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This paper focuses on the profitability of momentum strategies in the Vietnamese stock market. The results assert that momentum occurs within small-and large-sized stock subsamples in the period prior to the Lehmann shock and does not exist in the remaining subsamples. Further tests point out that the occurrence of momentum follows market gains and is consistent with the overreaction hypothesis. The phenomenon is likely to be explained by the low individualism in the Vietnamese culture. Evidence on high volatility, low persistence and high correlation of stock returns is also found from the study.

Dividend policy includes two steps of making decisions, namely dividend payment and dividend magnitude; however, several prior studies focus on only one in two steps. This study investigates dividend policy in Vietnamese stock market with Heckman's two-step regression approach which fixes the selection bias caused by censored research data. Research findings show that in the first step, likelihood of dividend payment is positively affected by profitability, firm size and earned/contributed capital mix and state control while it is negatively related to investment opportunities, stock liquidity and insider ownership. In the second step, investment opportunities and insider retention have a negative impact on dividend yields while leverage has negative and positive impacts on payout ratio and dividend yield respectively. Contrary to free cash flow hypothesis, free cash flows to total assets ratio is negatively related to payout ratio.