TESTING OF CARHART FOUR FACTORS ASSET PRICING MODEL AT INDEX LQ 45: Year 2012 - 2016
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Date
2019
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Journal of Advanced Research in Dynamical & Control Systems, Vol. 11, 03-Special Issue
Abstract
This study aims to determine whether the Carhart four factors model can explain the level of excess return of the expected stock. The population used are companies that are included in the LQ 45 Index, the largest and most liquid capitalized companies during the period of 2012-2016, as many as 20 companies with purposive sampling techniques and the analysis techniques used are multiple regression analysis. The test results show that market return, small minus big (SMB), high minus low (HML) and winner minus low (WML) have a significant effect on stock excess return, the effect is 79 %. The result of the partial test shows that the variable market return, small minus big (SMB) and high minus low (HML) have significant effect on excess return, while winner minus low (HML) has no effect on excess return.
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Keywords
Four Factors Model, Market Return, Size (SMB), Book to Market Equity (HML), Winner Minus Low (WML)