THE DETERMINANTS OF SYSTEMATIC RISK IN VIETNAM

Tung Dang-Thanh Nguyen, Anh Vo and Duc Hong Vo
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Tung Dang-Thanh Nguyen: Business and Economics Research Group, Ho Chi Minh City Open University, Vietnam
Duc Hong Vo: Business and Economics Research Group, Ho Chi Minh City Open University, Vietnam

Advances in Decision Sciences, 2019, vol. 23, issue 2, 15-36

Abstract: The capital asset pricing model is generally considered as a cornerstone in modern finance since its inception because it is extensively used in both financial management and portfolio management for estimating a return on equity. Within its framework, a systematic risk, generally termed as beta, plays an essential role. However, the determinants affecting the level of systematic risk of firms have been largely ignored in the current literature, in particular for emerging markets such as Vietnam. This paper is conducted to examine the determinants of systematic risk of listed firms in Vietnam. Data from 532 listed firms in Vietnam are used for the period from 2008 to 2017. The empirical findings from this paper indicate that financial leverage, profit margin on total assets, operational efficiency of enterprises, inflation and economic growth rate have a negative relationship with the system risk of listed firms in Vietnam whereas firm size is positively correlated with a systematic risk. The paper fails to establish a robust link between liquidity and firm growth rate and the level of the systematic risk. Robustness checks have also been conducted by utilizing analyses at the industry level of listed firms. It is the claim of this paper that empirical studies on systematic risks should be conducted at the economy wide level. Findings from this paper indicate that listed firms in Vietnam are encouraged to consider fundamental determinants to ensure that the systematic risk will not cause a major concern for their operations.

Keywords: Systematic risk; determinants; capital asset pricing model; listed firms; Vietnam (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (4)

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