Title
THE DETERMINANTS OF SYSTEMATIC RISK IN VIETNAM
Authors
Abstract
The capital asset pricing model is generally considered as a cornerstone in modern financesince its inception because it is extensively used in both financial management and
portfolio management for estimating a return on equity. Within its framework, a systematic
risk, generally termed as beta, plays an essential role. However, the determinants affecting
the level of systematic risk of firms have been largely ignored in the current literature, in
particular for emerging markets such as Vietnam. This paper is conducted to examine the
determinants of systematic risk of listed firms in Vietnam. Data from 532 listed firms in
Vietnam are used for the period from 2008 to 2017. The empirical findings from this paper
indicate that financial leverage, profit margin on total assets, operational efficiency of
enterprises, inflation and economic growth rate have a negative relationship with the
system risk of listed firms in Vietnam whereas firm size is positively correlated with a
systematic risk. The paper fails to establish a robust link between liquidity and firm growth
rate and the level of the systematic risk. Robustness checks have also been conducted by
utilizing analyses at the industry level of listed firms. It is the claim of this paper that
empirical studies on systematic risks should be conducted at the economy wide level.
Findings from this paper indicate that listed firms in Vietnam are encouraged to consider
fundamental determinants to ensure that the systematic risk will not cause a major concern
for their operations.
Keywords
Systematic risk, determinants, capital asset pricing model, listed firms, Vietnam
Classification-JEL
G10, G11, G12
Pages
15-36