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CAPE Ratio as a Prediction Tool for the Stock Exchange of Thailand (SET) |
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| รหัสดีโอไอ | |
| Creator | Budsabawan Maharakkhaka |
| Title | CAPE Ratio as a Prediction Tool for the Stock Exchange of Thailand (SET) |
| Contributor | Boonyachote Suteerawattananon, Sirikarn Tirasuwanvasee, Sutatt Ramasoot |
| Publisher | Stamford International University |
| Publication Year | 2566 |
| Journal Title | ASEAN Journal of Management & Innovation |
| Journal Vol. | 10 |
| Journal No. | 1 |
| Page no. | 42 - 57 |
| Keyword | Shiller PE, Cyclically Adjusted PE, CAPE ratio, The Stock Exchange of Thailand |
| URL Website | http://ajmi.stamford.edu |
| Website title | AJMI -ASEAN Journal of Management & Innovation |
| ISSN | 2351-0307 |
| Abstract | This study investigates the predictability of the Cyclically Adjusted Price-Earning (CAPE) ratio (or Shiller PE ratio) on the returns of the Stock Exchange of Thailand (SET), currently the second largest capital market in South-East Asia. Most empirical research studies on the CAPE ratio performance focus on the U.S. equity market and very few on the Thai capital market; hence this research study. Using regression models and cointegration analyses, this paper examines the ability of the CAPE ratio to forecast returns as compared to the ability of the price-earnings ratio and the book-to-value ratio, respectively. The regression estimation shows no significant relationship between the CAPE ratio and the real future returns on the SET. The cointegration analysis, however, reveals a significant long-term cointegration relation between the ratio and the returns on the SET. Among the three ratios considered in the study, the price-earnings ratio is the only one that has a significant relationship with the returns in the regression model. All three ratios show a significant cointegration relation with SETs returns. |
