Choosing Factors for the Vietnamese Stock Market

In this paper, we test the applicability of different Fama–French (FF) factor models in Vietnam, investigate value redundancy and examine choice profitability factor. Our empirical evidence shows that FF five-factor model has more explanatory power than three-factor model. The remains important after inclusion investment factors. Operating performs better cash return-on-equity (ROE) as a proxy for modeling. operating have biggest marginal contribution to maximum squared Sharpe ratio factors, highlighting (HML) non-redundancy describing stock returns Vietnam.