การศึกษาผลกระทบของความเสี่ยงที่มีต่อผลตอบแทนของบริษัทจดทะเบียนในตลาดหลักทรัพย์แห่งประเทศไทย: กรณีศึกษาเปรียบเทียบระหว่าง แนวคิดมูลค่าทางบัญชีและแนวคิดมูลค่าตลาด

Risk Influencing on Return of Listed Companies on the Stock Exchange of Thailand: Comparison Study Between Accounting-Based Approach and Marketing-Based Approach

Abstract

The purpose of this research was to examine the effect of risk on return based on  accounting-based approach and marketing-based approach.  Whereas market-based data rely on supply and demand in financial market have explanatory power to firm’s return lower or higher than accounting data.  This study focuses on risk factors due to providing high reflection on the Global changes.  Secondary data were employed in terms of financial position statement, comprehensive profit and loss statement and closed price of common stocks for firms listed on the Stock Exchange of Thailand, including 2 sectors: industrial sector and service sector during 2011 – 2015. Statistics used was  multiple regression for aggregated analysis and individual analysis. The results of hypothesis testing revealed that accounting-based risk factor and maeketing-based risk factor  provided a different effects. In regards to explanatory power, accounting-based risk factor can explained return on asset at R² 16.98 percent and increased to 18.55 percent after adding marketing-based risk factor and reverse results for marketing-based risk factor. This reflected that   accounting-base risk factor was not enough to explain firms’ accounting and marketing return. Depth insight, debt ratio played a key role on return on assets at the statistical significance 0.01. Howler, debt ratio provided negative relation. VaR had a positive relation to market-based returns at the statistical significance 0.01, which was consistent with capital asset pricing model theory.