การเปรียบเทียบประสิทธิภาพในการอธิบายผลตอบแทนของหลักทรัพย์ระหว่างแบบจำลองสี่ปัจจัยและแบบจำลองเจ็ดปัจจัยดัดแปลงในตลาดหลักทรัพย์แห่งประเทศไทย

Abstract

The purpose of this study is to test and compare the performance of explaining asset returns between a four-factor model and a modified seven-factor model in the Stock Exchange of Thailand. The study creates a testing portfolio from the monthly returns of listed companies in SET, from March 2016 to March 2021, using value-weight to calculate monthly return. The comparison method is regression analysis, and the constant alpha is tested to determine if it is significantly zero by using the Gibbons, Ross, and Shanken Test (GRS Test). The test results show that the most effective factor in explaining the return of the testing portfolio is the excess market return factor (Rm-Rf), which can significantly explain the return of the testing portfolio with a 99% confidence level. Moreover, the regression analysis indicates that the Seven-Factor Model's R2 and Adjusted R2 are higher than those of the Three-Factor Model and the Four-Factor Model. Additionally, in terms of creating a non-zero constant return, neither the Four-Factor Model nor the Seven-Factor Model significantly creates a non-zero constant return, except for the Three-Factor Model, which creates a non-zero constant return with 99% confidence.