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Implementation of Reinganum's Investment Strategy in Long Term Equity Fund in the Stock Exchange of Thailand

Author

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  • Kamphol Panyagometh

    (NIDA Business School, National Institute of Development Administration, Bangkok, Thailand.)

Abstract

This research tested the investment strategy of Reinganum, which used value factors, momentum factors and size factors in the stock exchange of Thailand from 2002 to 2016. The results showed that value and momentum factors were able to excellently provide above-the-market returns, whiles size factors produced the opposite outcome. In addition, the aforementioned research findings were expanded upon by implementing Reinganum's investment strategy with long term equity fund.

Suggested Citation

  • Kamphol Panyagometh, 2017. "Implementation of Reinganum's Investment Strategy in Long Term Equity Fund in the Stock Exchange of Thailand," International Journal of Economics and Financial Issues, Econjournals, vol. 7(2), pages 492-499.
    • Handle: RePEc:eco:journ1:2017-02-64
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    References listed on IDEAS

    as
    1. Abidin Kusno & Ron Bird & Danny Yeung, 2013. "Forecasting extreme performance: The experience with Australian equities," Published Paper Series 2013-5, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Baresa, Suzana & Bogdan , Sinisa & Ivanovic, Zoran, 2013. "Strategy Of Stock Valuation By Fundamental Analysis," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, vol. 4(1), pages 45-51.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Investment Strategy; Portfolio Management; Trading Strategy;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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