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Abstract
This study aims to test the validity of CAPM in Ho Chi Minh City Stock Exchange (HOSE). Two approaches employed in testing are (1) Fama & MacBeth’s traditional approach (1973); and (2) conditional approach developed by Pettengill et al. (1995). The research uses a time-series data set of all listed companies that are available on HOSE in each sub-period within the total sample period of 1/2007 through 6/2015. The results based on traditional approach show that CAPM does not offer a good explanation of risk-return relationship in HOSE. However, when considering market conditions (up/down) proposed by conditional approach, the findings are consistent with the CAPM prediction.
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Article Details
Issue: Vol 18 No 4 (2015)
Page No.: 144-153
Published: Dec 30, 2015
Section: Economics, Law and Management - Research article
DOI: https://doi.org/10.32508/stdj.v18i4.979
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Copyright: The Authors. This is an open access article distributed under the terms of the Creative Commons Attribution License CC-BY 4.0., which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
How to Cite
Pham, M., & Bui, B. (2015). Testing capital asset pricing model (CAPM) in Ho Chi Minh City Stock Exchange (HOSE), from traditional approach to conditional approach. Science and Technology Development Journal, 18(4), 144-153. https://doi.org/https://doi.org/10.32508/stdj.v18i4.979
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