Please use this identifier to cite or link to this item:
https://archive.cm.mahidol.ac.th/handle/123456789/1300Full metadata record
| DC Field | Value | Language |
|---|---|---|
| eperson.contributor.advisor | Piyapas Tharavanij | - |
| dc.contributor.author | Saran Thongkingkaew | - |
| dc.date.accessioned | 2021-03-23T08:34:17Z | - |
| dc.date.available | 2021-03-23T08:34:17Z | - |
| dc.date.issued | 2015-08-25 | - |
| dc.identifier | TP FM.001 2015 | - |
| dc.identifier.citation | 2015 | - |
| dc.identifier.uri | https://archive.cm.mahidol.ac.th/handle/123456789/1300 | - |
| dc.description.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). | - |
| dc.publisher | มหาวิทยาลัยมหิดล | - |
| dc.subject | Thai stock | - |
| dc.subject | Finance | - |
| dc.subject | Betting against beta | - |
| dc.title | Betting against beta: evidence from Thai stock market. | - |
| dc.type | Thematic Paper | - |
| Appears in Collections: | Thematic Paper | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| TP FM.001 2015.pdf | 1.9 MB | Adobe PDF |  View/Open |
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.