This study examines the nominal price anomaly in the Vietnamese stock market, that is, whether stocks with low nominal price outperform stocks with high nominal price. Using a sample of all 351 companies listed on the Ho Chi Minh Stock Exchange (HOSE) from June 2009 to March 2018, we confirm our hypothesis and document that cheaper stocks yield higher subsequent abnormal returns. The results are robust after controlling for various stock characteristics that have been documented to be value-relevant in prior literature, including firm size, bookto- market ratio, intermediate-term momentum, short-term reversal, skewness, market risk, idiosyncratic risk, illiquidity and extreme daily returns, using both the portfolio analysis and the Fama-MacBeth cross-sectional regression. The negative effect persists in the long term (i.e., after up to 12 months), implying a slow adjustment of stock prices to their intrinsic value. Further analysis show that the observed nominal price anomaly is mainly driven by mispricing but not a latent risk factor proxied by stock price, thus the observed anomaly reflects a mispricing but not a fundamental risk. The study highlights the irrational behaviour of investors and market inefficiency in the Vietnamese stock market and provides important implication for investors in the market.

Abstract
1. Introduction
2. Data and Methodology
3. Empirical Results
    3.1. Portfolio Analysis
    3.2. Firm-Level Cross-Sectional Regression
4. Robustness Tests
    4.1. Risk or Mispricing?
    4.2. Longer Holding Periods
5. Conclusion
References

• Lai Trung HOANG(School of Banking and Finance, National Economics University) Corresponding Author
• Trang Thu PHAN(School of Banking and Finance, National Economics University)
• Linh Nhat TA(School of Banking and Finance, National Economics University)