ความสัมพันธ์ระหว่างความเสี่ยงต่อการประสบปัญหาทางการเงินกับอัตราผลตอบแทนของบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

The objective of this study is to examine the relationship between financial distress risk and the stock return of listed companies in the Stock Exchange of Thailand. The financial distress risk is proxied by O-score probability. The study was conducted from July 2009 to June 2019 for a total of 120 months, using company financial data, the monthly closing prices of stocks, Stock Exchange of Thailand index data, and a risk-free rate using 1-month Treasury bills. The study is divided into two sections, as follows: Firstly, portfolio classifications study the relationship between financial distress risk and the return of portfolios. The results of the study showed that the highest financial distress risk portfolio had the highest standard deviation but had the lowest returns compared to other groups and is a small market capitalization company. The returns between the highest and lowest financial distress risk portfolios found that the difference in returns of both groups was not statistically significant, but if the study was separated by conditions, the market situation would produce different results. When adding value factors to be classified into sub-portfolios for the study of the ability to represent the financial distress risk, it was found that value factors as a determinant cannot represent the financial distress risk. This was due to the returns between the highest and lowest financial distress risk portfolios. There was no difference in all subgroups defined by the value factor. It was found that the highest financial distress risk and low book-to-market portfolio (LO4) had significantly lower returns than the other groups, and this was why the highest financial distress risk had the lowest returns. An evaluation of each portfolio's performance using the Fama French Three-Factor Model comprised the final section. It was found that the three-factor model was unable to fully explain the abnormal returns of the studied portfolios, particularly in the portfolio with the highest financial distress risk, which had a negative alpha. This indicates that the investment return on the stocks with the highest risk of financial distress was less than the expected return. This reflected the low performance of such securities and did not compensate investors for the risks.