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Factors and anomalies in the Vietnamese stock market

Author

Listed:
  • Huang, Xiangqian
  • Liu, Clark
  • Shu, Tao

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.

Suggested Citation

  • Huang, Xiangqian & Liu, Clark & Shu, Tao, 2023. "Factors and anomalies in the Vietnamese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    • Handle: RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002470
    DOI: 10.1016/j.pacfin.2023.102176
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    More about this item

    Keywords

    Vietnamese four-factor model; The VN-4 model; Vietnamese stock market; Factors; Anomalies; Turnover;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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