Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed Companies
In contrarian trading, investors buy and sell loser stocks (lowest average historical prices) and winner stocks (highest average historical prices), respectively. This study examines whether (a) Thailand Sustainability Investment-listed companies outperform Stock Exchange of Thailand (SET)-listed co...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-12-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/10/12/229 |
| _version_ | 1797455375218245632 |
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| author | Parichat Sinlapates Surachai Chancharat |
| author_facet | Parichat Sinlapates Surachai Chancharat |
| author_sort | Parichat Sinlapates |
| collection | DOAJ |
| description | In contrarian trading, investors buy and sell loser stocks (lowest average historical prices) and winner stocks (highest average historical prices), respectively. This study examines whether (a) Thailand Sustainability Investment-listed companies outperform Stock Exchange of Thailand (SET)-listed companies (from 1 January 2016 to 31 December 2019) in contrarian profits, (b) the five-factor model outperforms their 1993 three-factor model in explaining contrarian profits, and (c) risk drives the earnings of contrarians. Companies were divided into portfolios of winners and losers based on the average of the daily historical prices held in various eras. The SET-listed companies perform better in generating profits. The root mean squared error and mean absolute error—measurements of model accuracy—report that the error from the three-factor model is smaller than the one from the five-factor model. Thus, the three-factor model is applied to estimate the risk-adjusted return. Zero contrarian profits after risk adjustment confirms that they are risk-driven. |
| first_indexed | 2024-03-09T15:53:30Z |
| format | Article |
| id | doaj.art-60ecd9e6259f4a15b14ae207b0732463 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-09T15:53:30Z |
| publishDate | 2022-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-60ecd9e6259f4a15b14ae207b07324632023-11-24T17:49:58ZengMDPI AGRisks2227-90912022-12-01101222910.3390/risks10120229Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed CompaniesParichat Sinlapates0Surachai Chancharat1Faculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen 40002, ThailandFaculty of Business Administration and Accountancy, Khon Kaen University, Khon Kaen 40002, ThailandIn contrarian trading, investors buy and sell loser stocks (lowest average historical prices) and winner stocks (highest average historical prices), respectively. This study examines whether (a) Thailand Sustainability Investment-listed companies outperform Stock Exchange of Thailand (SET)-listed companies (from 1 January 2016 to 31 December 2019) in contrarian profits, (b) the five-factor model outperforms their 1993 three-factor model in explaining contrarian profits, and (c) risk drives the earnings of contrarians. Companies were divided into portfolios of winners and losers based on the average of the daily historical prices held in various eras. The SET-listed companies perform better in generating profits. The root mean squared error and mean absolute error—measurements of model accuracy—report that the error from the three-factor model is smaller than the one from the five-factor model. Thus, the three-factor model is applied to estimate the risk-adjusted return. Zero contrarian profits after risk adjustment confirms that they are risk-driven.https://www.mdpi.com/2227-9091/10/12/229contrarian profitsESGriskasset pricing model |
| spellingShingle | Parichat Sinlapates Surachai Chancharat Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed Companies Risks contrarian profits ESG risk asset pricing model |
| title | Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed Companies |
| title_full | Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed Companies |
| title_fullStr | Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed Companies |
| title_full_unstemmed | Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed Companies |
| title_short | Contrarian Profits in Thailand Sustainability Investment-Listed versus in Stock Exchange of Thailand-Listed Companies |
| title_sort | contrarian profits in thailand sustainability investment listed versus in stock exchange of thailand listed companies |
| topic | contrarian profits ESG risk asset pricing model |
| url | https://www.mdpi.com/2227-9091/10/12/229 |
| work_keys_str_mv | AT parichatsinlapates contrarianprofitsinthailandsustainabilityinvestmentlistedversusinstockexchangeofthailandlistedcompanies AT surachaichancharat contrarianprofitsinthailandsustainabilityinvestmentlistedversusinstockexchangeofthailandlistedcompanies |