Vietnamese (VN)English (UK)

Can investment strategies beat the market?

(A thesis submitted in partial fulfilment of the requirements for the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICS, VIETNAM – THE NETHERLANDS PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS)


By Huynh Nhat Trinh (VNP 20)

Academic Supervisor: Dr. Ngo Minh Hai



By processing the data set containing of 689 listed firms in Ho Chi Minh Stock Exchange (HOSE) and Ha Noi Stock Exchange (HNX) during the period 2006 to 2014, this thesis examines three investment strategies including value investing, momentum investing and size investing. The evidences in Vietnam stock market confirms the existences of statistically value premium and size premium during the normal economic condition. During the financial crisis period, the results also confirm the value and size premium but they are not significant in the statistical point of view. In term of momentum investment strategy, it cannot be applied in reality when the results shown that the existences of momentum premium are not clear during the normal economic condition and financial crisis period.

Keywords: investment strategies, efficient market

Abbreviations: AMEX           - American Stock Exchange, BV/MV - Book value over market value ratio, CAPM - Capital Asset Pricing Model, CF/P - Cash flow to price, D/P - Dividend to price, E/P - Earning per share to price, EPS - Earnings per share, FYE - Fiscal year end, GNP -Gross National Product, HML - High Minus Low, HNX - Ha Noi Stock Exchange

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Full version is available at Library of Vietnam-Netherland Progamme: 1A Hoang Dieu, Phu Nhuan Dist, Ho Chi Minh city, Vietnam.