns, risks, and valuations of SPCG public company limited securities by using CAPM for analysis and applying in Rolling Analysis of Time Series Model. Data for this study were is closing prices of SPCG from 2 January 2013 to 27 December 2013 covering 245 observations. The study shows that relation of securities and SPCG tends to be aggressive stocks because the ß parameters have the value greater than 1 of all 45 values as the change in individual asset return appear to be greater than the change in market return, the α parameters have the value greater than (1- ß) Rf35 values. It shows higher returns than equilibrium price that the securities are undervalued. So investors should invest at this time. About α parameters that have the value above to equilibrium price (10 values) that the securities are overvalued, the investors should invest by selling the securities.