THE RESEARCH INTO THE ESTIMATION OF THE EXPECTED RETURN ON STB STOCKS USING FAMA - FRENCH THREE-FACTOR MODEL
Abstract
On the basis of using the data of the market price index (VN-index) and the market price of STB shares and the stocks in the research portfolio in the period from August 2015 to November 2018 combine other relevant information to stocks such as book value, number of outstanding share in the market. Then, using the model of FAMA - FRENCH, to study and estimate the expected yield of STB shares, has been researched. The research results show that the yield of this stock is positively correlated with market yields and book value ratio on market value (BE/ME) and inversely correlated with scale. company. Thus, the three-factor model FAMA - FRENCH is able to explain the change in the yield of stocks on Vietnam stock market.
References
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Trương Đông Lộc, Dương Thị Hoàng Trang, Mô hình ba nhân tố Fama – French: Các bằng chứng thực nghiệm tại Sở giao dịch chứng khoán thành phố Hồ Chí Minh. Tạp chí Khoa học Trường Đại học Cần Thơ, 2014, Số 32, tr. 61-68.
