Value and Liquidity Effects in the Thai Stock Market: Evidence from Fama-MacBeth Cross-Sectional Regressions and the Role of Financial Statement Consolidation Status
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Abstract
This study examines three cross-sectional return anomalies in the Stock Exchange of Thailand (SET): the value premium (proxied by price-to-book value, P/BV), an illiquidity premium (proxied by trading turnover), and whether the value premium's strength depends on financial statement type (consolidated versus company-only), as predicted by the information uncertainty hypothesis. Evidence on these anomalies in Southeast Asia remains thinner than in developed markets and has not previously been tested jointly at high frequency (Charoenwong et al., 2021; Saengchote, 2021). Weekly security-level data were retrieved via the SETSMART API for common stocks, yielding a panel of 233,584 firm-week observations from 1,045 firms across 285 weeks (January 2021-June 2026). The Fama-MacBeth (1973) two-stage procedure was applied at quarterly, monthly, and weekly frequencies. The value premium is negative and significant at the weekly frequency, strengthening as frequency increases; a one-standard-deviation difference in log(P/BV) corresponds to an estimated 4.9 percent difference in annualized return. Neither turnover nor market capitalization shows a significant relationship with forward returns at any frequency. The value premium is significant in both the consolidated and company-only subsamples, but the interaction term testing the difference between groups is not significant, offering no support for the information uncertainty hypothesis, though the smaller company-only subsample (208 firms versus 777) limits this test's power. The findings support value-based investment strategies in Thailand but lend no support to turnover-based liquidity timing, contributing new, frequency-robust evidence on the joint behavior of these anomalies in a Southeast Asian equity market.
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