Ứng dụng mô hình định giá tài sản năm yếu tố để giải thích tỉ suất sinh lợi cổ phiếu trên thị trường chứng khoán Việt Nam

Authors

  • Võ Xuân Vinh Trường Đại học Kinh tế TP.HCM, Trung tâm Pháp Việt Đào tạo về Quản lí TP.HCM Author
  • Đặng Quốc Thành Ngân hàng TMCP Xăng dầu Petrolimex Author

DOI:

https://doi.org/10.24311/jabes/2016.27.10.1344

Keywords:

Capital Asset Pricing Model, Five Factor Model, Three Factor Model, Fama-French, CAPM

Abstract

Capital asset pricing is an important topic in finance. This paper uses the Fama and French’s (2015) five-factor model for explaining stock returns in Vietnam’s stock market. We use a dataset of firms listed on the Ho Chi Minh City Stock Exchange for the period from 2007 to 2014. The results indicate that the market risk premium of CAPM is the best to explain stock returns in the Vietnam’s stock market.

References

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Published

2016-10-31

Issue

Vol. 27 No. 10 (2016): 27(10)

Section

Articles

License

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How to Cite

Võ Xuân Vinh, & Đặng Quốc Thành. (2016). Ứng dụng mô hình định giá tài sản năm yếu tố để giải thích tỉ suất sinh lợi cổ phiếu trên thị trường chứng khoán Việt Nam. JOURNAL OF ASIAN BUSINESS AND ECONOMIC STUDIES, 27(10), 04-18. https://doi.org/10.24311/jabes/2016.27.10.1344