Earnings forecasting in a global stock selection model and efficient portfolio construction and management: case study of Thailand

Abstract

This research selected securities using the GLER Model (the global expected returns model) and applied the results to form a Markowitz's Mean-Variance portfolio. This research utilized securities data from the Stock Exchange of Thailand (SET) from 2009 to 2019.

The study found that selecting of securities using the GLER Model (the global expected returns model) and constructing the portfolio using Markowitz's Mean-Variance Portfolio method led to better returns compared to the market return in 2019. Additionally, it was discovered that the GLER Model identified significant factors for predicting the investment return of securities, including the book-price ratio, relative cashflow-price ratio, relative book-price ratio, and price momentum.