Abstract
This study documents the nominal price anomaly in the Vietnamese stock market. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange from July 2009 to March 2018, we find that stocks with lower nominal price consistently yield higher abnormal returns. The negative effect persists in the long term (i.e. after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market.
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