ABSTRACT This paper investigates the cross-sectional relationship between stock returns and firm-specific characteristics in the HoChiMinh Stock Exchange from January 2007 to December 2011. Firstly, we found that beta have flat effect to the expected of stock return even it is only explanatory variable. Secondly, we found the diffident results with the other market. Book to market ratio and earning per price have the most significant and effect in stock returns in whole period. In the up-quarter market, except firm size, the all of variables are significant with expected stock returns but in the down quarter they are insignificant.