| dc.description.abstract | The asset pricing behavior in the Vietnamese stock market is an interesting and important issue for both local and foreign investors. In order to investigate whether other risk factors besides the beta are relevant to determine the common variations in average stock returns, this thesis applies Carhart’s four-factor pricing model, which incorporates the momentum factor into Fama-French three-factor model, on Ho Chi Minh Stock Exchange (HoSE). 152 stocks listed on the HoSE from
2005 to 2010 are grouped into twelve portfolios formed on size, book-to-market equity, and past performance. After running the multiple regression analysis, the research confirms the model’s effectiveness for the whole testing period, though its explanatory power may vary a little bit in different market conditions and in pre- and post-crisis periods. The study also documents the success of size investment strategy
on Ho Chi Minh Stock Exchange, while the value and momentum strategies seem not
to be really successful. Careful analysis of seasonal behavior of four factors, including market risk premium, size, value, and momentum, also provides market participants with some useful guidelines to choose which month to apply the size, value, and
momentum strategies to earn abnormal returns. | en_US |
