The value premium in the Vietnamese equity market
DOI:
https://doi.org/10.15549/jeecar.v11i1.1549Keywords:
value premium, asset pricing models, efficient markets, VietnamAbstract
In recent decades, the Efficient Market Hypothesis has been the subject of debate among professionals and academics. In this hypothesis, the value premium is a key aspect that challenges market efficiency. The main objective of this study is to comprehensively investigate the value versus growth anomaly in the Vietnamese market between 2013 and 2023. Based on the empirical data, value portfolios have yielded a greater average return than growth portfolios in the Vietnamese stock market during this period. Although their levels of market risk (measured by beta) are nearly the same, the added-risk level of value portfolios is substantially higher than growth portfolios. Therefore, the value premium in Vietnam is compensated for bearing a higher risk level, consistent with the risk-based explanation.
References
Abo, R.M. (2022). The long-term effects of section transfers on return volatility: Intraday and overnight periods. Studies in Economics and Finance, 39 (1), 79-97. https://doi.org/10.1108/SEF-12-2020-0482 DOI: https://doi.org/10.1108/SEF-12-2020-0482
Ali, S., Raza, S.A., Khan, K.A. (2023). Asymmetric market efficiency of the Eurozone using the MF-DFA: a comparison between global financial crisis and COVID-19 era. European Journal of Management and Business Economics. https://doi.org/10.1108/EJMBE-04-2021-0116 DOI: https://doi.org/10.1108/EJMBE-04-2021-0116
Basu, S. (1977). Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis. The Journal of Finance, 32(3), 663-682. https://doi.org/10.1111/j.1540-6261.1977.tb01979.x DOI: https://doi.org/10.1111/j.1540-6261.1977.tb01979.x
Berk, J. & DeMarzo, P. (2023). Corporate finance. 6th edition, Harlow. England: Pearson.
Cakici, N., Fabozzi, F. J., Tan, S. (2013). Size, value, and Momentum in emerging market stock returns. Emerging Markets Review, 16, 46-65. https://doi.org/10.1016/j.ememar.2013.03.001 DOI: https://doi.org/10.1016/j.ememar.2013.03.001
Chakroun, A.Z. & Hmaied, D.M. (2019). Detecting Profitability and Investment Risk Premiums in the French Stock Market. Biswas, R. and Michaelides, M. (Ed.) Essays in Financial Economics (Research in Finance, Vol. 35), Emerald Publishing Limited, Bingley, 71-104. https://doi.org/10.1108/S0196-382120190000035004 DOI: https://doi.org/10.1108/S0196-382120190000035004
Damodaran, A. (2012). Investment Valuation Tools and Techniques for Determining the Value of any Asset, University Edition. Los Angeles: Wiley.
Daniel, G., & Chris, M. (2014). The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager's Perspective. European Financial Management, 20(1), 152-174. https://doi.org/10.1111/j.1468-036X.2011.00627.x DOI: https://doi.org/10.1111/j.1468-036X.2011.00627.x
Dissanaike, G., & Lim, K.H. (2010). The sophisticated and the simple: the profitability of contrarian strategies. European Financial Management, 16, 229-255. https://doi.org/10.1111/j.1468-036X.2008.00466.x DOI: https://doi.org/10.1111/j.1468-036X.2008.00466.x
Fama, E. F., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3–56. https://doi.org/10.1016/0304-405X(93)90023-5 DOI: https://doi.org/10.1016/0304-405X(93)90023-5
Fama, E. F., & French, K. (1998). Value versus Growth: The International Evidence. The Journal of Finance, 53(6), 1975-1999. https://doi.org/10.1111/0022-1082.00080 DOI: https://doi.org/10.1111/0022-1082.00080
Fama, E. F., & French, K. (2006). The Value Premium and the CAPM. Journal of Finance, 61(5), 2163-2185. https://doi.org/10.1111/j.1540-6261.2006.01054.x DOI: https://doi.org/10.1111/j.1540-6261.2006.01054.x
Fama, E. F., & French, K. (2007). The Anatomy of Value and Growth Stock Returns. Financial Analysts Journal, 63(6), 44-54. https://doi.org/10.2469/faj.v63.n6.4926 DOI: https://doi.org/10.2469/faj.v63.n6.4926
Fama, E. F., & French, K. (2012). Size, value, and Momentum in international stock returns. Journal of Financial Economics, 105 (3), 457-472. https://doi.org/10.1016/j.jfineco.2012.05.011 DOI: https://doi.org/10.1016/j.jfineco.2012.05.011
Fama, E. F., & French, K. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123, 441-463. https://doi.org/10.1016/j.jfineco.2016.11.004 DOI: https://doi.org/10.1016/j.jfineco.2016.11.004
Fama, E. F., & French, K. (2021). The Value Premium. The Review of Asset Pricing Studies, 11(1), 105-121. https://doi.org/10.1093/rapstu/raaa021 DOI: https://doi.org/10.1093/rapstu/raaa021
Foye, J. (2016). A new perspective on the size, value, and momentum effects: Broad sample evidence from Europe. Review of Accounting and Finance, 15(2), 222-251. https://doi.org/10.1108/RAF-05-2015-0065 DOI: https://doi.org/10.1108/RAF-05-2015-0065
Hanauer, M.X., Linhart, M., (2015). Size, value, and momentum in emerging market stock returns: integrated or segmented pricing? Asia-Pacific Journal of Financial Studies, 44, 175–214. https://doi.org/10.1111/ajfs.12086 DOI: https://doi.org/10.1111/ajfs.12086
Hou, K., Xue, C. & Zhang, L, (2015). Digesting anomalies: an investment approach. The Review of Financial Studies, 28, 650-705. https://doi.org/10.1093/rfs/hhu068 DOI: https://doi.org/10.1093/rfs/hhu068
Jaffe JF, Jindra J, Pedersen DJ, Voetmann T (2020). Can mispricing explain the value premium? Financial Management, 49(3), 1–19. https://doi.org/10.1111/fima.12272 DOI: https://doi.org/10.1111/fima.12272
Kostin, K.B., Runge, P., Charifzadeh, M. (2022). An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets. Mathematics, 10, 142. https://doi.org/10.3390/math10010142 DOI: https://doi.org/10.3390/math10010142
Leite A.L., Klotzle M.C., Pinto A.C.F. and Silva A.F. (2018). Size, value, profitability, and investment: Evidence from emerging markets. Emerging Markets Review, 36, 45-59. https://doi.org/10.1016/j.ememar.2018.04.006 DOI: https://doi.org/10.1016/j.ememar.2018.04.006
Loughran, T., & Wellman, J. (2011). New evidence on the relation between the enterprise multiple and average stock return. Journal of Financial and Quantitative Analysis, 46, 1629-1650. https://doi.org/10.1017/S0022109011000445 DOI: https://doi.org/10.1017/S0022109011000445
McWilliams, J. D. (1966). Prices, Earnings and P-E Ratios. Financial Analysts Journal, 22(3), 137-142. DOI: https://doi.org/10.2469/faj.v22.n3.137
Nguyen H. T. & Nguyen D. T. (2019). The impact of country-level and fund-level factors on mutual fund performance in Vietnam. Journal of Economics and Development, 21(1), 42-56. https://doi.org/10.1108/JED-06-2019-0007 DOI: https://doi.org/10.1108/JED-06-2019-0007
Le, V. H. & Nguyen, M. H. (2022). The role of cash holdings during Covid-19 pandemic: Evidence from corporate risk-taking behavior of non-financial listed firms in Vietnam. Journal of Eastern European and Central Asian Research, 9(3), 462–470. https://doi.org/10.15549/jeecar.v9i3.849 DOI: https://doi.org/10.15549/jeecar.v9i3.849
Kim Quoc Trung, N. (2022). Determinants of stock market modern development: Evidence from Vietnam. Journal of Eastern European and Central Asian Research, 9(6), 951–964. https://doi.org/10.15549/jeecar.v9i6.987 DOI: https://doi.org/10.15549/jeecar.v9i6.987
Taib, A. A. & Benfeddoul. S. (2023). The Empirical Explanatory Power of CAPM and the Fama and French Three-Five Factor Models in the Moroccan Stock Exchange. International Journal of Financial Studies, 11,47. https://doi.org/10.3390/ijfs11010047 DOI: https://doi.org/10.3390/ijfs11010047
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2024 Le Quy Duong
This work is licensed under a Creative Commons Attribution 4.0 International License.
The JEECAR journal allows the author(s) to hold the copyright and publishing rights of their own manuscript without restrictions.
This journal applies the Creative Attribution Common License to works we publish, and allows reuse and remixing of its content, in accordance with a CC-BY 4.0 license.
Authors are free to: Share — copy and redistribute the material in any medium or format and Adapt — remix, transform, and build upon the material for any purpose, even commercially.
Under the following terms: Attribution — You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
No additional restrictions — The author may not apply legal terms or technological measures that legally restrict others from doing anything the license permits.
The JEECAR Journal is committed to the editorial principles of all aspects of publication ethics and publication malpractice as assigned by the Committee on Public Ethics.
