This study investigates the relationship between capital structure and shareholder value in Vietnam. We use accounting and stock market data for firms listed on the Ho Chi Minh City stock exchange during the period 2007–2013. Our analysis shows a negative relation between financial leverage and shareholder value, indicative of a proportionately greater cost to debt financing than benefit for Vietnamese firms. Moreover, we find that only low leveraged firms are likely to create value for shareholders. Our study has implications for Vietnamese firm's preferred capital structure and for investors who contemplate to invest in Vietnamese stock markets.