An Evaluation of Return and Risk Based on Investment Period and Economic Condition: A Case Study in the Stock Exchange of Thailand

Abstract

A purpose of this research is made for creating and suggesting stock selection strategy for investment based on investment period and economic states. The strategy was created from comparing ROA, PBV, and PE ratio between each company from SET and the mean / median of the business. And then will create portfolio based on Markowitz's theory. The results of the study showed that short-term investors who can accept risk taking in low level, and high medium to very high level are suggested to use the stock selection strategy of group 3. Investors who can accept risk taking in low medium level are suggested to use the stock selection strategy of group 25. For investors who have holding period stocks 5 and 10 years are suggested to use stock selection strategy of group 3 which is the only group generating the highest return in every risk level acceptance. For part of stock selection strategy based on economic states. If economic condition is expanding, investors who can accept risk taking in low medium to very high level are supposed to use stock selection strategy of group 35 and ought to choose group 11 for low risk level. Under the economic slowdown condition, investors who can accept risk taking in high to very high level are suggested to use the stock selection strategy of group 19. Other investors who can accept risk taking in low to high medium level are suggested to use the stock selection strategy of group 31 which can generate the highest return.