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Article

Choosing Factors for the Vietnamese Stock Market †

1
Faculty of Business Evaluation, Pacific International Hotel Management School, New Plymouth 4372, New Zealand
2
Department of Accountancy and Finance, Otago Business School, University of Otago, Dunedin 9054, New Zealand
3
Department of Management, Otago Business School, University of Otago, Dunedin 9054, New Zealand
*
Author to whom correspondence should be addressed.
This paper is an extended version of our paper published in Fama French Five-Factor Model: Evidence from Vietnam. In Proceedings of the 2016 New Zealand Finance Colloquium, Queenstown, New Zealand, 11–12 February 2016.
Academic Editor: Andreia Dionísio
J. Risk Financial Manag. 2021, 14(3), 96; https://doi.org/10.3390/jrfm14030096
Received: 7 February 2021 / Revised: 22 February 2021 / Accepted: 22 February 2021 / Published: 28 February 2021
(This article belongs to the Special Issue Stock Markets Behavior)
In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam. View Full-Text
Keywords: Fama–French factor model; asset pricing tests; state ownership; SOE; emerging market; Vietnam Fama–French factor model; asset pricing tests; state ownership; SOE; emerging market; Vietnam
MDPI and ACS Style

Ryan, N.; Ruan, X.; Zhang, J.E.; Zhang, J.A. Choosing Factors for the Vietnamese Stock Market. J. Risk Financial Manag. 2021, 14, 96. https://doi.org/10.3390/jrfm14030096

AMA Style

Ryan N, Ruan X, Zhang JE, Zhang JA. Choosing Factors for the Vietnamese Stock Market. Journal of Risk and Financial Management. 2021; 14(3):96. https://doi.org/10.3390/jrfm14030096

Chicago/Turabian Style

Ryan, Nina, Xinfeng Ruan, Jin E. Zhang, and Jing A. Zhang. 2021. "Choosing Factors for the Vietnamese Stock Market" Journal of Risk and Financial Management 14, no. 3: 96. https://doi.org/10.3390/jrfm14030096

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