Details

This study aims to construct an investment portfolio within Thailand's SET100 equity market that balances returns and risks effectively. It achieves this by using a multi-factor investing model based on the Fama-French five-factor framework, supplemented with style and macroeconomic factors. Through this approach, the research seeks to create a portfolio that maximizes returns while managing risks appropriately within the specific context of the Thai equity market.

Objective

This study is motivated by the intricate nature of the Thai equity market and the inadequacies of traditional models in capturing its complexities. It seeks to fill a gap in the literature by developing multifactor investing models tailored to the Thai context, building upon the Fama-French five-factor model and integrating additional factors like style and macroeconomic variables. Through this, the research aims to enhance the model's explanatory power, providing investors with a robust decision-making tool.

Project Members

แพรมาศ ปาละรัตน์

PHRAEMAS PALARAT

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Member

พรรษชล พัทธกุลพงษ์

PATSACHON PATTAKULPONG

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Member

วรัญญู ปานจิ่ง

WARUNYOO PANJING

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Member

พิมพ์ประไพ ไทยเนียม

Pimprapai Thainiam

#อาจารย์

Advisor

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