การเปรียบเทียบแบบจำลอง CAPM และ APT ในการอธิบายความสามารถในการทำนายผลตอบแทนหุ้น / วีระ ชวลิต = Comparison between CAPM and APT to explain the predictability of stock return / Veera Chawalit
This thesis aims to compare the prediction power of CAPM (Capital Asset Pricing Model) with APT (Arbitrage Pricing Theory Model) on stock returns. Moreover, the thesis studies the affect of the economic risk variables to stock returns. The economic risk variables include term of trade , oil price, MSCI, consumer price index, inter-bank rale, money supply and exchange rate (Bath/US$). This study uses monthly data. The data are separated into 2 periods which are from January 1994 to December 1996 and from January 1997 to May 2000. The results show that CAPM can not explain the stock returns in all industries in both periods. Prom January 1994 to December 1996, APT can not explain the stock return in all industries. However, APT can explain the stock returns in the second period. The economic factor that affects the stock returns in all industries is money supply. Term of trade affects the stock returns in banking sector, and consumer price index affects the stock returns in banking sector, communication sector and energy sector. The study can conclude that APT is more efficient than CAPM in predicting the stock returns in all industries and in both periods.