Testing The Validity of Zero-Beta Capm in Vietnamese Stock Market

Objectives: This study examines the validity of the Zero-Beta Capital Asset Pricing Model (CAPM) in the context of Vietnam's stock market, exploring its potential for sustainable, SDG-aligned investment without relying on a traditional risk-free interest rate. Theoretical Framework: The research builds on Black's (1972) Zero-Beta CAPM framework, addressing limitations of the riskless rate assumption in emerging markets where stable growth is essential. Method: Using a dataset of daily returns from 365 stocks listed on the Ho Chi Minh City Stock Exchange (2008-2024), the study applies Ordinary Least Squares (OLS) regression to calculate alpha and beta values, testing for a sensitive zero-beta return that correlates with sustainable investment goals. Results and Discussion: The analysis reveals a daily sensitive zero-beta return of 0.0149%, surpassing the Vietnamese 15-year government bond rate, thus supporting Zero-Beta CAPM's validity without a risk-free rate. This suggests that zero-beta CAPM can offer a viable approach for sustainable investment in Vietnam, enhancing returns through portfolio ownership. Research Implications: The study demonstrates the feasibility of applying CAPM to emerging markets with sustainability considerations, positioning the sensitive zero-beta return as a proxy for sustainable market portfolio ownership. Originality/Value: This research expands CAPM’s theoretical scope by adapting it to markets with unique sustainability demands, providing insights into leveraging market portfolio ownership for improved investment performance in Vietnam’s stock market.