financia 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.
Lev and Thiagarajan (1993) document
that financial signals have predictive power in
explaining contemporaneous stock returns of U.S.
firms and Abarbanell and Bushee (1998) show that
investment portfolios formed by longing high-