Application of Fama French factors to industrial corporations in Vietnam stock market: Bachelor thesis of Banking and Finance / Dương Đại Phát ; Nguyễn Minh Nhật supervisor

MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM

BANKING UNIVERSITY OF HO CHI MINH CITY

BACHELOR THESIS

Major: Financial – Banking

Number : 7340201

Topic: APPLICATION OF FAMA FINANCIAL MODEL

TO INDUSTRIAL CORPORATIONS IN VIETNAM

Student’s name : Dương Đại Phát

Student’s ID : 030631152010

Guiding teacher : Msc Nguy n Minh Nh t

HCMC, February 2021

MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM

BANKING UNIVERSITY OF HO CHI MINH CITY

BACHELOR THESIS

Major: Financial – Banking

Number : 52340201

Topic: APPLICATION OF FAMA FINANCIAL MODEL

TO INDUSTRIAL CORPORATIONS IN VIETNAM

Student’s name : Dương Đại Phát

Student’s ID : 030631152010

Guiding teacher : Msc Nguy n Minh Nh t

HCMC, February 2021

ABSTRACT

The study concentrates on one of the primary advantage pricing models which offer a

selection of selections for investors enthusiastic about evaluating returns. From 2014

to 2019, the writer selects the Fama Five-factor French style and uses every aspect to

calculate hundred listed manufacturing businesses in Vietnam. To be able to make

sure that the regression test is wholly explicable, the writer additionally determines

Gibbons et al. (1989) GRS F assay if all of the sorted portfolios will likely show

beneficial results in the study. The results show that the factor MRP (market

component) is actually a significant professional in all the portfolios and that SMBs

play a good role than many other threes. The time series average return of these

companies could be defined by Fama French Five-factor variables which don't

generate pricing errors.

Keywords: Fama French five-factor, asset pricing model; market capitalization; book￾to-market equity; profitability; investment; trading businesses

DECLARATION OF AUTHENTICITY

I affirm that I wrote this and have provided credit for each quote. I certify that I have

completed all processes and methods faithfully and honestly. I mentioned to all of the

people who contributed significantly to this effort.

I would like to report that all representations and material found here are valid, right

and authentic.

Ho Chi Minh City, February 2021

ACKNOWLEGEMENTS

First of all, I'd like to express my appreciation to Mr. Nguyen Minh Nhat for providing

me with helpful advice and motivation during this project.

Secondly, I would like to thank my family and friends who have been there every step

of the way during my four years in Banking University.

Lastly, best wishes to my lecturers and BUH for their knowledge, encouragement, and

understanding.