Augmenting the Fama-French model with investor sentiment: Evidence from the Vietnamese stock market

Abstract

Analyze the explanatory power and pricing validity of a daily composite investor sentiment index when integrated into the baseline Fama-French three-factor asset pricing model. This evaluation will be conducted using empirical evidence from the Ho Chi Minh Stock Exchange (HOSE) to determine whether behavioral factors systematically drive daily stock returns in the Vietnamese market. Based on the empirical findings, the thesis seeks to provide practical investment recommendations for market participants navigating non-financial equities.