Chulalongkorn University Theses and Dissertations (Chula ETD)

Other Title (Parallel Title in Other Language of ETD)

ราคาเป้าหมาย อัตราส่วนพีอี และคุณสมบัติที่เกี่ยวข้องของการให้ความสำคัญต่อสองสิ่งนี้ของนักลงทุน

Year (A.D.)


Document Type

Independent Study

First Advisor

Roongkiat Ratanabanchuen


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





Several studies have studied the return and liquidity characteristics of target price and P/E ratio trading strategy. Many previous literatures found that investors tend to pay attention to stocks with high target price expected return (TPER) and low P/E stocks. This paper tries to study further from those the previous literatures so it will examine whether investors in Thailand exhibit the attention characteristics to target price more than P/E ratio. Moreover, this paper finds investment implication of creating abnormal returns from TPER trading strategy in Thailand stock market. In this study, several approaches have been applied which are Fama-French (1993) to capture the abnormal stock return, Amihud (2002)’s illiquidity ratio and double sorted portfolios to study stocks’ liquidity premium and control for liquidity factor, respectively. This paper found that using the TPER trading strategy can outperform P/E ratio trading strategy in the first month after the TPER information is released in each year. Moreover, only high TPER stocks have liquidity premium but the liquidity premium is not a factor that make TPER outperform P/E ratio trading strategy. Finally, this paper finds that TPER trading strategy can provide abnormal return for investors even after controlling for size, value and liquidity factor.



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