Risk, Return and Performance of Securities in Tourism Case Services Sector in the Stock Exchange of Thailand Using CAPM and The Sharpe, Treynor and Jensen Method

Abstract

The objective of this study is to analyze risk and rate of return on securities of Tourism sector in the Stock Exchange of Thailand by Capital Asset Pricing Model (CAPM) and The Sharpe, Treynor and Jensen method which were selected for securities selection purposes by using their 60 weekly closing prices starting from 1 March 2016 to 30 April 2017. Total 11 securities were studied. The results can summarize as follows. The return of securities to the Tourism sector is positively related with the market return. The stock valuation by CAPM showed that the securities ERW GRAND GREEN LRH MANRIN OHTL ROH and SHANG were undervalued. The overvalued securities are ASIA CENTEL and CSR. Furthermore, using the Sharpe, Treynor and Jensen method, the result showed that ASIA CENTEL and CSR were the three worst stocks. We have got the same result as the CAPM model.