Investor sentiments and Fama-French five-factor in Vietnam market
by Cuong Nguyen Thanh; Tam Phan Huy; Anh Nguyen Nhat
International Journal of Revenue Management (IJRM), Vol. 14, No. 2, 2024

Abstract: This study seeks to expand the traditional Fama-French five-factor model by incorporating a sentiment factor, specifically focusing on the Vietnamese stock market, and to leverage a comprehensive dataset that spans initial public offerings (IPOs) until the end of 2022 from both the Hanoi Stock Exchange (HNX) and the Ho Chi Minh Stock Exchange (HOSE), capturing a diverse set of industries and the dynamic nature of this emerging market. The main objective is to ascertain the incremental explanatory power of an accrual-based sentiment factor within the Fama-French five-factor framework. The findings indicate a significant role of the sentiment factor across portfolios characterised by high accruals, large size, high value, low profitability, and high investment. The results contribute to the literature on asset pricing by validating the relevance of sentiment as an extension to the Fama-French model, especially in emerging markets such as Vietnam. This research thus highlights the necessity of considering sentiment analysis in the investment decision-making process and provides important implications for investors, financial practitioners, and policy makers.

Online publication date: Wed, 29-May-2024

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Revenue Management (IJRM):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com