The Comparative Study of Risk and Rates of Return on the Securities in Market for Alternative Investment (MAI) by Capital Asset Pricing Model (CAPM):The Case Study of CPR, UMS, BOL, NINE, AF and ARIP

Abstract

Currently, the stock price and its return have fluctuated over the time dueto the economic condition, political risk, exchange rate, interest rate and inflation. Thus, investor who wishes to invest in the stock market should consider the risk and return carefully. Although investing in the stock market generates profitable return, it creates some risks which could affect the investor’s goal.

The objectives of this study are 1)to compare risks and rate of return onsecurities in Market of Alternative Investment(MAI) and 2) to compare theexpected returnunder Capital Asset Pricing Model (CAPM) andactualreturn on securities in MAI.The securities used in this study are CPRGomuIndustrial Public Company Limited(CPR),Unique Mining Services Public Company Limited (UMS),Business Online Public CompanyLimited(BOL),NationsInternationalEntertainment Public CompanyLimited(NINE), AiraFactoringPublicCompanyLimited(AF),and ARIP Public Company Limited (ARIP). The study uses data series From Jan 1,2011 - December 31,2012(489 official working days) andCPM model toanalyze andcompare risk and rate of return. The results showed that marketreturn is equal to 0.09, securities can be Classified into2 groups. The first group which return is higher than the marketcontains3 securities:BOL, NINE, and CPR.The another group which return is lower than the market includes 3 securities: ARIP,AF, and UMS. The market is equal to 1.10 and the risk of all securities in this studyis higher than the market. Furthermore, the study finds that the beta of 2 securities (NINE and ARIP)is higher than the market while the beta of the rest (UMS, BOL, AF,and CPR)is lower than the market. From this study, if can be concluded that the investor should considerandinvest in CPR and BOL because they are undervaluedand avoidUMS, NINE, AF and ARIP due to their overvalued price.