Size and Value in the Stock Exchange of Thailand

Abstract

The existences of size premium and value premium in stock markets have been well studied. However, these studies mostly focus on U.S. market and have been limited in countries such as Thailand. In the Stock Exchange of Thailand, we examined the performance of small stocks portfolios versus large stocks portfolios and value stocks portfolios versus growth stocks portfolios for the period of 1999 through 2013. Returns on portfolios are calculated on a monthly basis. Our findings are: first, there is a size premium in the Stock Exchange of Thailand and the difference between the average monthly returns is 2.02 percent; second, value stocks do not generate higher average monthly returns than growth stocks and it is true for both small size stocks and large size stocks.