Skewness and Mispricing in Emerging Markets: Long-Short Portfolio Evidence from Vietnam

Tran, Huynh Trong; Bui, Khoa Thanh

doi:10.22059/ijms.2026.391528.677449

Skewness and Mispricing in Emerging Markets: Long-Short Portfolio Evidence from Vietnam

Articles in Press

Document Type : Research Paper

Authors

Huynh Trong Tran ¹

Khoa Thanh Bui ²

¹ FPT University

² Business and Management Research Group, Industrial University of Ho Chi Minh city Faculty of Commerce and Tourism, Industrial University of Ho Chi Minh city

10.22059/ijms.2026.391528.677449

Abstract

This study examines the effectiveness of traditional asset pricing models—namely the Capital Asset Pricing Model (CAPM), Fama-French Three-Factor (FF3), and Five-Factor (FF5) models—in capturing skewness anomalies in the Vietnamese stock market from 2010 to 2023. Using long-short portfolios sorted by return skewness and employing the Gibbons-Ross-Shanken (GRS) test, we find that stocks with negative skewness yield significantly higher returns, while positively skewed stocks tend to be overpriced. The long-short strategy delivers an average monthly return of 1.25% with statistically significant alphas across all models. GRS test results (p < 0.01) further confirm that conventional models fail to explain these anomalies. These findings highlight a persistent pricing inefficiency in an emerging market context and underscore the importance of incorporating skewness into asset pricing frameworks and investment strategies.

Keywords

Skewness

Anomalies

Capital Asset Pricing Model

Fama-French five-factor model

Gibbons-Ross-Shanken test

Subjects