Scientific Papers


© CSR, 2008-2019
ISSN: 2306-3483 (Online), 2071-8330 (Print)

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Empirical evidence of profitability anomaly in the Thai stock market

Vol. 13, No 4, 2020


Yosuke Kakinuma


International College, Panyapiwat Institute of Management,


Empirical evidence of profitability anomaly in the Thai stock market



Abstract. This study presents empirical evidence of profitability anomaly in the Stock Exchange of Thailand. The effects of gross profitability, operating profitability, and cash flow-to-price (C/P) on the subsequent stock returns are examined using the data from 2002 to 2019. The results of Fama-Macbeth (1973) regression and Carhart (1997) four-factor model indicate that gross profitability and C/P have significant explanatory power for future returns but not operating profitability. Further analysis confirms that gross profitability-sorted portfolio generates the largest risk-adjusted return and C/P-sorted portfolio presents the best consistency to outperform the market. Investing in the portfolios consisted of stocks with high gross profitability and C/P provides protection from the market downside.


Received: December, 2019

1st Revision: September, 2020

Accepted: December, 2020


DOI: 10.14254/2071-8330.2020/13-4/6


JEL ClassificationG12, G15, G17

Keywordsprofitability anomaly, gross profitability, operating profitability, cash flow-to-price, emerging market