Size Effect in Vietnam stock market

  • Võ Xuân Vinh
  • Võ Văn Phong

Abstract

This article investigates the existence of size and value effect in Vietnam stock market. We employ quantitative analysis
for the period from 01/2010 to 12/2014. We find that there is no evidence to support size effect in Vietnam stock market.
Moreover, we examine the value effect when the value is proxied by ME/BE and results support previous results when
portfolios are sorted according to EP, CP, DP but not BM.
Keywords: stock returns, size effect, value effect.

điểm /   đánh giá
Published
2016-12-23
Issue
No. 175 (2016)
Section
Bài viết