Comparison of the Capital Asset Pricing Model and the Three-Factor Model in a Business Cycle: Empirical Evidence from the Vietnamese Stock Market

Using data from 2010 to 2019, for the first time, the Capital Asset Pricing Model (CAPM) and the Three-factor Model (TFM) are compared in different contexts of the Vietnamese economy (recession and recovery). This paper employs four tests including the t-test, determination coefficient R2, Chow-test...

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Bibliographic Details
Main Author: Anh, Luong Tram
Format: Article
Language:English
Published: H. : ĐHQGHN 2020
Subjects:
Online Access:http://repository.vnu.edu.vn/handle/VNU_123/89339
https://doi.org/10.25073/2588-1108/vnueab.4298
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Institution: Vietnam National University, Hanoi
Language: English