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Fundamental analysis and the use of financial statement information to separate winners and losers in frontier markets: evidence from Vietnam

Tuan Ho (School of Accounting and Finance, University of Bristol, Bristol, UK)
Y Trong Nguyen (University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam)
Hieu Truong Manh Tran (University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam) (KIS Vietnam Securities Corporation, Ho Chi Minh City, Vietnam)
Dinh-Tri Vo (IPAG Business School, Paris, France) (University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam)

International Journal of Emerging Markets

ISSN: 1746-8809

Article publication date: 7 January 2022

Issue publication date: 21 November 2023

852

Abstract

Purpose

The pupose of the paper is to study the usefulness of Piotroski (2000)'s F-score in separating winners and losers in Vietnam.

Design/methodology/approach

The authors adopt a portfolio analysis and regression analysis on a sample of 501 of listed firms between 2009 and 2019 in Vietnam.

Findings

The authors find that a hedge strategy that buys high-F-score firms and sells low-F-score firms yield market-adjusted return of over 30 percent annually, which is statistically and economically significant. The hedge strategy based on F-score is not only profitable for value (high book-to-market [BM]) firms but also earn abnormal returns in a sample of growth (low BM) firms, suggesting that the usefulness of F-score strategy is not just a phenomenon in value firms as documented in previous literature.

Research limitations/implications

Whilst the authors' paper documents economically significant returns obtained from the F-score strategy, the authors do not examine what drives the abnormal returns.

Practical implications

The results provide supporting evidence for the use of financial statement analysis as a screening tool to improve the performance of value investment in Vietnam stock market and for the training of financial reporting and fundamental analysis in universities.

Originality/value

The authors' research is the first study examining the F-score strategy in Vietnam that provides insights about the usefulness of fundamental analysis in separating winners and losers in a frontier market and contributes to the literature on fundamental analysis and market efficiency in emerging and frontier markets.

Keywords

Acknowledgements

Funding: Y Trong Nguyen, Hieu Truong Manh Tran and Dinh-Tri Vo acknowledge financial funding from University of Economics Ho Chi Minh City for this study.

Citation

Ho, T., Nguyen, Y.T., Tran, H.T.M. and Vo, D.-T. (2023), "Fundamental analysis and the use of financial statement information to separate winners and losers in frontier markets: evidence from Vietnam", International Journal of Emerging Markets, Vol. 18 No. 10, pp. 4130-4153. https://doi.org/10.1108/IJOEM-03-2020-0279

Publisher

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Emerald Publishing Limited

Copyright © 2021, Emerald Publishing Limited

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