A STUDY ON FUNDAMENTAL FACTORS OF STOCKS AND FUTURE RETURNS BASED ON AN ANALYSIS OF COMPANIES LISTED IN THE STOCK EXCHANGE OF THAILAND (SET) DURING 2010 – 2016
A lot of fundamental factors can be used to help to evaluate stocks. Many fundamental factors of stocks could be drawn from financial statements directly or calculated from some items in the financial statements. Some items from financial statements could imply something useful for buying decision. This study utilizes the methods of regression model, logit model, and grouping analysis to study the relationships between fundamental factors and the returns in the Stock Exchange of Thailand (SET) during periods after the subprime crisis. The findings show that the Price to Book ratio, the Dividend Yield, and the Total Assets Value have strong relationships with stock returns. The Profit Margin, the Earnings before Interest and Tax, the Book Value per Share, the Dividend per Share, the Asset Turnover ratio, and the Market Value of Equity have moderate relationships. However, there are some interesting patterns from the groups analysis such as the Price to Earnings to Growth ratio, the Operating Cash Flow, the Earnings Yield, and the Return on Equity.