Le Quy Duong’s research while affiliated with National Economics University and other places

This study analyzes the effects of equity market mispricing on firm innovation. Using a sample of nearly 450 non-financial listed firms in Vietnam from 2014 to 2023, we examine whether firm innovation is sensitive to stock mispricing. Adopting the method of Rhodes-Kropf et al. (J Financ Econ 77:561–603, 1), we estimated the difference between market capitalization and the long-term fundamental value of equity to measure stock mispricing. As Yang et al. (Finan Res Lett 66:105655, 2) suggest, firm innovation is measured by research and development (R&D) funding scaled by operating income. The relationship between stock misvaluation and firm innovation was analyzed using regression analysis. Empirical results show that stock overpricing positively affects firm innovation in Vietnam. Overvalued listed companies invest more actively in R&D. Furthermore, the relationship between stock overpricing and corporate innovation is more prominent for frequently traded stocks. The promoting effect of stock overpricing on enterprise innovation is amplified in high-growth firms. This study provides new evidence regarding the impact of stock mispricing on firm innovation in Vietnam, compared with more developed markets such as the US or representative emerging markets such as China. Our results help foreign investors and scholars to better understand the connection between equity markets and corporate finance in the context of Vietnam.

This paper aims to perform an extensive asset pricing analysis for the Vietnamese non-life insurance industry between 2008 and 2023. We document that well-known asset pricing models, such as the three-factor and five-factor models developed by Fama and French (1993, 2015), are unable to explain adequately the returns of non-life insurance stocks. Therefore, based on the results of Ammar et al. (2018) and He et al. (2021), we built a five-factor asset pricing model adapted to the Vietnamese non-life insurance industry. Empirical evidence shows that this model is better than other models in explaining the cross-section of non-life insurance stock returns. Significant factors are the excess market return, the size factor, the price-to-earnings ratio, the return on equity, and the reimbursement rate.

This study analyzes the effects of equity market mispricing on firm innovation. Using a sample of nearly 450 non-financial listed firms in Vietnam from to 2014-2023, the authors examine whether firm innovation is sensitive to stock mispricing. Adopting the method of Rhodes-Kropf et al. (2005), the authors estimated the difference between market capitalization and the long-term fundamental value of equity to measure stock mispricing. As Shen et al. (2021) suggest, firm innovation is measured by research and development funding scaled by operating income. The relationship between stock misvaluation and firm innovation was analyzed using regression analysis. Empirical results show that stock mispricing positively affects firm innovation in Vietnam. Overvalued listed companies invest more actively in R&D. Further, the relationship between stock mispricing and corporate innovation is more prominent for frequently traded stocks. The promoting effect of stock mispricing on enterprise innovation is amplified in high-growth firms. This study provides new evidence regarding the impact of stock mispricing on firm innovation in Vietnam, in comparison with more developed markets such as the US or representative emerging markets such as China. Our results help foreign investors and scholars to better understand the connection between equity markets and corporate finance in the context of Vietnam

In recent decades, the Efficient Market Hypothesis has been the subject of debate among professionals and academics. In this hypothesis, the value premium is a key aspect that challenges market efficiency. The main objective of this study is to comprehensively investigate the value versus growth anomaly in the Vietnamese market between 2013 and 2023. Based on the empirical data, value portfolios have yielded a greater average return than growth portfolios in the Vietnamese stock market during this period. Although their levels of market risk (measured by beta) are nearly the same, the added-risk level of value portfolios is substantially higher than growth portfolios. Therefore, the value premium in Vietnam is compensated for bearing a higher risk level, consistent with the risk-based explanation.

lthough the superiority of Fama-French (FF) five-factor model in capturing the United States (US) equity returns, this model performs poorly in other stock markets (Fama & French, 2017). Using the monthly data of nearly 600 Vietnamese published firms from 2008 to 2022, the primary purpose of this paper is to analyze and examine the performance of four famous multifactor asset pricing models: the capital asset pricing model (CAPM), the Carhart four factor model, and the FF three-factor and five-factor models. We document the preference for the Carhart four-factor model over other models in producing a precise description to Vietnamese stock returns. The CAPM cannot give a reasonable explanation to the variation of Vietnamese stock returns, implying that market risk only accounts for a small proportion of the risk of holding Vietnamese stocks. Furthermore, adding the profitability and investment factors does not improve the explanatory power of asset pricing models in Vietnam, inconsistent with the result reported in the US stock market (Fama & French, 2015, 2020).

Purpose Although the value effect is comprehensively investigated in developed markets, the number of studies examining the Vietnamese stock market is limited. Hence, the first aim of this research is to provide empirical evidence regarding returns on value and growth stocks in Vietnam. The second aim is to explain abnormal returns on Vietnamese growth and value stocks using both risk-based and behavioral points of view. Design/methodology/approach From the risk-based explanation, the Capital Asset Pricing Model (CAPM), Fama–French three- and five-factor models are estimated. From the behavioral explanation, to construct the mispricing factor, this paper relies on the method of Rhodes-Kropf et al. (2005), one of the most popular mispricing estimations in the financial literature with numerous citations (Jaffe et al ., 2020). Findings While the CAPM and Fama–French multifactor models cannot capture returns on growth and value stocks, a three-factor model with the mispricing factor has done an excellent job in explaining their returns. Three out of four Fama–French mimic factors do not contain additional information on expected returns. Their risk premiums are also statistically insignificant according to the Fama–MacBeth second-stage regression. By contrast, both robustness tests prove the explanatory power of a three-factor model with mispricing. Taken together, mispricing plays an essential role in explaining returns on Vietnamese growth and value stocks, consistent with the behavioral point of view. Originality/value There are several value-enhancing aspects in the field of market finance. First, this paper contributes to the literature of value effect in emerging markets. While the evidence of value effect is obvious in numerous developed as well as international markets, both growth and value effects are discovered in Vietnam. Second, the explanatory power of Fama–French multifactor models is evaluated in the Vietnamese context. Finally, to the best of the author's knowledge, this is the first paper that incorporates the mispricing estimation of Rhodes-Kropf et al. (2005) into the asset pricing model in Vietnam.

Although the relationship among default risk, size, and equity returns is comprehensively investigated in developed stock markets, the analysis is still lacking for Vietnam, an important emerging market in Southeast Asia. The key aim of this research is to examine the relationship among default risk, size, and equity returns in the Vietnamese stock market, and compare the explanatory power of the default-risk factor to the size factor in asset pricing models. We use an option-based model to obtain the proxy of default risk for approximately 360 listed firms in Vietnam. Empirical results show that distance-to-default is negatively related to stock returns. When size is controlled, the default effect exists in different size-ranked portfolios. In asset pricing models, the default-risk factor is more powerful in explaining Vietnamese equity returns compared to the size factor of Fama and French (1993). As a result, default risk is a significant factor in Vietnamese stock returns, consistent with the risk-based point of view.