The Analysis of Risk and Return of Health Care Service Sector in the Stock Exchange of Thailand By Using Capm Model and Fama-French 3 Factor Model

Abstract

           The objective of this research is to study the relationship between the rate of return and risk. and studying the factors that affect the rate of return, including market factors, size factor and value factor. This study is qualitative research. The data used in the study is secondary data, including closing price data of 17 securities, SET Index. Government bond yields, Market capitalization and The book to market ratio During the period of study since 2020-2022. The tool of this research is regression. The study found that The relationship between the rate of return and risk follows “High Risk High Return” assumption from CAPM, that is, when the beta value is higher or lower. Will cause the rate of return received to be higher or lower as well. Then divided according to the Fama-French method into 6 groups, it was found that the market factors affect the rate of return of the HS, MS, LS, HB, MB and LB groups. Size factors affect the rate of return of the HS, MS, LS and LB groups, and value factors affect the rate of return. of HS, MS HB and LB groups. Overall, it was found that Market factors and size factors affect the rate of return in health care services sector. The value factor, it does not affect the rate of return of securities in health care services sector.