The existences of size premium and value premium in stock markets have been well studied.\nHowever, these studies mostly focus on U.S. market and have been limited in countries such as\nThailand. In the Stock Exchange of Thailand, we examined the performance of small stocks portfolios\nversus large stocks portfolios and value stocks portfolios versus growth stocks portfolios for\nthe period of 1999 through 2013. Returns on portfolios are calculated on a monthly basis. Our\nfindings are: first, there is a size premium in the Stock Exchange of Thailand and the difference\nbetween the average monthly returns is 2.02 percent; second, value stocks do not generate higher\naverage monthly returns than growth stocks and it is true for both small size stocks and large size\nstocks.
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