This research aims to investigate alternative investment illiquidity stocks in an emerging market, the Stock Exchange of Thailand. The new sample, illiquidity stocks, is evaluated by the ranking of stock trading volume from 2011 to 2012. Data screening yielded 163 listed companies. The OLS model is applied with quarterly data for the study period from 2011 to 2014. Because of the reflection between ROE and TOBIN Q, the usage of the OLS model might lead to biased results due to the autocorrelation of the variables. Thus the TSLS model is applied for the final prediction. The results of the study may be important; in the case of stocks with low liquidity, shareholder wealth depends on investor choice as to whether they prefer a quick payment as a dividend yield, or whether to wait to receive the return from company reinvestment in the future. The regulators could apply the results in decisions about free float criteria. Alternative investment could be supported by encouraging the issue of stock analysis reports.