Asset pricing models for Vietnamese non-life insurance companies

This paper aims to perform an extensive asset pricing analysis for the Vietnamese non-life insurance industry between 2008 and 2023. We document that well-known asset pricing models, such as the three-factor and five-factor models developed by Fama and French (1993, 2015), are unable to explain adequately the returns of non-life insurance stocks. Therefore, based on the results of Ammar et al. (2018) and He et al. (2021), we built a five-factor asset pricing model adapted to the Vietnamese non-life insurance industry. Empirical evidence shows that this model is better than other models in explaining the cross-section of non-life insurance stock returns. Significant factors are the excess market return, the size factor, the price-to-earnings ratio, the return on equity, and the reimbursement rate.