New evidence on the value premium in Thailand

38 Pages Posted: 1 Jun 2021

See all articles by Kanis Saengchote

Kanis Saengchote

Department of Banking and Finance, Chulalongkorn Business School

Date Written: May 21, 2021

Abstract

While asset pricing models are theoretically motivated, they are evaluated empirically via factor-mimicking portfolios, so one set of empirical facts can be consistent with multiple theories, and construction methodology can influence the outcome. In an investigation of recent asset pricing models in Thailand, we find that higher dimension sorts with more frequent rebalancing (similar to the q-factor methodology of Hou et al., 2015) produce a value premium of 1.1% per month with t-statistic of 5.30, almost twice those of the Fama-French HML of 0.6% and 3.05. We show that our alternative asset pricing model with market risk, size, profitability and value factors constructed based on the q-factor methodology outperforms the Fama-French and the original q-factor models.

Keywords: empirical asset pricing model, factor construction methodology, value premium

JEL Classification: G12, G14

Suggested Citation

Saengchote, Kanis, New evidence on the value premium in Thailand (May 21, 2021). Available at SSRN: https://ssrn.com/abstract=3856044 or http://dx.doi.org/10.2139/ssrn.3856044

Kanis Saengchote (Contact Author)

Department of Banking and Finance, Chulalongkorn Business School ( email )

Bangkok, 10330
Thailand

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