This paper examines the Fisher hypothesis using 24 industry stocks in Vietnamese stock market. Empirical results in both ex post and ex ante models show a clear rejection of one-to-one relationship between stock returns and (actual/expected/unexpected) inflation, for all industry stock returns. Interestingly, the Fisher hypothesis that common stocks can provide a complete hedge against expected inflation is strongly rejected, given these findings. However, the results show that a number of industry stocks can provide a partial hedge against both ex post and expected inflation. This study has several implications for investors.