This research explores the strategy of value investing, specifically on the technology industry in Thailand, to find out the performance of value investing strategy. There are numerous researches on testing value investing in the most cases showed that value investing outperforms growth investing. This research employs multiple measures of “value”, suitable for technology industry, such as the Price-to-Earnings (P/E) and Price-to-Book (P/BV) ratios to constructed value investing portfolios and growth portfolios by using historical stock data from Stock Exchange of Thailand in period covered 10 years, from July 2008 to June 2018.
All of value portfolios constructed by measurements as low P/E and low P/BV ratios significantly outperformed growth portfolios with high P/E and high P/BV ratios and also did better than Stock Exchange of Thailand market by using SET index. The cumulative returns are also higher for the value stocks, when compare to the growth stocks, and the Stock Exchange of Thailand. The value portfolios using the P/BV ratio had the highest return and were better than the portfolios with low P/E, high P/BV and high P/E ratios. The value anomaly can be partially explained by the Capital Asset Pricing Model (CAPM) in 3 portfolios as P/BV (value), P/BV (Growth) and P/E (Growth) which, only P/E (Value) portfolio that not be able to capture the value anomaly and each portfolio can be explained by the Fama-French three-factor model.
Keywords: value investing, growth investing, circle of competence, technology stocks