Data for Paper "Unrewarded but Amplified"
Description
This dataset underlies a study of the conditional pricing of systematic risk in the Vietnamese stock market, 2014–2024. The raw data were provided by Vietstock (https://vietstock.vn). It contains three CSV files linked by an anonymised ticker identifier (VN001, VN002, etc.) applied consistently across files. Ownership and ratio variables are decimal fractions. 1. File 1: vnindex_daily.csv — Daily closing levels of the VN-Index (the market portfolio), 2 Jan 2014–31 Dec 2024 (2,869 days). Columns: date, close (index points). 2. File 2: daily_prices.csv — Daily closing prices for 627 listed common shares on HOSE, HNX, and UPCOM over the same period (~1.80 million firm-day records). Columns: ticker, date, close (price per share, VND). 3. File 3: firm_year.csv — Annual firm-level panel for the same 627 firms (6,897 firm-year records). Columns: ticker, year, state_pct, foreign_pct, institutional_pct, board_pct (ownership shares); size_ln_assets (ln total assets); roa, roe, leverage, tobinq, annual_return, and rf (annual risk-free rate).