A Comparison between the Accuracy of the Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model in the Vietnam Stock Market during the 2008 – 2017 period

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Stepanov, Roman
dc.contributor.author Nguyen, Hao Quang
dc.date.accessioned 2018-09-10T09:26:58Z
dc.date.available 2018-09-10T09:26:58Z
dc.date.issued 2018
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/33943
dc.description.abstract Objectives The main objectives of this study were to assess and compare the accuracy between the CAPM and the Fama – French three-factor model in predicting stock returns patterns in the Vietnam Stock market during the 2008-2017 period. Summary The paper collects data from the listed stocks in the Ho Chi Minh Stock Exchange from July 2008 to June 2017 to form the sample. Then, the thesis utilizes Ordinary Least Squares (OLS) regression method to analyze the performance of the CAPM and the Fama – French three-factor model. Additionally, the GRS test is also applied to assess the accuracy of these models. Conclusions The findings of the thesis suggest that the CAPM is inaccurate in explaining the stock returns patterns in the Vietnam stock market during the 2008-2017 period while the Fama – French three-factor is demonstrated to be significantly accurate in the same period. Thus, the thesis concludes that the Fama – French three-factor model is more accurate than the CAPM in explaining stock returns patterns in the Vietnam stock market from July 2008 to June 2017. Overall, the thesis contributes to the academia by gaining new insights on the performances between the CAPM and the Fama – French three-factor model as it is conducted in the Vietnam stock market, which is relatively under-researched. Then, the study can help investors or investment managers in choosing an appropriate and efficient model to calculate stocks’ expected returns. en
dc.format.extent 49+6
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title A Comparison between the Accuracy of the Capital Asset Pricing Model (CAPM) and the Fama-French Three-Factor Model in the Vietnam Stock Market during the 2008 – 2017 period en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Mikkelin kampus fi
dc.subject.keyword finance en
dc.subject.keyword asset pricing en
dc.subject.keyword CAPM en
dc.subject.keyword Fama - French three-factor model en
dc.subject.keyword Vietnam en
dc.subject.keyword stock market en
dc.subject.keyword regression analysis en
dc.subject.keyword investment en
dc.identifier.urn URN:NBN:fi:aalto-201809105054
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme (Mikkeli) Bachelor’s Program in International Business en


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