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This article aims to study the relationship between financial ratios and stock prices of the companies listed on the Stock Exchange of Thailand (SET). By using 14 financial ratios published by the SET, the results of 344 samples show that the changes in stock price depends mainly on the changes of stock prices in the past. The average result of the impacts from the past returns is up to 96% and only 4 percent from other financial ratios. The results of the analysis do not support the efficient market theory at both weak and semi-strong form. The results of the study indicate that the use of technical analysis may be superior in predicting stock prices, comparing to the use of fundamental analysis.
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