The objective of this study is to examine whether the four-factor model explains variation in the expected return of stocks on the Stock Exchange of Thailand. The study used individual monthly data for all stock with continuous trading on the Stock Exchange of Thailand. The study used sample data of 429 listed stocks to construct 8 portfolios bases on the industries. In this study, subject to market factors such as size, the book-to-market ratio, the market beta, and stock liquidity are taken into account. The Empirical analysis reveals that not all of the variables included in the four-factor asset pricing model are statistically significant to do affect the formation of the rate of return on stocks calculated on a monthly basis. The result shows that market beta, stock liquidity, and the book-to-market ratio has a significant increase in the rate of return on shares listed on the Consumer Products. It is therefore apparent that at least in respect of monthly analysis, the predictions of bass models in the field of modern finance theory systematic risk measured by the beta coefficient did play a significantly important role in the formation of the rate of return on the Stock Exchange of Thailand.

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The purpose of this study is to examine the volatility of the domestic corporate bond market value to changes in interest rates using duration and convexity techniques. The samples have been divided into two groups both of which have a coupon bond that pays interest semiannually. First, there is a seven-year corporate bond group. Second, there is a ten-year corporate bond group. The findings suggest that all seven-year bonds have the same level of price volatility when interest rates changes. The evidence also suggests that interest rate change effect ten-year corporate bond's price at the same level. This study concludes that, as a measure of a bond's interest rate risk, seven-year bonds tend to be less volatile when interest rates change in comparison with ten-year bonds. The duration is less than bond's maturity. The study finds evidence consistent with the typical results reported by previous studies. The price of corporate bonds move in the opposite direction of a change in interest rates, but the percentage change is not the same for all bonds.