Betting against beta: evidence from Thai stock market.

Abstract

This paper examines the validity of beta factor in Thai stock market returns. Using the five-factors include the market factor (market risk premium, MKT), the size factor (small market capitalization minus big market capitalization, SMB), the book-to-market factor (high book-to-market equity ratio minus low bookto-market equity ratio, HML), the momentum factor (winners minus losers, WML) and beta factor (BAB). Our data cover stocks traded in the Stock Exchange of Thailand (SET100) from February 2003 to February 2012. Following Frazzini and Pederson (2014)we found that a BAB factor earn positive returns and stocks with higher volatility earn relatively lower returns. Our results are similar to those found in the US(Frazzini & Pederson, 2014) and India(Agarwalla, Jacob, Varma, & Vasudevan, 2014).