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.