Active portfolio management using cross-sectional dispersion : evidence from Thailand

Name: Pasakorn Chawapongsakorn

keyword: Cross-sectional dispersion

; Active portfolio management

; Portfolio management

Abstract: In this study, I tried to prove whether I could outperform SET50 index by using cross-sectional dispersion. Data was brought from analyst target price in order to find expected return then using cross-sectional dispersion to find weight of each stock. This study has 4 portfolios to test about formation period data and event driven strategy, which is one of method that uses top deciles cross-sectional dispersion as a component to create portfolio. As for event period, it used last year target price data, which was a set period in analyst research target price duration. From this study, I found that 1-year formation period underperform the market, while latest 3 months target price outperform the market in cumulative return in both event driven strategy portfolio and every stork portfolio, but only portfolio with every stock has significant positive alpha

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Arnat Leemakdej

Role: advisor

Created: 2015

Modified: 2021-10-15

Issued: 2021-10-15

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2015.256

eng

DegreeName: Master of Science

Level: Master's Degree

Descipline: Finance

Grantor: Thammasat University

©copyrights Thammasat University

ลำดับที่.	ชื่อแฟ้มข้อมูล	ขนาดแฟ้มข้อมูล	จำนวนเข้าถึง	วัน-เวลาเข้าถึงล่าสุด
1	4634pasakorn.pdf	992.26 KB	1	2021-10-20 17:25:18

ใช้เวลา

0.038667 วินาที