Value Investing: Circle of Competence in the Thai Insurance Industry

Nettayanun Sampan ()
Additional contact information
Nettayanun Sampan: Department of Business, Economics and Communications, Naresuan University, 99 Moo 9 Taphoe, Phitsanulok, Mueng 65000, Thailand

Asia-Pacific Journal of Risk and Insurance, 2017, vol. 11, issue 1, 33

Abstract: This study explores the strategy of value investing, specifically for the insurance industry in Thailand. It employs multiple measures of “value,” suitable for insurance companies, such as the price-to-earning (PE), price-to-book (PB), and cyclically adjusted price-to-earnings (CAPE). Value premium exists in the Thai insurance industry, and most of the value portfolios constructed from these measures significantly outperform the market, even when adjusting for price volatility and portfolio’s β$\beta $. The cumulative returns are also higher for the value stocks, when compared to the growth stocks, and the Thai stock market. Constructing a value portfolio, using the PE ratio, results in the highest returns and is far better than PB and CAPE. The value anomaly cannot be fully explained by either the capital asset pricing model or the Fama-French three-factor models.

Keywords: value investing; portfolio management; circle of competence; risk management; insurance; property & casualty insurance; life insurance (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/apjri-2016-0019 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:apjrin:v:11:y:2017:i:1:p:33:n:2

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/apjri/html

DOI: 10.1515/apjri-2016-0019

Access Statistics for this article

Asia-Pacific Journal of Risk and Insurance is currently edited by Michael R. Powers

More articles in Asia-Pacific Journal of Risk and Insurance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().