Empirical test of capital asset pricing model in Thailand | |
| Author | Bui Thi Hoa Hong |
| Call Number | AIT RSPR no.SM-04-101 |
| Subject(s) | Capital assets pricing model Capital -- Thailand| -- Mathematical models |
| Note | A research study submitted in partial fulfillment of the requirements for the degree of Master of Business Administration, School of Management |
| Publisher | Asian Institute of Technology |
| Series Statement | Research studies project report ; no. SM-04-101 |
| Abstract | The results of empirical tests of capital asset pricing model in the Thail capital market is presented in this research. The outcome is based on monthly data of 435 companies listed on Stocks Exchange of Thailand (SET). The capital asset pricing model acceptably describes the Thai capital market. The CAPM provides a useful decision-making framework for investors, by providing a measure for risk that can be quantified and operationalized by them. Like any economic model it is based on a series of assumptions, but empirical research suggests that the CAPM is both robust and durable for investment decisions in the real world, if investors hold diverse pmifolios. One must make sure that one can understand and distinguish between the two key elements of CAPM share evaluation - specific risk and market risk. One must also be aware that significant controversy exists over the effectiveness of the concept and the problems outlined need to be appreciated. If the positive aspects of CAPM and of its workings are fully understood, there is no doubt that it is a useful tool to have in investors' investment appraisal kit. |
| Year | 2004 |
| Corresponding Series Added Entry | Asian Institute of Technology. Research studies project report ; no. SM-04-101 |
| 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) | Kouwenberg, Roy; |
| Examination Committee(s) | Tang, John C.S. ;Swierczek, Fredric W.; |
| Scholarship Donor(s) | French Government ;AIT Fellowship; |
| Degree | Research Studies Project Report (M. Eng.) - Asian Institute of Technology, 2004. |