The Comparisons of Risk and Rates of Return of Securities in the Energy And Utility Sector by Capital Asset Pricing Model (CAPM)

Abstract

The purpose of this study is 1.) To comparative study of risk and rates of return on securities in the Energy And Utility Sector and market rates of return by CAPM Model. 2.) To comparison of the required rate of return and expected rates of return for securities in the Energy And Utility Sector by CAPM Model. The securities in the study are in the Energy And Utility Sector on the stock exchange of Thailand. For example: Ekarat Engineering Public Company Limited (AKR), The Electricity Generating Public Company Limited (EGCO), MDX Public Company Limited (MDX), Siamgas and Petrochemicals Public Company Limited (SGP), Thai Tap Water Supply Public Company Limited (TTW) and Bangkok Aviation Fuel Services Public Company Limited (BAFS). The research was collected the secondary data from January 1, 2011 till December 31, 2012 and the total period of 359 official working days based on Capital Asset Pricing Model (CAPM).
The result founded that, securities in the Energy And Utility Sector it has 4 securities investors should be invested in. Include EGCO, MDX, TTW And BAFS. That mean these stocks are undervalued stocks. While, securities in the Energy And Utility Sector it has 2 security investors should not invest is AKR And SGP. This mean these securities are overvalue securities.