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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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
H. : ĐHQGHN
2020
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| 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 |