Choosing Factors for the Vietnamese Stock Market †

Nina Ryan*, Xinfeng Ruan, Jin E. Zhang, Jing A. Zhang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)


In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, we investigate the value factor redundancy and examine the choice of the profitability factor. Our empirical evidence shows that the FF five-factor model has more explanatory power than the FF three-factor model. The value factor remains important after the inclusion of profitability and investment factors. Operating profitability performs better than cash and return-on-equity (ROE) profitability as a proxy for the profitability factor in FF factor modeling. The value factor and operating profitability have the biggest marginal contribution to a maximum squared Sharpe ratio for the five-factor model factors, highlighting the value factor (HML) non-redundancy in describing stock returns in Vietnam.

Original languageEnglish
Article number96
JournalJournal of Risk and Financial Management
Issue number3
Publication statusPublished - Mar 2021
Externally publishedYes


  • Fama–French factor model
  • SOE
  • Vietnam
  • asset pricing tests
  • emerging market
  • state ownership


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