| Research Title |
Zero Investment Portfolio Strategy Generates Excess Returns in ESG100 Stocks |
| Date of Distribution |
6 January 2022 |
| Conference |
| Title of the Conference |
SIBR 2022 (Tokyo) Conference on Interdisciplinary Business and Economics Research |
| Organiser |
Society of Interdisciplinary Business Research (SIBR) |
| Conference Place |
Hotel MyStays Ochanomizu |
| Province/State |
Tokyo, Japan |
| Conference Date |
6 January 2022 |
| To |
7 January 2022 |
| Proceeding Paper |
| Volume |
11(2022) |
| Issue |
1 (January) |
| Page |
t22-039 |
| Editors/edition/publisher |
Society of Interdisciplinary Business Research |
| Abstract |
This study aims to investigate whether the zero investment portfolio strategy generates higher excess returns for all listed companies in the Stock Exchange of Thailand (SET) or ESG100 stocks. The study period starts from January 2016 to December 2020, total of 60 months. The dividend yield is employed for categorizing the stock into value and growth stocks. The strategy of buying value stocks and short selling growth stocks then applied. The results showed that investing using the zero investment portfolio strategy can generate higher returns in an investment portfolio that consists of ESG100 stocks than investment portfolios that consist of all stocks in the SET. The optimal holding period for investing in investment portfolios that consist of stocks in SET are 6 months, 9 months, and 12 months and the optimal holding period for an investment portfolio that consists of ESG100 stocks is 6 months. To explain excess returns of stocks in SET, the Fama and French (2015) five-factor model is employed. There is no relation between risk factors and excess returns for the holding period of 6 months and 12 months. However, excess return is found to relation with the market risk premium factor in the opposite direction for a 9 months holding period. The excess returns of ESG100 stocks are also inversely correlated with investment factors for a holding period of 6 months. |
| Author |
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| Peer Review Status |
มีผู้ประเมินอิสระ |
| Level of Conference |
นานาชาติ |
| Type of Proceeding |
Full paper |
| Type of Presentation |
Oral |
| Part of thesis |
true |
| Presentation awarding |
false |
| Attach file |
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| Citation |
0
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Publication
Journal Publication
ไทย