ABSTRACT
Prior research demonstrates that a composite score constructed based on historical accounting information can be used to predict future stock returns. This paper employs the composite score used in Piotroski (2000). The composite score is the sum of binary scores marked from each individual financial measure related to profitability, leverage/liquidity, and operating efficiency. This paper provides empirical evidence during 1994 to 2008 for listed firms in Thailand. Our empirical evidence suggests that a portfolio of stocks with higher score earn higher one-year and two-year ahead market-adjusted returns and that a zero-investment portfolio of longing high score stocks and shorting low score earn significant positive future market-adjusted returns for both all sample firms and a subsample of high BM firms. Our results for high BM firms are consistent with Piotroski (2000).