Paper details:
Task 1. Choose the securities in Thai capital market. preferably Stock Exchange of
Thailand, at least 20 stocks.
1. using the monthly returns covering periods of 5 years to create efficient frontier
2. using weekly returns covering periods of 5 years to create efficient frontier
3. compare and discuss the results between two data frequencies used to construct the
efficient frontier
You must write the report that explains the procedures and results in detail
Task 2. Choose 100 equities in Thai capital market. Using the monthly return data
for period of 5 years to replicate the Fama-French-Carhart model. You must show the
procedure of creating factor mimicking portfolio and its result. You also need to exhibit the
regression results of your analysis. Discuss whether your result is similar to the standard
idea of Fama-French-Carhart model or not.
