However, the fact that (1) numerous academic researchers find that the fundamental analysis is a useful tool to predict future earnings and stock returns; and (2) financial ratios have long been employed by investors and financial analysts for fundamental analysis, have raised a question relating to the usefulness of accounting information to predict future stock returns. This question may have been extensively addressed in developed countries, but little has been done on emerging markets,and even if there have recently been some findings, the results are neither solid nor reliable due to the limited numbers of samples. Therefore, this paper aims at examining whether historical accounting information can be used to predict future stock returns for Thai stock markets.