One of the most challenging agenda in financial research is how to systematically explain variations in returns across different assets and securities with a “pricing model”. The Capital Asset Pricing Model (CAPM) with the “market” as a single risk factor and the Fama-French (1993) Three-Factor Model with “size” and “value” are some prominent examples. In this data library, we provide a comprehensive set of factors replicated for the Thai market. This includes the Fama-French (2018) 6 factors: market (MKT), size (SML), value (HML), operating profitability (RMW), investment (CMA), and momentum (UMD). We also provide the Hou, Xue and Zhang (2015) q-factors: market (MKT), size (ME), investment-to-asset (IA), and return on equity (ROE). Beyond these standard models, we include several other important anomalies: Illiquidity (ILLIQ) following Amihud (2002); Short-term Momentum (in Thailand, not reversal) (MOM1) following Jegadeesh and Titman (1995); Medium-term Momentum (MOM6) following Jegadeesh and Titman (1993); Total Volatility (VOL) and Idiosyncratic Volatility (IVOL) following Ang, Hodrick, Xing, and Zhang (2006); Betting Against Beta (BETA) following Frazzini and Pedersen (2014); and Behavioral Factors including Post-Earnings Announcement Drift (PEAD) and Financing (FIN) following Daniel, Hirshleifer, and Sun (2020). Data is available from July 2001 and is updated monthly.