میز خدمت الکترونیک
دوره ویراستاری

  اخبار و اعلانات

 آمار

تعداد نشریات127
تعداد شماره‌ها7,196
تعداد مقالات77,227
تعداد مشاهده مقاله157,217,945
تعداد دریافت فایل اصل مقاله118,403,659
Tran, Huynh, Bui, Khoa. (1405). Skewness and Mispricing in Emerging Markets: Long-Short Portfolio Evidence from Vietnam. , (), -. doi: 10.22059/ijms.2026.391528.677449
Huynh Trong Tran; Khoa Thanh Bui. "Skewness and Mispricing in Emerging Markets: Long-Short Portfolio Evidence from Vietnam". , , , 1405, -. doi: 10.22059/ijms.2026.391528.677449
Tran, Huynh, Bui, Khoa. (1405). 'Skewness and Mispricing in Emerging Markets: Long-Short Portfolio Evidence from Vietnam', , (), pp. -. doi: 10.22059/ijms.2026.391528.677449
Tran, Huynh, Bui, Khoa. Skewness and Mispricing in Emerging Markets: Long-Short Portfolio Evidence from Vietnam. , 1405; (): -. doi: 10.22059/ijms.2026.391528.677449

Skewness and Mispricing in Emerging Markets: Long-Short Portfolio Evidence from Vietnam

Interdisciplinary Journal of Management Studies
مقالات آماده انتشار، پذیرفته شده، انتشار آنلاین از تاریخ 02 خرداد 1405
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22059/ijms.2026.391528.677449
نویسندگان
Huynh Trong Tran1؛ Khoa Thanh Bui* 2
1FPT University
2Business and Management Research Group, Industrial University of Ho Chi Minh city Faculty of Commerce and Tourism, Industrial University of Ho Chi Minh city
چکیده
This study examines the effectiveness of traditional asset pricing models—namely the Capital Asset Pricing Model (CAPM), Fama-French Three-Factor (FF3), and Five-Factor (FF5) models—in capturing skewness anomalies in the Vietnamese stock market from 2010 to 2023. Using long-short portfolios sorted by return skewness and employing the Gibbons-Ross-Shanken (GRS) test, we find that stocks with negative skewness yield significantly higher returns, while positively skewed stocks tend to be overpriced. The long-short strategy delivers an average monthly return of 1.25% with statistically significant alphas across all models. GRS test results (p < 0.01) further confirm that conventional models fail to explain these anomalies. These findings highlight a persistent pricing inefficiency in an emerging market context and underscore the importance of incorporating skewness into asset pricing frameworks and investment strategies.
کلیدواژه‌ها
Skewness؛ Anomalies؛ Capital Asset Pricing Model؛ Fama-French five-factor model؛ Gibbons-Ross-Shanken test
آمار
تعداد مشاهده مقاله: 19





سامانه مدیریت نشریات علمی. قدرت گرفته از سیناوب