The Influence of Peg and F_Score on Stock Return by Valued Investment Portfolios: Empirical Evidence from Vietnam

Abstract

The study determines the effects of the PEG valuation factor (P/E combined growth rate) and the F_score on the calculation of the impacts on the return on the portfolio of empirically value stocks at 250 non-financial firms listed on the Vietnam’s stock market from 2006 to 2017. The authors used system-GMM estimation method, quantile regression and t-test estimation to confirm the research hypotheses made by the authors. The results show that firms with low PEG and high F_score will yield higher return from empirical tests in the Vietnamese market, which is consistent with previous theories. Firms with increasing F_score will earn higher stock return and the portfolio of PEG-valued stocks will outperform others in the market. The authors used system-GMM estimation method to deal with the defects of the model and used quantile regression analysis to determine the effect level of the rate of return on each quantile in the Vietnamese stock market.