PENGUJIAN FAMA FRENCH THREE FACTOR MODEL PADA PERUSAHAAN DI INDONESIA YANG SAHAMNYA TERDAPAT DI LQ 45 TAHUN 2005 – 2009
No Thumbnail Available
Date
2013-11-14
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Seminar Nasional, Fakultas Pendidikan Ekonomi dan Bisnis Universitas Pendidikan Indonesia
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.
Description
Keywords
Fama-French three factor model, Capital Asset Pricing Model