Determination of the relationship between stock returns and inflation using CAPM and APT | |
| Author | Thapanee Vucharachaisamon |
| Call Number | AIT RSPR no. SM-96-10 |
| Subject(s) | Capital assets pricing model Stocks--Prices--Thailand |
| Note | A research study submitted in partial fulfillment of the requirements for the degree of Master of Business Administration |
| Publisher | Asian Institute of Technology |
| Abstract | This research aims at studying the relationships between the stock returns and the inflation rates as well as the impacts of inflation on the stock return under the Capital Asset Pricing Model (CAPM) and is extended to the Multiperiod CAPM and the Arbitrage Pricing Theory (APT). Since different type of securities could be affected differentially by inflation, twelve sectors registered in the Securities Exchange of Thailand were selected. The method of the study is separated into 3 main parts: that is test based on CAPM, Multiperiod CAPM and APT. The CAPM model, measuring risk and transform it into expected return which was compared to actual return. The results show that different between expected return and actual return, reflecting the existence of a inflation induced return. The Multiperiod CAPM was extended by relaxing its one-period CAPM assumption to multiperiod risk-return relationship. The improved model which used empirically to test the impacts of inflation on stock return in form of linear relationship through the origin. Whereas, the APT which was employed in this study, assuming that each stock's return depends partly on market return and inflation in form of simple linear relationship. The empirical results indicated that pressure on inflation was building up, reflecting on the stock return. In other words the stock returns are an inflation hedges. The results also suggest for the future research that other important variables influencing the stock return which was omitted in this study should be introduced into the model, in order to improve the model specifications. |
| Year | 1996 |
| Type | Research Study Project Report (RSPR) |
| School | School of Management (SOM) |
| Department | Other Field of Studies (No Department) |
| Academic Program/FoS | Master of Business Administration (MBA) (Publication code=SM) |
| Chairperson(s) | Gupta, J. P.; |
| Examination Committee(s) | Pandey, I. M.;Khang, D. B.; |
| Scholarship Donor(s) | The Communications Authority of Thailand; |
| Degree | Research Studies Project Report (M.B.A.) - Asian Institute of Technology, 1996 |