4

()

23 ..2557

Rate of Return and Risk of Property Funds Investment in Thailand

*, .. **
Nuttanun Leekpai, Dr. Jeerasak Pongpisanupichit

2550
2555

2551 2555

*
**

; E-mail: pleonzz@hotmail.com
; E-mail: fecojep@kps.ku.ac.th
[269]

23 ..2557

ABSTRACT
This study attempts to compare dividend yields and risk between property funds and stocks and
to compare return rate and risk between freehold and leasehold funds by using monthly data during the
period 2007-2012. Furthermore, the study also analysis factors affecting return rate of freehold and
leasehold funds during the period 2008 2012 by employing regression analysis.
The results of this study reveal that dividend yields and risk of property fund are higher than
stocks and return rate, risk and performance of leasehold funds are higher than freehold funds. Results of
regression analysis show that gross domestic product growth, percentage change of SET index and part
investment effectiveness significantly affected return rate of freehold funds while change of policy
interest rate, percentage change of SET index and part investment effectiveness can affected leasehold
funds.
Therefore, investors who focus at dividend yields are recommended to invest in property funds.
On the other hand, dividend stocks are suitable for those who have the greater risk aversion of dividend
return fluctuations. And results show that return rate and performance of leasehold funds are better than
freehold funds.
Key Word: Property Funds

2 (
, 2556) (freehold)
(leasehold)


2

1.

[270]

23 ..2557
2.
(freehold) (leasehold)
3.
(freehold) (leasehold)

1

SET High Dividend 30 Index (SETHD)
40
.. 2552-2555

(freehold) (leasehold)
.. 2550-2555 72 freehold leasehold
(leasehold freehold)
(freehold)
(leasehold) ..2551
..2555 54 17
(freehold) 7 (leasehold) 10

(2544)
2540 2543
Jensen, Treynor, Sharpe Treynor Black
Treynor Sharpe
Jensen Treynor Black

(2553)
.. 2546 .. 2552
(Multiple Linear Regression) 1. 2.
3. 12 4. 5.
6. 7. 8. 9.
10 10. 11. 12.
1 2
[271]

23 ..2557

10


(2551)
(property fund) 13
.. 2549 .. 2550
(Ordinary Least Square: OLS) Fixed Effect Model
GDP

(private investment index)

1
10

(Secondary Data)


(Descriptive Analysis)
(Quantitative Analysis)
1. 1 40

SETHD 30
2. 2
freehold leasehold
4 (1) Jensen (2)
Treynor (3) Sharpe (4) Appraisal ratio
3. 3
(Multiple linear regression) Ordinary Least Square (OLS)

[272]

23 ..2557

(SETHD)
90

(freehold)
(leasehold)

leasehold freehold

leasehold freehold

(leasehold)
(freehold) 1
1 (freehold)
(leasehold)

(NAV)

Jensen
Treynor
Sharpe
AR

Leasehold

Leasehold

Leasehold
Leasehold
Leasehold

(freehold) (leasehold)
2 1 7

(RF-RF(-1)) 2 Adjusted R-squared (
2)

[273]

23 ..2557
freehold
90 95 99
3 7
leasehold 63.41
(RL-RL(-1)) 4 Adjusted
R-Squared 0.6668 3

90, 99 95
2 freehold leasehold

1
2
3
4

I
0.4013
-0.0184
-3.2464
-3.4430*
INF
0.4751
0.1334
0.7341
1.1034
GDP
0.1972
0.2372**
0.0545
0.0766
REER
0.3623
0.2088
-0.1267
-0.0724
SET
0.0985**
0.0696*
0.3520***
0.2549***
OIL
-0.0449
-0.0071
-0.0632
-0.0311
GOLD
-0.0412
-0.0304
0.0890
0.0480
(RF-RF(-1))
0.4824***
(RL-RL(-1))
0.2459**
Adjusted R-squared
0.0617
0.5765
0.6341
0.6668
: 1: RF = b0 +b1I + b2INF + b3GDP + b4REER + b5SET +b6OIL + b7GOLD
2: RF = b0 +b1I + b2INF + b3GDP + b4REER + b5SET +b6OIL+ b7GOLD+ b8(RF-RF(-t))
3: RL = b0 + b1I + b2CPI + b3GDP + b4REER + b5SET + b6OIL + b7GOLD
4: RL = b0 +b1I + b2INF + b3GDP + b4REER + b5SET +b6OIL+ b7GOLD+ b8(RL-RL(-t))
RF = (freehold)
RL = (leasehold)
I =
INF =
GDP =
REER =
SET =
OIL =
GOLD=
(RF-RF(-1))= freehold
[274]

23 ..2557
(RL-RL(-1)) = leasehold
* 90
** 95
*** 99
:

1.

2. leasehold
freehold leasehold
freehold
leasehold freehold
3.
freehold 3


leasehold 3

1. (2553)


10
10
1 2
1

[275]

23 ..2557
2. (2551)
(property fund)

1.

2. leasehold
freehold
leasehold leasehold


3. freehold

leasehold

. 2544.
. ,
.

[276]

23 ..2557
. 2553. .
, .
. 2551.
(property fund).
.
. 2552. (online).
http://www.sec.or.th/investor_edu/Content_0000000580.jsp?categoryID=CAT0000030&lang=th, 23
2556.

[277]