| dc.description.abstract | Calendar effects are not a strange term when studying investment behaviors. It is found in many large and matured stock market in the world like US, Australia, and Japan market. Researchers usually approach the phenomenon through behavior factors which is hard to exactly measure. Ohlson’s accounting valuation theory is a famous theory that expresses firm value in term of the book value, current abnormal earnings, and information required to obtain future earnings. Realizing the advantage of that model, this study is conducted to observe the rational relationship between returns variable (represent for the value of the stocks) and earnings variables (represent for the investor behaviors) in Vietnam stock market in the period of 12 years from 2005 to 2016. It is tested in the assumptions of no arbitrage and efficient market. If the rational relationship between earnings and returns does not significantly exist in Vietnam stock market in some periods of a year, it means that trading behavior of Vietnamese individuals is affected by other emotional components and Calendar effects appear. 3 kinds reasonable factors can be used to explain the Calendar effects in Vietnam stock market are the level of investors’ expectation and risk tolerance in different months of year, climate effects, and time of new information released. One limitation of this model is that in three independent variables of earnings (earning per share, change in earning, and seasonal change in earning), the third variable is too weak to represent for the relevant information used to forecast earnings. Seasonal change in earning cannot be well applied in the model to test the correlation in Vietnam stock market. Because of this limitation, future researches should be conducted to determine which component can effectively measure the information factor in the circumstance of Vietnam market. | en_US |
