Factors and anomalies in the Vietnamese stock market

Xiangqian Huang, Clark Liu and Tao Shu

Pacific-Basin Finance Journal, 2023, vol. 82, issue C

Abstract: We conduct a comprehensive analysis of factors and anomalies in the Vietnamese stock market. Our analysis indicates that the size effect is significant in Vietnam, and the earnings-to-price (EP) ratio outperforms the book-to-market ratio in capturing the value effect in Vietnam. Furthermore, we find that a three-factor model, which includes a market factor, a size factor, and an EP factor (the VN-3 model), outperforms the Fama-French three-factor model, but still leaves significant alphas for many anomalies. To enhance the explanatory power of the model, we introduce a Vietnamese four-factor model (the VN-4 model), which incorporates a factor based on twelve-month turnover into the VN-3 model. We find that the VN-4 model effectively explains most of the anomalies observed in the Vietnamese market.

Keywords: Vietnamese four-factor model; The VN-4 model; Vietnamese stock market; Factors; Anomalies; Turnover (search for similar items in EconPapers)
JEL-codes: G12 G14 G15 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002470

DOI: 10.1016/j.pacfin.2023.102176

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