ASSESSMENT OF THE PREDICTIVE POWER OF THE FAMA-FRENCH FIVE FACTORS ON BSI, CPI AND ROE: EVIDENCE FORM THE THAI CAPITAL MARKET
คำสำคัญ:
Fama-French Five-Factor Model, Business Sentiment Index (BSI), Return on Equity (ROE), Consumer Price Index (CPI), Vector Autoregression (VAR)บทคัดย่อ
This study examines the dynamic relationship between the Fama-French Five-Factor Model and key macroeconomic and behavioral indicators in the context of the Thai capital market. Based on monthly data from January 2014 to January 2025, the analysis includes firm-level risk factors such as Market (MKT), Size (SMB), Value (HML), Profitability (RMW), and Investment (CMA) alongside macroeconomic indicators such as business sentiment index (BSI), Consumer Price Index (CPI), and Return on Equity (ROE). Using a vector autoregression (VAR) framework, the study examines the temporal causality and interdependencies between these variables.
The results show that MKT and HML have a significant impact on BSI, suggesting that business sentiment is sensitive to overall market performance and value stock returns. RMW consistently affects CPI and ROE, highlighting the central role of profitability in inflationary pressures and corporate performance. Diagnostic checks confirm the stability and robustness of the model, even though the residuals exhibit non-normality, a common feature of financial time series. The integration of BSI into the Fama-French model increases its explanatory power and provides new insights into behavioral-financial interactions in emerging markets. These results contribute to both the theoretical literature on asset pricing and practical frameworks for investment and policy formulation in volatile economies such as Thailand.
เอกสารอ้างอิง
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