An interesting out of sample test on return drivers in the Vietnamese market from 2006 to 2014. Not surprisingly, value and momentum show some mojo — Liquidity as well…size, not so much. But size only matters if you control your junk, apparently.
This is in line with our own research and the research of many others:
- Value: Never buy expensive stocks.
- Momentum: Ride Winners and Cut Losers.
- Size: Does the size effect exist?
The purpose of this paper is to understand the linkages between excess returns and four investment strategies – value, momentum, size, and liquidity – for the Vietnam stock market during the period 2006-2014. The empirical results suggest that a value strategy, such as the E/P and B/P ratios, and momentum and liquidity strategies are the most successful and generate significant excess returns, in contrast to the size strategy, which does not work in the Vietnam stock market. Therefore, investors who want to make a profit when investing in the Vietnam stock market should track published financial information and find winner stocks by referring to value, momentum, and liquidity strategies.
This research is not published in an amazing top-tier journal, but the results serve as another data point supporting the idea that value and momentum are everywhere (Asness et al. 2013). Of course, active investing is simple, but NOT easy.