Vo Hoang Oanh, Le Thi Lanh, Phan Thi Dieu Thao Le
Background: There is a limited number of Vietnamese studies which mentioned high-order moments. In the paper, we examined the role of the skewness and the kurtosis in the expected return of the stock in the Vietnam market in addition to other proven risk factors. Materials and methods: Using the system of asymmetric measures given by Kraus & Litzenberger (1976) and the system sharpness measures in Doan & Lin (2012), The significant level of the relevant risk compensation linked to these two parameters in predicting the rate of return of categories was investigated using the Fama-MacBeth two-stage regression method (1973). Results: All series were proved to be stationary, with a 5% significance level. The blocking component in the model had a statistically significant non-zero value, indicating that there are other factors that affect the expected return of the stock in the Vietnamese market in addition to the evaluated risk factors. Conclusion: In addition to other explanatory elements, high-order moments play an essential role in the stock model.