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    Test of Fama - French three - factor model on HASTC : Factors affect to stock returns

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    022000119 - Huong, Nguyen Lan.pdf (1.195Mb)
    Date
    2009
    Author
    Huong, Nguyen Lan
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    Abstract
    This study examines empirically the Fama-French Three-Factor Model using data of stocks trading on Hanoi Securities Trading Centre over the period 2006-2009. Specially, it examines whether the behavior of stock returns is explained by the changes of market factor, size effect, and book-to-market equity effect. The major objective of this study is to provide evidence that would contribute to the effort of explaining the Fama-French Three-Factor model in Vietnam which has a newly established stock market. Our findings confirm a significant relationship between market factor, size, book-to-market equity, and stocks rate of returns on HaSTC even in the presence of financial crisis. Consistent with Fama and French (1993) the thesis founded that among three factors, market factor has largest explanatory power to cross section returns. Beside market factor, size effect also plays a big role in explaining stocks returns. Book-to-market equity has contributed to changes of stocks returns, but the effect of book-to-market equity is not as significant as the effect of market factor and size.
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    http://10.8.20.7:8080/xmlui/handle/123456789/192
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