Đo lường thị trường hiệu quả qua các mô hình nhân tố - Nghiên cứu thực nghiệm tại Sở Giao Dịch Chứng Khoán Thành phố Hồ Chí Minh

Alhashel, B. S. (2021). Cross-section of returns in frontier markets: Evidence from the GCC markets. Emerging Markets Finance & Trade, 57(3), 798-823.

Ali, A., & Badhani, K. N. (2021). Beta-anomaly: Evidence from the Indian equity market. Asia-Pacific Financial Markets, 28(1), 55-78.

Amihud, Y. (2002). Illiquidity and stock returns: Cross-section and time-series effects. Journal of Financial Markets, 5(1), 31-56.

Amihud, Y., Hameed, A., Kang, W., & Zhang, H. (2015). The illiquidity premium: International evidence. Journal of Financial Economics, 117(2), 350-368.

Asad, H., & Cheema, F. K. (2017). An Empirical assessment of the Q-factor model: Evidence from the Karachi Stock Exchange. The Lahore Journal of Economics; Lahore, 22(2), 117-138.

Balakrishnan, A. (2016). Size, value, and momentum effects in stock returns: Evidence from India. Vision (09722629), 20(1), 1-8.

Bali, T. G., & Cakici, N. (2004). Value at risk and expected stock returns. Financial Analysts Journal, 60(2), 57-73.

Ball, R., Gerakos, J., Linnainmaa, J. T., & Nikolaev, V. V. (2015). Deflating profitability. Journal of Financial Economics, 117(2), 225-248.

Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.

Chen, C. C., Tai, C. L., & Cho, Y. C. (2019). Market illiquidity premium on stock returns: An empirical study of Taiwan Stock Markets. Asian Economic and Financial Review, 9(7), 778-788.

Cooper, M., Gulen, H., & Ion, M. (2024). The use of asset growth in empirical asset pricing models. Journal of Financial Economics, 151, Article 103746. https://doi.org/10.1016/j.jfineco.2023.103746

Drew, M. (2003). Beta, firm size, book-to-market equity and stock returns. Journal of the Asia Pacific Economy, 8(3), 354-379.

Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.

Fama, E. F. (2014). Two pillars of asset pricing. The American Economic Review, 104(6), 1467-1485.

Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3-56.

Fama, E. F., & French, K. R. (1998). Value versus growth: The international evidence. The Journal of Finance, 53(6), 1975-1999.

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1-22.

Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441-463.

Gibbons, M. R., Ross, S. A., & Shanken, J. (1989). A test of the efficiency of a given portfolio. Econometrica, 57(5), 1121-1152.

Hanauer, M. X., & Lauterbach, J. G. (2019). The cross-section of emerging market stock returns. Emerging Markets Review, 38, 265-286. https://doi.org/10.1016/j.ememar.2018.11.009

Harvey, C. R., & Liu, Y. (2019). A census of the factor zoo. https://papers.ssrn.com/sol3/ papers.cfm?abstract_id=3341728

Hoang, T. L., & Phan, T. T. (2019). Is liquidity priced in the Vietnamese Stock Market? Economic Papers, 38(3), 193-207.

Hou, K., Xue, C., & Zhang, L. (2015). Digesting anomalies: An investment approach. Review of Financial Studies, 28(3), 650-705.

Hu, G. X., Chen, C., Shao, Y., & Wang, J. (2019). Fama-French in China: Size and value factors in Chinese stock returns. International Review of Finance, 19(1), 3-44.

Jacobs, H., & Müller, S. (2020). Anomalies across the globe: Once public, no longer existent? Journal of Financial Economics, 135(1), 213-230.

Kamstra, M. J., & Shi, R. (2024). Testing and ranking of asset pricing models using the GRS statistic. Journal of Risk and Financial Management, 17(4), Article 168, https://doi.org/10.3390/jrfm17040168

Kilic, M., Yang, L., & Zhang, M. B. (2022). The cross-section of investment and profitability: Implications for asset pricing. Journal of Financial Economics, 145(3), 706-724.

Leite, A. L., Klotzle, M. C., Pinto, A. C. F., & da Silva, A. F. (2018). Size, value, profitability, and investment: Evidence from emerging markets. Emerging Markets Review, 36, 45-59, https://doi.org/10.1016/j.ememar.2018.04.006

Ling, A., & Cao, Z. (2020). Two-side CVaRs and cross-sectional expected stock returns: Evidence from the Chinese Stock Market. https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3468275

Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7(1), 77-91.

Mselmi, N., Hamza, T., Lahiani, A., & Shahbaz, M. (2019). Pricing corporate financial distress: Empirical evidence from the French stock market. Journal of International Money and Finance, 96, 13-27. https://doi.org/10.1016/j.jimonfin.2019.04.008

Newey, W., & West, K. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703-708.

Pham, T. H. (2023). Stock selection for trading strategies based on risk factors: A study of the Ho Chi Minh Stock Exchange. Victoria University.

Ragab, N. S., Abdou, R. K., & Sakr, A. M. (2020). A comparative study between the fama and French three-factor model and the fama and French five-factor model: Evidence from the Egyptian Stock Market. International Journal of Economics and Finance, 12(1), 1-52.

Rashid, S. H., Sadaqat, M., Jebran, K., & Memon, Z. A. (2018). Size premium, value premium and market timing: Evidence from an emerging economy. Journal of Economics, Finance & Administrative Science, 23(46), 266-288.

Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425-442.

Tran, H. V., Nguyen, H. N., & Nguyen, P. A. (2013). Four factors model in asset pricing: Fama & French three factors model is combined with liquidity in the stock exchange of Vietnam. Proceedings Book of ICEFMO, 28-35.

Vasishth, V., Sehgal, S., & Sharma, G. (2021). Size effect in Indian equity market: Myth or reality? Asia-Pacific Financial Markets, 28(1), 101-119.

Wang, F., Yan, X., & Zheng, L. (2021). Time-series and cross-sectional momentum in anomaly returns. European Financial Management, 27(4), 736-771.

Xie, S., & Qu, Q. (2016). The three-factor model and size and value premiums in China’s Stock Market. Emerging Markets Finance & Trade, 52(5), 1092-1105.

Zaremba, A., & Maydybura, A. (2019). The cross-section of returns in frontier equity markets: Integrated or segmented pricing? Emerging Markets Review, 38, 219-238, https://doi.org/10.1016/j.ememar.2019.02.003

Xem thêm