| Author | Hussaini, Mussa |
| Call Number | AIT RSPR no.SM-14-11 |
| Subject(s) | Stock exchanges--Thailand
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| Note | A research submitted in partial fulfillment of the requirements for the degree of Master of Business Administration |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. SM-14-11 |
| Abstract | The existences of size premium, value premium, and momentum profit in stock markets have been well studied. However, these studies mostly focus on U.S. market. Stocks may indeed perform differently in non-U.S. markets. In the Stock Exchange of Thailand (SET), I examined the performance of small stocks versus large stocks (size premium) and value stocks versus growth stocks (value premium) for the period of 1999 through 2013, and momentum strategy for the period of 2010 through 2013. My findings are, first, there is a size premium in SET and the difference between the average monthly returns on small-stocks portfolios and large-stocks portfolios is 2.02 percent. Second, value stocks do not generate higher average monthly returns than growth stocksand it is true forboth small sizestocksand largesize stocks. Third, momentum strategy realizes positive return in large size stocks but not in small size stocks. Further, I test whether the capital asset pricing model (CAPM) and three-factor model can explainthe excess returns on portfolios formed on size-P/B and size-momentum. The models do not get much support from my tests, although, there is some improvement in three-factor model, the model still fails to explain the excess returns on portfolios. |
| Year | 2014 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. SM-14-11 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Supasith Chonglerttham; |
| Examination Committee(s) | Donyaprueth Krairit;Islam, Nazrul; |
| Scholarship Donor(s) | AIT Fellowship; |
| Degree | Research report (M.B.A.) - Asian Institute of Technology, 2014 |