Title: Momentum explains the growth effect: the case of the Vietnamese stock market

Authors: Le Quy Duong

Addresses: National Economics University, 207 Giai Phong, Hanoi, Vietnam

Abstract: While there is empirical evidence of the value effect in various developed stock markets, the growth effect has been documented in Vietnam. The CAPM and Fama-French models cannot capture Vietnamese growth and value stock returns. Three of the four mimic factors do not contain incremental information on expected returns. However, a three-factor model with a momentum factor provides an appropriate explanation of the growth effect. Both robustness tests demonstrate the explanatory power of the three-factor model. Furthermore, delayed overreaction is likely to be a key source of momentum in Vietnam. Taken together, the superior return on the growth portfolio arises from the momentum effect, whereby investors tend to overreact to information about past returns. This is consistent with behavioural explanations.

Keywords: value and growth stocks; momentum; overreaction; asset-pricing models.

DOI: 10.1504/AAJFA.2025.147599

Afro-Asian Journal of Finance and Accounting, 2025 Vol.15 No.4, pp.439 - 458

Received: 02 Jun 2023
Accepted: 26 Jan 2024
Published online: 24 Jul 2025 *

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