Momentum Versus Value Investment Strategy: Evidence from The Financial Sector in The Stock Exchange of Thailand
Momentum Versus Value Investment Strategy: Evidence from The Financial Sector in The Stock Exchange of Thailand
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2018-05-25
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eng
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International Conference on Entrepreneurship and Sustainability in the Digital Era ICESDE 2018 Assumption University of Thailand May 25, 2018
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Abstract
This research studied the comparative performance between momentum versus value investing strategies
in the Financial sector in Stock Exchange of Thailand (SET) during 2010 to 2012. The study found that
the momentum strategy was able to generate superior portfolio returns in comparison to the return on the
SET Index and the return from value strategy portfolio for 9 periods out of 12 measurement periods,
while value investing strategy generated superior return for 4 periods out of 12 periods. This study
provided evidence to support momentum strategy in Financial Industry at the Stock Exchange of
Thailand.
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