INTRODUCTION
One of the most controversial issues in today’s investment world is the challenge posed to the value of fundamental analysis as a reliable tool to reach profitable investment decisions. Despite it being supported by numerous studies as a useful means of stock trading, the fundamental analysis has raised many questions relating to the efficient market hypothesis (EMH). According to EMH, one cannot exploit both the historical and publicly available information to gain profits if a stock market is semi-strong form efficient. Specifically, if the stock market is efficient, no profitable trading strategy can be formed based on published financial statements. However, the fact that (1) numerous studies 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 historical 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.