Analysis of Investment Strategies and Return in The Vietnam Stock Market

[[abstract]]越南上市股票市場從2000年成立，至今僅十多年歷史。然而，越南整體經濟發展在東協各國中，一直表現亮眼。因此，國際投資客對越南股票市場日趨關注。眾多文獻指出，透過公開的財務報表資訊分析，可找到與股票報酬相關的選股指標，以獲取異常報酬。本研究參考Hart et al. (2003) 的投資策略，分別為價值型、規模型、流動性與動能型，針對越南股票市場進行實證分析，分別檢驗四種投資策略與不同持有期間之異常報酬之顯著性。 本研究之四種投資策略，各自有其選股指標。價值型投資策略以益本比和市價淨值比為選股指標；動能型投資策略以股票過去1、3、6、9、12、24個月之報酬率為選股指標；規模型與流動性的投資策略則分別以股票的市場價值和成交量週轉率為指標。 實證結果顯示：價值型策略之益本比和市價淨值比、動能型，和流動性均可為投資越南股市的參考選股指標，而規模型策略並不是用於投資越南股市。再者，動能型投資策略大多呈現顯著報酬，因此建議長期投資持有應以長期月報酬率做為選股參考。另在研究過程中，資料蒐集頗多困難，建議越南相關當局應提高資訊透明度，包括及時更新可信的經濟數據等，提供專業投資人進行決策之參考依據。如此，健全的股票市場發展，對越南經濟將是一大助益。 This research analyzes the profitability of a broad range of stock selection strategies in Vietnam stock markets over the period 2006 – 2014. The data obtained from State securities commission of Vietnam's (SSC) and cophieu68.vn is used. The method proposed by Hart et al. (2003) examined. The purpose of this research is to amend the understanding of the linkages between excess returns and the four strategies: value, momentum, size, and liquidity strategies. The empirical results suggest as following: Value Strategy such as E/P ratio and B/P, momentum and liquidity strategies are most successful and generate significant excess returns, in contrast to strategies based on size strategies do not help in Vietnam stock markets. The main result show that, the investors who want to make a profit in investing should track the published financial information and find winner stocks for whiling referring to value, momentum and turnover rate strategies. An option being considered intelligent if holding loser stocks when size strategy is applied in short-term. One hard part, reference for the Vietnam government to increased transparency include timely availability of credible economic data, and better communication of policy changes