The Thai stock market is a relatively new one for western standards but among East Asian countries it has some of the longest track records. As a reflection of that is the fact that currently there are MSCI indexes covering subsectors in the Thai market such as the MCSI Thailand Value Index and the MSCI Thailand Growth Index. Nevertheless, there is clearly substantially less research covering the Thai stock market than developed markets. The Thai stock market seems to have some of the effects present in other market such as the small size effect. Given the differences between the Thai stock market and the U.S., where value investment was first proposed, it is not immediately evident if it would behave in the same way. The U.S. market has characteristics that are very different from the Thai market such as for instance a much larger size, number of listed stocks, and investor base. Another obvious difference is that the Thai market has a much longer track record and hence a shorter time to mature. In one of the very few articles covering the issue of the value investing in the Thai stock market concluded that there was an outperformance of value stocks. The author used PEG value for his comparison using data from 1999 to 2010. This article constructed portfolios selected after filtering for PEG ratios rather than use commercially available indexes. Our results are similar to those of when using available indexes but not when portfolios are created using individual stocks and criteria such as the PE ratio.