Factors and anomalies in the Vietnamese stock market

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.