This study explores the investment behavior of Thailand’s institutional investors. A comparison is made between property development shares and property funds. An experiment was conducted on the Stock Exchange of Thailand (SET) from June 2008 to June 2012. However, the findings of this study are expected to be generalized across other emerging markets that are mostly dominated by retail investors. The Generalized Least Squares regression method is applied to limit the threat from small market capitalization characteristics of the sample. The study finds that: (1) trading volume of property funds leads to the market price premium of their net asset values (NAVs); (2) institutional investors’ holding of property development shares encourages the market price of these stocks to be higher; (3) institutional investors prefer to make their investment decisions based on the discounted market price of property funds rather than the net asset value of the property funds. The results imply that higher liquidity yields a higher premium price on book value or net asset value. Another implication is that projected cash flows of financial assets that represent their current price are more important than their present net asset value. Finally, free float and the existence of institutional investors positively affect financial asset prices.