PENGUJIAN FAMA FRENCH THREE FACTOR MODEL PADA PERUSAHAAN DI INDONESIA YANG SAHAMNYA TERDAPAT DI LQ 45 TAHUN 2005 – 2009

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PENGUJIAN FAMA FRENCH THREE FACTOR MODEL PADA PERUSAHAAN DI INDONESIA YANG SAHAMNYA TERDAPAT DI LQ 45 TAHUN 2005 – 2009

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Title: PENGUJIAN FAMA FRENCH THREE FACTOR MODEL PADA PERUSAHAAN DI INDONESIA YANG SAHAMNYA TERDAPAT DI LQ 45 TAHUN 2005 – 2009
Author: Susanti, Neneng
Abstract: This study empirically examined the Fama-French three factor model of stock returns for Indonesia over the period 2005-2009. We found evidence for pervasive market, size, and book-tomarket factors in Indonesia stock returns. We found that cross-sectional mean returns were explained by exposures to these three factors, and not by the market factor alone. The empirical result were reasonably consistent with Fama-French three factor model.
URI: http://repository.widyatama.ac.id/xmlui/handle/123456789/4284
Date: 2013-11-14


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