Comparison between Actual Rate of Return and Expected Rate of Return Using Capital Asset Pricing Model (CAPM) of Energy and Information Communication Technology Sectors

Abstract

This research aimed to study the comparison between actual rate of return and expected rate of return using Capital Asset Pricing Model (CAPM) of energy and information communication technology sectors. The tools used in this research was a computation of expected rate of return of energy and information communication technology using CAPM according with comparison between actual rate of return and expected rate of return using CAPM of energy and information communication technology sectors. The t-test was used for statistical hypothesis testing. The population was collected from Stock Exchange Thailand report both closing price and dividend of 2 business sectors which were selected by highest market capital and dividend compared with other business sectors. The selected business sectors were Energy and Information and Communication Technology sectors. The top five highest market capitals stock in each business sector were selected which were PTT, PTTEP, GLOW, TOP, EGCO, ADVANC, TRUE, INTUCH, DTAC, and JAS. The secondary data used in this analysis was between 2nd January 2008 and 28th December 2014.

The research result found that the comparison of actual rate of return and expected rate of return using CAPM in all the sample stocks of Information and Communication Technology were not found to be significant.