Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/245211 
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2019 [Pages:] 1-12
Verlag: 
Taylor & Francis, Abingdon
Zusammenfassung: 
This study aims at assessing the risk-return profile of stock portfolios by different levels of the foreign ownership ratio. The paper also evaluates the performance of portfolios by their size and the book-to-market ratio (BTM). In this study, we apply GMM approach with the data computed from stock-related database in Ho Chi Minh Stock Exchange and Ha Noi Stock Exchange for the period 2010-2017. Our findings reveal a pronounced foreign ownership impact, whereby the increase in the foreign ownership ratio results in the upturn in stocks' liquidity, return and size but also brings about the higher risk for stocks. In addition, our empirical analyses indicate that the portfolios with the foreign ownership ratio falling either to the bottom 20% or to the top 20% outperform other portfolios
Schlagwörter: 
Foreign ownership
pricing model
risk and return of stock portfolio
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