Thesis (M.S.)--Chulalongkorn University, 2015

This study examines the style trading behavior of 4 investor types in Stock Exchange of Thailand during 1999-2013. This study aims to identify two questions. First, do investors employ style trading strategy as one of their trading strategy? Second question is investors have their specific preference style or not. By categorizing stocks into 3 style dimensions: size, value/growth, and momentum, the evidence is found that style trading strategy is used by all type of investors. Furthermore, after comparing each type of investor’s style position with benchmark, evidence is found that each type of investor has their own preference style. Foreign investors prefer to invest in medium size, value, and lowest past return stocks. On contrary, institutional investors prefer to invest in large size, value, and highest past return stocks. Proprietary and individual investors prefer to trade in growth and lowest past return stocks. However, proprietary traders prefer to trade in medium size stocks while individual investors prefer to invest in small size stocks.