Choosing factors for the Vietnamese stock market

Artikel

In this paper, we test the applicability of different Fama-French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 14 ; Year: 2021 ; Issue: 3 ; Pages: 1-23 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: asset pricing tests ; emerging market ; Fama-French factor model ; SOE ; state ownership ; Vietnam

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Ryan, Nina ; Ruan, Xinfeng ; Zhang, Jin E. ; Zhang, Jing A.
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/jrfm14030096
• Handle: http://hdl.handle.net/10419/239512
• Last update: 10.03.2025, 11:44 AM CET