A Comparison between Three Factor Model and APT Model in the Analysis of Return on Securities in Bank Sector

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Werapong Auttarat
Chaiyot Sumritsakun
Satha Waroonkun
Kulchaya Waenkaeo

Abstract

The objective of this study was to compare the suitable application of Three Factor and APT models in analyzing the predictive accuracy of the returns of the banking sector (BANK) securities listed on the Stock Exchange of Thailand. The economic factors considered in this study included consumer price index, private investment index, gold prices, Dow Jones Industrial Average, and Thai Baht to United States Dollar. These factors were tested with 11 securities in banking sector (BANK) using monthly data from October 2011 to September 2016, totaling 60 months. The results showed that Three Factor model had better ability to analyze return of securities in banking sector (BANK) than APT model as Three Factor model yielded higher Adjusted R Square than APT in all securities.

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บทความวิจัย (Research article)