The rational asset pricing model in Vietnam

Abstract

Nowadays there are many empirical studies verifying the models of asset pricing such as the CAPM (Capital Asset Pricing Model), the Three - Factored Model (FF3), Four - Factored Model (FF4), and the testing studies on the Vietnam stock market as well as studies abroad. We selected stocks listed on Vietnam stock market which have been listed continuously at the end of 2011, stocks which have BE/ME < 0 were eliminated. Following this selection 299 stocks have been selected. This research aims to evaluate the rationality of pricing models: the CAPM, the FF3, the FF3 combined with the liquidity. The findings showed that in Vietnam context, the FF3 model is more accordant than the CAPM, the model of FF3 combined with liquidity is more coincident than the FF3 model. Thus, we suggested the Four Factored Model for the case of the stock market of Vietnam.