| dc.description.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. | en_US |
