How do investors price stocks? - Evidence with real-time data from Vietnam.

Quach, Hao and Nguyen, Hoang and Nguyen, Linh (2019) How do investors price stocks? - Evidence with real-time data from Vietnam. International Journal of Finance and Economics, 24 (2). pp. 828-840. ISSN 1099-1158

Full content URL: https://doi.org/10.1002/ijfe.1693

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How do investors price stocks? - Evidence with real-time data from Vietnam
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Abstract

Our paper employs a dataset that comprises real-time data, which, in our study, is defined as the best known data available to investors at the time of making decision. The research was inspired by comments by industry leaders at an international conference in finance in Vietnam in 2016, basically implying that academic research findings were not useful to investors because they had not done in the way that investors think and do. Drawing on an alike experiment study using realtime data for a period from October 2010 to April 2014, our paper documents that the value and liquidity effect do not exist in Vietnam and the size effect is weak. Specifically, we find that growth and high liquidity stocks outperform and do not find strong evidence for the outperformance of small stocks. This finding contradicts the general literature, which suggests that value, low liquidity and small stocks outperform, but supports similar contradicting findings for emerging markets. The findings from our research are important to investors in Vietnam market because they are drawn on the decision making basis that investors in this market normally do. Our research findings also suggest the use of a multifactor pricing model that is relevant for valuing stocks in Vietnam. In addition, to check the reliability of our dataset and the robustness of our conclusions, we repeated the same procedure using two samples of historical data and compared with results from our data. The additional analysis confirms the reliability of our data and findings.

Additional Information:The final published version of this article can be accessed online at https://onlinelibrary.wiley.com/journal/10991158
Keywords:stock market, investment strategies
Subjects:N Business and Administrative studies > N321 Investment
N Business and Administrative studies > N300 Finance
Divisions:Lincoln International Business School
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ID Code:33351
Deposited On:22 Oct 2018 12:35

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