| dc.description.abstract | One of the main goals of investors is maximizing their securities’ possible returns, so
choosing a good model to find the relationship between risk factors and expected return is
very necessary and important. Since 1952, there have been many different models built to
find the relationship between portfolio return and the whole market return: Capital Asset
Pricing Model, Fama-French Three-Factor model and the most recent model is FamaFrench Five-Factor model.
This study target is to test the validity of Fama-French Five-Factor asset pricing model on
the manufacturing sector of Ho Chi Minh Stock Exchange (HOSE). The daily stocks’
returns of 94 firms during the period from January 2014 to December 2014 are used in
the analysis. By using Panel data method, the test shows the optimal regression among
five explainatory factors: risk premium, size premium, value premium, profitability
premium and investment premium; and the explained variable which is the returns of
securities.
Based on the results of the regression, this study states that, the first four factors: risk
premium, size premium, value premium and profitability premium are directly
proportional to the changing of the securities’ returns. On the other hand, it can not give
any surely conclusion for the relation between the investment premium factor and the
return of the securities throughout the period test on HOSE. | en_US |
