This study tests the stock selection concept of Value Investing in the Securities Exchange of Thailand during 2002-2012. Five financial ratios commonly used by value investors to identify stocks which provide the margin of safety are tested. The results show that portfolios with selected stocks yield higher returns than the market average. The best performance is from using price to earnings ratio. Risk, however, increases in consistent with the higher returns. It is also found that decreasing the number of stocks tends to yield better returns. In conclusion, the results of this study support the validity of value investing in the Thai stock market.