Empirical study of size effect on stock return in Ho Chi Minh stock exchange (HOSE)
Abstract
With the evolving of Vietnamese stock markets, especially VNIndex, this thesis tries to find out the anomaly returns due to size effect during the period 2008-2011.The size effect can be said to be a proxy for the market risk, in that portfolios of small companies have high volatility of return.Support is given to the arguments of Fama ad French to reject beta as a one facter explanatory variable for returns and include factors for size and book to market equity.Finally, size effect is found but contradictory to much prediction, just the small-firms with the medium book-to-market ratio outperforms compare to the big-firms.The results also open many other ways for further study on Vietnamese stock
market, especially Fama and French findings with on-going debate.