The Cross-Section of Expected Stock Returns: New Evidence from an Emerging Market

Thach Pham (), Vuong Minh Nguyen and Duc Hong Vo

Emerging Markets Finance and Trade, 2018, vol. 54, issue 15, 3566-3576

Abstract: Over 300 factors have been found to explain the cross-section of expected stock returns. Empirical studies also show that findings from multifactor asset-pricing models have not been consistent in an emerging market. Using DuPont analysis and a residual income valuation model for 284 nonfinancial companies on Ho Chi Minh Stock Exchange during the period 2008–2014, findings suggest that the return on equity and its change are informative for stock returns in Vietnam. In addition, the level of capital turnover, financial cost ratio (FCR), and changes in capital and in the FCR contain incremental explanatory power for stock returns.

Date: 2018
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DOI: 10.1080/1540496X.2018.1433031

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