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

• Main Author: Anh, Luong Tram
• Format: Article
• Language: English
• Published: H. : ĐHQGHN 2020
• Subjects: Capital asset pricing model; Three-factor model; Business cycle; Developing countries
• Online Access: http://repository.vnu.edu.vn/handle/VNU_123/89339; https://doi.org/10.25073/2588-1108/vnueab.4298
• Institution: Vietnam National University, Hanoi

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...