The Efficacy of Asset Pricing Models in Explaining Bank Stock Returns

This study examines asset pricing models as knowledge systems for Vietnamese listed banks. Acknowledging the limitations of applying models developed for non-financial firms to banks, we assess the capital asset pricing model, the Fama–French three-factor model, and the Fama–French five-factor (FF5) model using monthly data from 2010 to 2023. The findings show that the FF5 model, which incorporates profitability and investment factors, offers superior explanatory power for bank returns in this emerging market. The FF5 model explains 49.2% of the variance in excess returns and demonstrates stronger forecasting performance than traditional models. These results indicate the need for more advanced knowledge systems to interpret sector-specific information in banking data, supporting the development of context-aware financial analysis frameworks and enhancing decision-making in emerging economies.