The Analysis of The Rate of Return and The Risks of The Investment in The Stock of Property Development and Construction Section By Capital Asset Pricing Model (CAPM)

Abstract

            The objectives of this research were (1) To compare the rate of return and the risks of the investment in the securities of property development and construction section with yield and risks of the SET100 Index. (2) To study the relationship between the rate of return and the risks of the investment in the securities of property development and construction section. The samples used in the research included the securities of property development and construction. Listed on the Stock Exchange of Thailand of 15 securities, including AP, ESTAR, ANAN, MK, LALIN, LH, LPN, PF, QH, MJD, TICON, SENA, SPALI, SIRI, A data used for the study was divided into two parts. (1) The closing price of the SET100 Index and the closing price of the securities of property development and construction section. (2) Yield of the government bonds 1 month yields an average annual 2.40% replacements of the securities without risks (Risk Free Rate). The instruments used in data collection were (1) The calculation of the rate of return and the risk of the investment in the securities of property development and construction section of 15 securities with yields of the securities without risks (Risk Free Rate) by the yields of the government bonds 1 month from July 2010 to June 2015 the average rate for 1 month to compared with the investment in the SET100 Index during the same period. (2) The asset pricing theory (CAPM) using secondary data from July 2010 to June 2015 for a total period of 60 months, which collected from the website of the Stock Exchange of Thailand used to calculate the yield.

            The results yield and the risks of the investment in the securities of property development and construction section comparison yields and the risks of the SET100 Index found that. (1) The securities that yield the highest returns ESTAR by an average of  28.57 % per year, and the securities at the lowest return was SIRI the average return is 1.81 % per year, the risk of the securities of property development and construction of the securities with the highest risk of PF are the risks at 18.33 %, and the securities with the lowest risk is the risk that is 2.68 %, the yield of the SET100 Index average of 13.69 % per year. However, the risk of market stood at 4.91% (2) The stock of property development and construction section, with the β more than 1 of 11 securities, including QH, TICON, PF, MJD, LH, SPALI, SIRI, AMATA, ESTAR, AP. and LPN showed that the change in the yield of the securities will change the dynamics of the market rate of return in the same direction as aggressive stock. The securities of development and construction, with the β less than 1 have 4 securities, including MK, LALIN, SENA and A showed that the change in the yield of the securities will fluctuate less than the change in the yield of the securities market in the same direction a defensive stock. (3) The rate of return expected from the investments in the securities of property development and construction section using theoretical pricing of the securities (CAPM). It can be seen that the securities of property development and construction section of 11 securities, including QH, TICON, PF, MJD, LH, SPALI, SIRI, AMATA, ESTAR, AP and LPN valuable β more than 1 with a higher risk than the stock market at the moment. Expect the same rate of return on investment. It showed that the rates of return from the investment in the securities of development and construction section are similar to the risks of the investment in the securities of property development and construction (High risk high return). The securities of property development and construction section, with the β less than 1 of 4 securities, including MK, LALIN, SENA and A have less risk than the SET100 Index while the rate of return expected from investments less of the SET100 Index.

          The testing hypotheses found that the evaluation of the the rate of return and the risks of the securities of property development and construction section were in the same direction that securities with high risk (higher β value) will yield the high expectations. And securities with low risk (the lower β) can yield low expectations. This is consistent with the theoretical stock price (CAPM).