Daily Academic Alpha: Value and Momentum in Vietnam

Daily Academic Alpha: Value and Momentum in Vietnam

January 5, 2016 Uncategorized
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(Last Updated On: January 18, 2017)

An interesting out of sample test on return drivers in the Vietnamese market from 2006 to 2014. Not surprisingly, value and momentum show some mojo — Liquidity as well…size, not so much. But size only matters if you control your junk, apparently.

This is in line with our own research and the research of many others:

An Analysis of Investment Strategies and Abnormal Returns in the Vietnam Stock Market

The purpose of this paper is to understand the linkages between excess returns and four investment strategies – value, momentum, size, and liquidity – for the Vietnam stock market during the period 2006-2014. The empirical results suggest that a value strategy, such as the E/P and B/P ratios, and momentum and liquidity strategies are the most successful and generate significant excess returns, in contrast to the size strategy, which does not work in the Vietnam stock market. Therefore, investors who want to make a profit when investing in the Vietnam stock market should track published financial information and find winner stocks by referring to value, momentum, and liquidity strategies.

This research is not published in an amazing top-tier journal, but the results serve as another data point supporting the idea that value and momentum are everywhere (Asness et al. 2013). Of course, active investing is simple, but NOT easy.

vietnam value and momentum


Note: This site provides NO information on our value investing ETFs or our momentum investing ETFs. Please refer to this site.

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Definitions of common statistics used in our analysis are available here (towards the bottom)

About the Author

Wesley R. Gray, Ph.D.

After serving as a Captain in the United States Marine Corps, Dr. Gray earned a PhD, and worked as a finance professor at Drexel University. Dr. Gray’s interest in bridging the research gap between academia and industry led him to found Alpha Architect, an asset management that delivers affordable active exposures for tax-sensitive investors. Dr. Gray has published four books and a number of academic articles. Wes is a regular contributor to multiple industry outlets, to include the following: Wall Street Journal, Forbes, ETF.com, and the CFA Institute. Dr. Gray earned an MBA and a PhD in finance from the University of Chicago and graduated magna cum laude with a BS from The Wharton School of the University of Pennsylvania.