{"id":9402,"date":"2022-07-27T07:05:02","date_gmt":"2022-07-27T07:05:02","guid":{"rendered":"https:\/\/depocen.org\/publications\/does-idiosyncratic-risk-matter-in-the-vietnamesestock-market\/"},"modified":"2022-07-27T07:05:02","modified_gmt":"2022-07-27T07:05:02","slug":"does-idiosyncratic-risk-matter-in-the-vietnamesestock-market","status":"publish","type":"publications","link":"https:\/\/depocen.org\/vi\/publications\/does-idiosyncratic-risk-matter-in-the-vietnamesestock-market\/","title":{"rendered":"Does Idiosyncratic Risk matter in the Vietnamese\r\nStock Market?"},"content":{"rendered":"<p>The paper examines the behaviour of idiosyncratic volatility in the Vietnamese stock market from 2007-2012.<br \/>\nUsing daily and monthly data, we find that idiosyncratic volatility cannot predict one-month ahead stock returns<br \/>\nin the stock market. Also, there is a positive trend in the average value-weighted idiosyncratic volatility, while<br \/>\nthe market volatility exhibits negative trend, implying an increasing benefit of the diversification in the<br \/>\nVietnamese stock market. Our findings reveal that investors should not expect to be compensated for bearing<br \/>\nidiosyncratic risk when investing in the Vietnamese stock market and cost of capital estimates would be more<br \/>\naccurate using the FF3-factor model rather than CAPM. These results have not been documented in the<br \/>\nliterature on the emerging stock market of Vietnam, benefiting domestic as well as international investors in the<br \/>\nstock market.<\/p>\n","protected":false},"featured_media":0,"template":"","cate_publications":[],"author_publications":[2020,2021,2022],"topic_publications":[],"class_list":["post-9402","publications","type-publications","status-publish","hentry","author_publications-cuong-nguyen","author_publications-wu-ji","author_publications-andros-gregoriou"],"acf":[],"_links":{"self":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/publications\/9402","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/publications"}],"about":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/types\/publications"}],"wp:attachment":[{"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/media?parent=9402"}],"wp:term":[{"taxonomy":"cate_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/cate_publications?post=9402"},{"taxonomy":"author_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/author_publications?post=9402"},{"taxonomy":"topic_publications","embeddable":true,"href":"https:\/\/depocen.org\/vi\/wp-json\/wp\/v2\/topic_publications?post=9402"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}