Proceedings of World Business, Finance and Management Conference
14 - 15 December 2015, Rendezvous Grand Hotel, Auckland, New Zealand
ISBN: 978-1-922069-91-7
Value Investing in the Thai Insurance Industry
Sampan Nettayanun*
This study explores the value investing strategy specifically for the insurance industry in
Thailand. It employs multiple measures of “value,” suitable for insurance companies. It finds
that value premium exists in the Thai insurance industry. Most of the “value” portfolios
constructed from these measures significantly outperform the market, even when adjusting
for price volatility and portfolio’s. The cumulative returns are also higher for the value
stocks, when compared to the “growth” stocks and the market. This value anomaly cannot be
fully explained by the capital asset pricing model.
*Dr. Sampan Nettayanun, Faculty of Business, Economics and Communications, Naresuan University, Thailand,
Email: sampann@nu.ac.th