Record Details

Rate of Return and Risk Analysis of the Insurance Securities Using Arbitrage Pricing Theory Model

WMS Journal of Management

View Archive Info
 
 
Field Value
 
Title Rate of Return and Risk Analysis of the Insurance Securities Using Arbitrage Pricing Theory Model
 
Creator Kanjananantawong, Thanachok
Vichitthamaros, Preecha
 
Subject —
Rate of Return, Risk, Insurance, economic factors, Arbitrage Pricing Theory
—
 
Description The study started with the analysis of the relationship between return on insurance securities and five economic factors, i.e. inflation, money supply, industrial production index, SET index, and saving interest rates. Then the results were applied to estimate risk from economic factors, risk premium from economic factors and the expected return on insurance securities using Arbitrage Pricing Theory (APT) model. The findings from the study can be used to support decisions to invest in insurance securities. In this study, the monthly secondary data were collected during January 2009 to December 2013. The study found that only rate of change of three factors, i.e. SET index, inflation and industrial production index, affect the change of return rate of each insurance securities at significance level of 0.05 and the securities that suggest for investment total of 11 securities, which were underpriced securities.
 
Publisher WMS Journal of Management
 
Contributor —
 
Date 2016-05-28
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Original Articles Commentary
 
Format application/pdf
 
Identifier http://www.tci-thaijo.org/index.php/wms/article/view/57733
 
Source WMS Journal of Management; Vol 5, No 2 (2016); 1-11
2286-718X
 
Relation http://www.tci-thaijo.org/index.php/wms/article/view/57733/47800
 
Rights Copyright (c) 2016 WMS Journal of Management
—