Economics at your fingertips  

Is Liquidity Priced in the Vietnamese Stock Market?

Lai Trung Hoang and Trang Thu Phan

Economic Papers, 2019, vol. 38, issue 3, 193-207

Abstract: This study examines whether liquidity is priced in the Vietnamese stock market. We show that stock liquidity is an important factor that should be taken into consideration in pricing stock returns. Explaining power of asset pricing models is improved after the inclusion of liquidity factor. In addition, while Fama and French's (1993) three factors are significant in the Vietnamese stock market, Carhart's (1997) momentum factor has very little effect. We also document that among various competing asset pricing models, the liquidity four‐factor model which includes market excess return, size, value and liquidity factor is the best model in the Vietnamese stock market. The results are robust to different measures of liquidity, as well as to both up‐ and down‐market conditions.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0812-0439

Access Statistics for this article

Economic Papers is currently edited by Professor Guay Lim

More articles in Economic Papers from The Economic Society of Australia Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2021-05-12
Handle: RePEc:bla:econpa:v:38:y:2019:i:3:p:193-207