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(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

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Nội dung chi tiết: (LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

UNIVERSITY OF ECONOMICSHO c HI MINH CITY VIETNAMINSTITUTE OF SOCIAL STI DIESTHE HAGUETHE NETHERLANDSVIETNAM - NETHERLANDS PROGRAM FOR MA IN DEVELOPMEN

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam NT EC ONOMICSLIQUIDITY PREMIUM IN STOCK RETURNS, THE CASE OF VIETNAMA thesis submitted in partial fulfilment of the requirement for the degree of MAST

ER OF ART IN DEVELOPMENT ECONOMICSByTRẦN QUANG DUYAcademic supervisionDr. PHẠM PHÚ QƯÓCHO CHI MINH CITY, December 2015DECLARATIONIt is to certify that (LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

this thesis entitled ‘‘Liquidity premium in stock returns, the case of Vietnam" meet all requirements for the Master Degree of Art in Development Eco

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

nomics. This thesis and all contents presented in it are developed by me as my own original research. It is neither in part nor in whole been presente

UNIVERSITY OF ECONOMICSHO c HI MINH CITY VIETNAMINSTITUTE OF SOCIAL STI DIESTHE HAGUETHE NETHERLANDSVIETNAM - NETHERLANDS PROGRAM FOR MA IN DEVELOPMEN

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam ENTFirstly. I would like to express my profound appreciation to my supervisor, Dr. Phạm Phú Quốc. He has kindly guided and shared with me his experien

ce as well as knowledge about conducting a research. 11c always reminded me and assist me in selecting the right path for my thesis.1 also would like (LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

to say thank to Dr. Vò Hông Dire, who initially shared with me the idea about research in slock returnsMy special thanks to Nguyen Duy lãn and VÒ rhe

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

Anh. who dedicated then- lime and effort in helping me attain the huge data set for this thesis as well as overcame number of obstacles during my thes

UNIVERSITY OF ECONOMICSHO c HI MINH CITY VIETNAMINSTITUTE OF SOCIAL STI DIESTHE HAGUETHE NETHERLANDSVIETNAM - NETHERLANDS PROGRAM FOR MA IN DEVELOPMEN

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam ching and providing the best study environment.Furthermore. I would like to say thank to all my friends in the course of my study at this program. We

have studied and been through many subjects, assignments together. They always beside and remind me whenever I feel discouragement so that I can final (LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

ly finish this thesis.Last but not least. I am indebted to my parents who gave me all the love and support for every steps of my life. Their contribut

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

ion is enormous and I can never pay back this.LIQUIDITY PREMIUM IN STOCK RETURNS. THE CASE OF VIETNAMPage iiABSTRACTResearch about the role of liquidi

UNIVERSITY OF ECONOMICSHO c HI MINH CITY VIETNAMINSTITUTE OF SOCIAL STI DIESTHE HAGUETHE NETHERLANDSVIETNAM - NETHERLANDS PROGRAM FOR MA IN DEVELOPMEN

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam ap in literature, this empirical research is conducted to examine the influence of liquidity on stock returns in Vietnam stock market, a frontier mark

et. From literature of liquidity and stock returns, there are number of available proxies for liquidity. In this research. Turnover and Amihud illiqui (LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

dity ratio are selected as two main liquidity proxies. These two proxies were selected because they showed a great consistency and reliability among a

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

vailable liquidity proxies for empirical research. This study also includes some common explanatory' variables in stock return literature as control v

UNIVERSITY OF ECONOMICSHO c HI MINH CITY VIETNAMINSTITUTE OF SOCIAL STI DIESTHE HAGUETHE NETHERLANDSVIETNAM - NETHERLANDS PROGRAM FOR MA IN DEVELOPMEN

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam tors are constructed by using portfolio formation method of Fama and French. The sample for this research includes all non- financial firms in Ho Chi

Minh stock exchange (HOSE) for period 2007 to 2013. The regression method is Fama MacBeth which is often employed in finding stock returns. This resea (LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

rch reveals some noticeable findings. Firstly, liquidity negatively related to stock returns. This finding was reliable as two liquidity proxies point

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

to the same conclusion. Secondly, all Fama and French factors showed that they are very effective in explain stock returns as all these variables pre

UNIVERSITY OF ECONOMICSHO c HI MINH CITY VIETNAMINSTITUTE OF SOCIAL STI DIESTHE HAGUETHE NETHERLANDSVIETNAM - NETHERLANDS PROGRAM FOR MA IN DEVELOPMEN

(LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam rns in Vietnam.Key words: Fama and French factors, turnover measure. Amihud illiquidity ratio, stock returns. Fama McBeth regression, listed companies

. SMB. HML. CMA. RMW.LIQUIDITY PREMIUM IN STOCK RETURNS. THE CASE OF VIETNAMPage iii (LUẬN văn THẠC sĩ) liquidity premium in stock returns, the case of vietnam

UNIVERSITY OF ECONOMICSHO c HI MINH CITY VIETNAMINSTITUTE OF SOCIAL STI DIESTHE HAGUETHE NETHERLANDSVIETNAM - NETHERLANDS PROGRAM FOR MA IN DEVELOPMEN

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