| Autor: |
Minh Tien Pham, Bich Huy Hai Bui |
| Rok vydání: |
2015 |
| Předmět: |
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| Zdroj: |
Science and Technology Development Journal. 18:144-153 |
| ISSN: |
1859-0128 |
| DOI: |
10.32508/stdj.v18i4.979 |
| Popis: |
This study aims to test the validity of CAPM in Ho Chi Minh City Stock Exchange (HOSE). Two approaches employed in testing are (1) Fama & MacBeth’s traditional approach (1973); and (2) conditional approach developed by Pettengill et al. (1995). The research uses a time-series data set of all listed companies that are available on HOSE in each sub-period within the total sample period of 1/2007 through 6/2015. The results based on traditional approach show that CAPM does not offer a good explanation of risk-return relationship in HOSE. However, when considering market conditions (up/down) proposed by conditional approach, the findings are consistent with the CAPM prediction. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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