Risk and Rate of Return On Investment in The SET 50 Index

4
()

23 ..2557
SET 50 Index
Risk and Rate of Return on Investment in the SET 50 Index
* .. **
Phawinee Charoenruaiwatthana and Dr.Chayun Pipoblabanan
1)
50 SET 50 2)

50
SET 50

50 SET 50

SET 50

3
4

: , , SET50
*
**
; E-mail: ploy_0112@hotmail.com
; E-mail: fecocyp@ku.ac.th
[287]
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Abstract
This work aim to 1) study the rate of return and risk on investment in the SET 50 Index in the
Stock Exchange of Thailand and 2) compared with those of the SET Index and the Industrial Index in order
to determine the prices that undervalued or overvalued with return and risk.
The result showed that an average monthly rate of return of the 50 securities in the studied was
found to be positive or profitable. In addition, most securities in the SET 50 Index had higher rate of
return than the SET Index. It was also found that the risk or the standard deviation of the 50 securities
were higher than those of the SET Index.
The determination of the Securities Market Line showed that the prices of most of securities in
the SET 50 Index were undervalued. For the comparison between the SET Index and the industrial Index
as a market representative for determining the prices of the securities, it was found that three industrial
groups, which are Industrials group, Property and Construction group, resulted in the same decision, and
four industrial groups, which are Agricultural and Food group, Financials group, Resources group,
Technology group, resulted in a different decision.
Key Word: Risk, Return, SET 50 Index
[288]
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3

( , 2543)
(SET Index)

SET 50
50 (Market Capitalization)
SET 50
16 ..2543 29 ..2543
0.9996 ( , 2546) SET 50
50 SET 50
1
2
1 2 SET 50
..2556 - ..2556
: Settrade (2556)
..2556 - ..2556
: Settrade (2556)
[289]
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50 SET 50
SET 50

1. 50 SET
50
2. 50 SET 50

SET 50
50
1 ..2555 30 ..2556 5
1 ..2551 31 ..2556
[290]
4
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SET 50
(Secondary Data)
(Secondary Data)
(Capital Asset Model)

50 1
1
50
(%)
(%)
(%)
SET
Industrial
SET INDEX
1.69
7.32
4.33
AGRO
2.36
6.60
2.80
CPF
4.36
10.58
2.43
Undervalued Undervalued
MINT
1.84
10.81
5.87
TUF
2.72
7.96
2.92
FINANCIALS
1.82
7.68
4.22
BAY
1.50
10.77
7.17
Overvalued
Overvalued
BBL
1.54
8.20
5.34
Fairvalued
Overvalued
KBANK
2.19
7.82
3.57
KKP
2.73
11.24
4.12
KTB
2.70
11.81
4.38
SCB
1.90
7.77
4.10
TCAP
3.03
10.70
3.53
TISCO
4.27
10.05
2.35
TMB
2.25
13.81
6.13
BLA
4.08
11.38
2.79
[291]
Fairvalued
Overvalued
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23 ..2557
INDUSTRIALS
1.59
11.04
6.95
IVL
3.08
17.95
5.84
PTTGC
1.19
8.18
6.85
1 ()
(%)
(%)
(%)
SET
Industrial
PROPERTY
2.11
8.58
4.06
CPN
3.63
12.79
3.52
LH
2.13
12.85
6.02
Overvalued
PS
3.26
15.88
4.87
SPALI
4.53
12.82
2.83
SCC
2.26
9.75
4.32
SCCC
2.24
9.23
4.11
RESOURCES
0.82
8.92
10.87
BANPU
0.20
12.33
62.84
Overvalued
BCP
2.98
10.89
3.66
EGCO
1.74
6.65
3.83
ESSO
1.36
13.72
10.11
Overvalued Undervalued
GLOW
2.26
9.24
4.09
IRPC
1.13
14.16
12.53
PTT
0.85
9.05
10.66
PTTEP
0.35
9.57
27.54
Overvalued
RATCH
1.13
7.05
6.27
TOP
1.66
12.85
7.72
TTW
1.93
6.46
3.35
SERVICES
2.48
7.00
2.82
BGH
3.14
9.24
2.95
BH
2.08
9.30
4.48
AOT
3.35
12.12
3.62
[292]
Overvalued
Overvalued
Overvalued
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BTS
3.43
17.47
5.09
THAI
1.98
15.07
7.59
Overvalued
Overvalued
1 ()
(%)
(%)
(%)
SET
Industrial
BIGC
3.15
11.05
3.51
BJC
5.10
13.47
2.64
CPALL
5.16
11.28
2.19
HMPRO
13.22
27.11
2.05
MAKRO
4.57
10.30
2.25
ROBINS
4.37
10.59
2.42
BEC
2.59
11.35
4.38
TECHNOLOGY
2.10
6.82
3.24
DELTA
2.26
12.23
5.41
ADVANC
2.75
6.85
2.49
DTAC
2.91
12.20
4.20
Undervalued Overvalued
INTUCH
3.51
8.92
2.54
JAS
8.28
20.92
2.53
TRUE
3.47
19.31
5.56
:
50 SET 50
50
SET 50
5 HMPRO, JAS, CPALL, BJC, MAKRO
50 SET 50
SET 50
[293]
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23 ..2557

7.32 SET 50
5 TTW, EGCO, ADVANC, RATCH, SCB
50
SET 50
SET 50
50
(CV) (CV)
5 HOMPRO, CPALL, MAKRO, TISCO, ROBINS

38

CPF, TUF, KBANK, KKP, KTB, SCB, TCAP, TISCO, BLA, IVL, PTTGC, CPN, PS, SPALI,
SCC, SCCC, BCP, EGCO, GLOW, RATCH, TTW, BGH, BH, AOT, BTS, BIGC, BJC, CPALL, HMPRO, MAKRO,
ROBINS, BEC, DELTA, ADVANC, DTAC, INTUCH, JAS, TRUE
(Undervalued)
9 BAY, LH, BANPU, ESSO, IRPC,
PTT, PTTEP, TOP, THAI (Overvalued)

3 MINT, BBL, TMB
(Fairvalued)

41
CPF, TUF, KBANK, KKP, KTB, SCB, TCAP, TISCO, BLA, IVL, PTTGC, CPN, PS,
SPALI, SCC, SCCC, BCP, EGCO, ESSO, GLOW, IRPC, PTT, RATCH, TOP, TTW, BGH, BH, AOT, BTS, BIGC, BJC,
CPALL, HMPRO, MAKRO, ROBINS, BEC, DELTA, ADVANC, INTUCH, JAS, TRUE
(Undervalued)
9 MINT, BAY, BBL,
TMB, LH, BANPU, PTTEP, THAI, DTAC
(Overvalued)
[294]
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3
4

SET 50

(Security Market Line SML) Harry Markowitz SET 50
(Undervalued)
SET 50 Index

1.
5 ADVANC,
TTW, INTUCH, MAKRO, TUF
2. 50 SET 50
(Undervalued) BAY, BBL,
TMB, LH, BANPU, ESSO, IRPC, PTT, PTTEP, TOP, THAI, DTAC

1.
SET 50

[295]
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2.

3.
Capital Asset Model CAPM Multifactor CAPM,
Arbitrage Pricing Theory (APT) , Fama French, (Model of the
Characteristic of Firm)
. 2543. . 3. : .
. 2546.
. 1. : . .
Settrade. 2556. Investment chart. 28 2556 http://www.settrade.com.
[296]

Risk and Rate of Return On Investment in The SET 50 Index

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