of 425 firms listed in both the Stock Exchange
of Thailand (SET) and the Market for Alternative
Investment (mai).
This paper focuses not only the entire stock
population, but also a group of high book-to-market
(BM) stocks. BM ratio is defi ned as a firm’s book
value of equity divided by its market capitalization.
We classify high BM stocks as firms with BM ratio
above 70th percentile. Total final observations for
the entire sample and high BM stocks consist of
3,579 firm-years and 1,075 firm-years, respectively