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This study investigates the relevance of behavioural finance to decision making. Studies suggest that human decision making is not always rational. This paper examines three behavioural financial theories: expected utility, optimal expectation, and cumulative prospect theory, to test financial decision-making when facing skewed distribution in Vietnam. A survey was conducted using lottery tickets, with six questions divided into three pairs. Each pair was aligned with one set of theories, and the questions selected allowed conclusions to be drawn to explain participants' behaviour. The experiment tested 321 people from a variety of age ranges, genders and occupations. Findings show that gender and ages do not significantly impact the decision-making process. However, they explain the preference of participants who appear to be behaving irrationally but do show some rationality when facing the skewed distribution of return. Decision-makers look for all the possible probability payoffs and choose the best outcome with the low-frequency distribution. They follow optimal expectation and cumulative prospect theory ranking the increasing order payoff valued by the parameter and support the cumulative prospect theory set out by Tversky and Kahneman (1992) , showing "cognitive biases" and demonstrating that individuals routinely make decisions that contradict reasonable logic The behavioural finance theory is again proven to be crucial. It strongly complements the standard financial theory. Individuals show heuristic behaviour when decision making in random situations especially when facing skewed distribution.

International audience; Exloring the role of different types of investors on stock market is crticial since different types of investors react and behave differently when making investment decision. The role of investor behavior is a very important issue in an immature stock market like Vietnam stock market because the market is characterized by a large number of individual investors and low reporting standard. Institutional and foreign investors however play an influential role due to their large exposure and strong investment expertise. Clearly, examining the role of investor behavior and its impact on the stock market in Vietnam is an important topic in finance. A significant body of empirical research has shown that investor behavior is an essential factor to explain stock price that the classical financial theory cannot explain. This research examines the role of investor behavior in stock market by examining the relationship between investor behavior and stock return using the Vietnamese stock exchange data. We create a sentiment index using the principal components analysis (PCA). Consistent with the sentiment and stock return literature, the research shows a negative contemporaneous relationship between investor sentiment and market return.