The value and growth effect in the Vietnamese stock market: a mispricing explanation

IF 1.9 Q2 BUSINESS, FINANCE Review of Behavioral Finance Pub Date : 2023-10-24 DOI:10.1108/rbf-04-2023-0090
Le Quy Duong
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Abstract

Purpose Although the value effect is comprehensively investigated in developed markets, the number of studies examining the Vietnamese stock market is limited. Hence, the first aim of this research is to provide empirical evidence regarding returns on value and growth stocks in Vietnam. The second aim is to explain abnormal returns on Vietnamese growth and value stocks using both risk-based and behavioral points of view. Design/methodology/approach From the risk-based explanation, the Capital Asset Pricing Model (CAPM), Fama–French three- and five-factor models are estimated. From the behavioral explanation, to construct the mispricing factor, this paper relies on the method of Rhodes-Kropf et al. (2005), one of the most popular mispricing estimations in the financial literature with numerous citations (Jaffe et al ., 2020). Findings While the CAPM and Fama–French multifactor models cannot capture returns on growth and value stocks, a three-factor model with the mispricing factor has done an excellent job in explaining their returns. Three out of four Fama–French mimic factors do not contain additional information on expected returns. Their risk premiums are also statistically insignificant according to the Fama–MacBeth second-stage regression. By contrast, both robustness tests prove the explanatory power of a three-factor model with mispricing. Taken together, mispricing plays an essential role in explaining returns on Vietnamese growth and value stocks, consistent with the behavioral point of view. Originality/value There are several value-enhancing aspects in the field of market finance. First, this paper contributes to the literature of value effect in emerging markets. While the evidence of value effect is obvious in numerous developed as well as international markets, both growth and value effects are discovered in Vietnam. Second, the explanatory power of Fama–French multifactor models is evaluated in the Vietnamese context. Finally, to the best of the author's knowledge, this is the first paper that incorporates the mispricing estimation of Rhodes-Kropf et al. (2005) into the asset pricing model in Vietnam.
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越南股市的价值与成长效应:一个错误定价的解释
虽然价值效应在发达市场得到了全面的调查,但研究越南股票市场的研究数量有限。因此,本研究的第一个目的是提供有关越南价值股和成长股回报的经验证据。第二个目的是用风险和行为的观点来解释越南成长型和价值型股票的异常回报。从基于风险的解释,估计了资本资产定价模型(CAPM), Fama-French三因素模型和五因素模型。从行为解释来看,本文依赖于Rhodes-Kropf et al.(2005)的方法来构建错误定价因子,这是金融文献中最流行的错误定价估计之一,被大量引用(Jaffe et al., 2020)。虽然CAPM和Fama-French多因素模型不能反映成长型和价值型股票的回报,但包含错误定价因素的三因素模型在解释它们的回报方面做得很好。四分之三的Fama-French模拟因子不包含预期收益的额外信息。根据Fama-MacBeth第二阶段回归,他们的风险溢价在统计学上也不显著。相比之下,两个稳健性检验都证明了具有错误定价的三因素模型的解释力。综上所述,错误定价在解释越南成长型和价值型股票的回报方面起着至关重要的作用,这与行为观点是一致的。在市场金融领域有几个提升价值的方面。首先,本文对新兴市场价值效应的文献进行了贡献。虽然价值效应的证据在许多发达市场和国际市场都很明显,但在越南发现了增长和价值效应。其次,评估Fama-French多因素模型在越南情境下的解释力。最后,据作者所知,这是第一篇将Rhodes-Kropf等人(2005)的错误定价估计纳入越南资产定价模型的论文。
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来源期刊
Review of Behavioral Finance
Review of Behavioral Finance BUSINESS, FINANCE-
CiteScore
4.70
自引率
5.00%
发文量
44
期刊介绍: Review of Behavioral Finance publishes high quality original peer-reviewed articles in the area of behavioural finance. The RBF focus is on Behavioural Finance but with a very broad lens looking at how the behavioural attributes of the decision makers influence the financial structure of a company, investors’ portfolios, and the functioning of financial markets. High quality empirical, experimental and/or theoretical research articles as well as well executed literature review articles are considered for publication in the journal.
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