Viet Nam National University Ho Chi Minh City Logo

VNUHCM Journal of

Science and Technology Development

An official journal of Viet Nam National University Ho Chi Minh City, Viet Nam since 1997

ISSN: 1859-0128
Register Login
Economics, Law and Management - Research article Open Access Logo

TESTS OF THE CAPITAL ASSET PRICES AND THE FAMA AND FRENCH THREE-FACTOR MODEL FOR HANOI SECURITIES MARKET

Hieu Quang Kim 1, *
Hung Thanh Nguyen 2

  1. Southern Engineering and Shipbuilding Company
  2. University of Technology, VNU- HCM
Correspondence to: Hieu Quang Kim, Southern Engineering and Shipbuilding Company. Email: pvphuc@hcmuns.edu.vn.
Volume & Issue: Vol. 13 No. 4 (2010) | Page No.: 15-22 | DOI: 10.32508/stdj.v13i4.2183
Published: 2010-12-30

Online metrics

Statistics from the website

  • Abstract Views: 2246
  • Galley Views: 913

Statistics from Dimensions

Statistics from PlumX
Copyright © 2010 by the author(s).

This article is published with open access by Viet Nam National University, Ho Chi Minh City, Viet Nam. This article is distributed under the terms of the Creative Commons Attribution License (CC-BY 4.0) which permits any use, distribution, and reproduction in any medium, provided the original author(s) and the source are credited.

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.

Comments