Economics, Law and Management - Research article
TESTS OF THE CAPITAL ASSET PRICES AND THE FAMA AND FRENCH THREE-FACTOR MODEL FOR HANOI SECURITIES MARKET
- Southern Engineering and Shipbuilding Company
- University of Technology, VNU- HCM
Correspondence to:
Hieu Quang Kim,
Southern Engineering and Shipbuilding Company.
Email:
pvphuc@hcmuns.edu.vn.
Published:
2010-12-30
Abstract
This study tests the Fama-French three-factor model for Hanoi securities market, HASTC to investigate the influences of market factor, size factor and value factor on the rate of return of portfolios. The data for study was collected from 1st July, 2006 to 15th May, 2009. The study found that the three-factor model has high capability to explain the changing of portfolio’s rate of return and the market factor is the one that has the strongest effect on portfolios’ rate of return.