Application of Fama-French 3 Factors models in Vietnam’s Marine products sector (original) (raw)

This paper test the application of Fama-French three factors model one specific sector of the security market, the target of this research is the marine products market in Vietnam. OLS regression is used to test the model, 6 models are tested, with each model have different dependent variables represent the return of 6 portfolios that construct based on 2 groups of stock size and 3 groups of stock value from 12 companies with overall of 257 observations of the dependent variable. The test is contrast with the findings of Fama and French (1992), that in this study, there is a big firm effect and no value premium effect. Additionally, the result also shown that size and market factor have high relationship with the excess return, while value factor failed to explain in mid-value portfolio. Fama-French model might not suitable for explaining the returns of fishery sector for the adjusted R squared is small.