The Comparisons of Risk and Rates of Return on the Securities among the Capital and Securities Sector in Financial industry by Capital Asset Pricing Model (CAPM) : The Case Study of KCAR, OSK, UOBKH, ASP, FSS and KGI

Abstract

This research has objective of 1) To comparison study risk and compensation has acquired by finance business group, capital section and security, risk and compensation has acquired of market, 2) To comparison study of incurred compensation and anticipated compensation of security for finance business group, capital and security section under model of specify security price of CAPM, which security of this study is security of finance business group, capital and security group has registered in Security Market of Thailand for 6 securities. For example, Krungthai Car Rent& Lease Public Company Limited (KCAR), OSK Security (Thailand) Co., Ltd., UOBK Hian Security (Thailand) Public Company Limited (UOBKH), Asia Plus Security Public Company Limited (ASP), Finansia-Syrus Security Public Company Limited (FSS) and KGI Security (Thailand) Public Company Limited (KGI). This study has started from 1 January, 2011 until 31 December, 2012, tool of this study is analysis from CAPM theory (Capital Asset Pricing Model). Result of study found that risk of security for finance business group, capital and security section, all of these are higher risk than market risk of security market is equally as 1.327. When compared with risk of security for finance business group, capital and security section. For rate of compensation has equally as 0.066 compared with risk of security on finance business group, capital and security section has divided into 2 groups; security is higher compensation than market only security is OSK and lower than market have 5 securities; UOBKH, ASP, KCAR, FSS and KGI. Comparison beta-coefficient of security in finance business group, capital and security section has 5securities has Beta Coefficient;  is positive. Namely, rate of compensation of security is changing in same direction with rate of compensation of market, such as KGI. For security has Beta Coefficient;  is negative, namely, rate of security compensation is changing in opposite direction with rate of compensation such as OSK. From division risk found that all of securities has risk is less system than risk of non-system, when lead incurred rate of compensation (Ri) with rate of compensation has anticipated as theory CAPM (E(Ri)) was compared. Appeared that security had decision by investor has 2 securities; KCAR and OSK, security is not decision for 4 securities are UOBKH, ASP, FSS and KGI.