Pricing Assets with Higher Co-moments and Value-at-Risk by Quantile Regression Approach: Evidence from Vietnam Stock Market

Huynh, Toan Luu Duc; Nguyen, Sang Phu; Duong, Duy

doi:10.1007/978-3-319-73150-6_70

Cited by 2 publications

(3 citation statements)

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“…Moreover, over the past two decades, researchers have identified several immature aspects of the Vietnamese market, including human capital (Anwar and Nguyen 2010;, education level (Le et al 2019a; Morgan and Long 2020; Van et al 2019;Vo et al 2019), and integration of technology Huynh et al 2018;Pham et al 2018a). Improvement in these areas can not only increases Vietnamese market's attractiveness but also increase its capacity to absorb investment for further economic growth.…”

Section: Discussionmentioning

confidence: 99%

“…Second, a healthy increase of foreign ownership could improve the informational efficiency of the equity market (Vo 2017a), as stock price informativeness, i.e., how changes in earnings are presented in the stock price (Hu et al 2018), is found to fluctuate in accordance with the increase in foreign ownership. A robust financial information system is also critical to carry further research on the stock market, which is reflected in stock returns and stock liquidity studies , Huynh et al 2018, Pham et al 2018a.…”

Section: Stock Marketmentioning

confidence: 99%

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A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020

Tran

et al. 2021

JRFM

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This paper endeavors to understand the research landscape of finance research in Vietnam during the period 2008 to 2020 and predict the key defining future research directions. Using the comprehensive database of Vietnam’s international publications in social sciences and humanities, we extract a dataset of 314 papers on finance topics in Vietnam from 2008 to 2020. Then, we apply a systematic approach to analyze four important themes: Structural issues, Banking system, Firm issues, and Financial psychology and behavior. Overall, there have been three noticeable trends within finance research in Vietnam: (1) assessment of financial policies or financial regulation, (2) deciphering the correlates of firms’ financial performances, and (3) opportunities and challenges in adopting innovations and ideas from foreign financial market systems. Our analysis identifies several fertile areas for future research, including financial market analysis in the post-COVID-19 eras, fintech, and green finance.

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Section: Discussionmentioning

confidence: 99%

Section: Stock Marketmentioning

confidence: 99%

A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020

Tran

et al. 2021

JRFM

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“…For P/E, the average return is 6.3%, 8.41% (Bear Market), 5.79% (Bull Market), 26.8% for the recession and 3.98% in the recovery period. Huynh et al (2018) research on value investing by combining both P/E and P/B to build up portfolios for listed value shares on HoSE in the period of 2006 -2016. This research also indicates the market premium, the size and value factors for valuing the stock return.…”

Section: Overview Of Empirical Researches On Value Investingmentioning

confidence: 99%

The Influence of Peg and F_Score on Stock Return by Valued Investment Portfolios: Empirical Evidence from Vietnam

Tran

Nguyen

et al. 2018

Asian Economic and Financial Review

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Article History JEL Classification:D53, C33, G11.The study determines the effects of the PEG valuation factor (P/E combined growth rate) and the F_score on the calculation of the impacts on the return on the portfolio of empirically value stocks at 250 non-financial firms listed on the Vietnam's stock market from 2006 to 2017. The authors used system-GMM estimation method, quantile regression and t-test estimation to confirm the research hypotheses made by the authors. The results show that firms with low PEG and high F_score will yield higher return from empirical tests in the Vietnamese market, which is consistent with previous theories. Firms with increasing F_score will earn higher stock return and the portfolio of PEG-valued stocks will outperform others in the market. The authors used system-GMM estimation method to deal with the defects of the model and used quantile regression analysis to determine the effect level of the rate of return on each quantile in the Vietnamese stock market.Contribution/ Originality: This paper is one of very few researches that have indicated the influence of both valuation factors (P/E combined growth rate) and the F_score on stock return in Vietnam by system-GMM approach. This study contributes to the existing literature to explain the integrated impact of both factors on stock return by some tests from the research country, Vietnam.

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Pricing Assets with Higher Co-moments and Value-at-Risk by Quantile Regression Approach: Evidence from Vietnam Stock Market

Cited by 2 publications

References 30 publications

A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020

A Systematic and Critical Review on the Research Landscape of Finance in Vietnam from 2008 to 2020

The Influence of Peg and F_Score on Stock Return by Valued Investment Portfolios: Empirical Evidence from Vietnam

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