The Comparisons of Risk and Rates of Return on The Energy and Utility Sector by Capital Asset Pricing Model (CAPM)

Abstract

This study aims to determine the rate of returns and risks of common stock skin the Energy and Utility Sector. By considering the relationship between the rate of return of the stocks and Stock Exchange of Thailand and using the Capital Asset Pricing Model (CAPM) to estimate the expected rate of return of the stocks. They are estimated by the daily SET data from 1 January 2011 to 31 December 2012 Total 489 days. The stocks in this study are the ESSO Public Company Limited -ESSO, PTT Public Company Limited-PTT,SOLAR TRON Public Company Limited, THAI OIL Public Company Limited, The BANPU Public Company Limited - BANPU, GLOW energy Public Company Limited-GLOW. Are represented as the risk-free rate of returns. The findings show the average monthly rate of returns The beta values of these stocks are greater than 1.0 And the expected rate of return of the GLOW is the undervalued stock and is the stock that investors can invest and the ESSO, PTT, SOLAR, TOP and BANPU are the overvalued stocks which investors should avoid to invest.