TESTING OF CARHART FOUR FACTORS ASSET PRICING MODEL AT INDEX LQ 45: Year 2012 - 2016

Simple item page
dc.contributor.authorSusanti, Neneng
dc.contributor.authorIchsani, Sakina
dc.date.accessioned2021-02-12T07:04:42Z
dc.date.available2021-02-12T07:04:42Z
dc.date.issued2019
dc.description.abstractThis 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.en_US
dc.identifier.issn1943-023X
dc.identifier.urihttp://repository.widyatama.ac.id/xmlui/handle/123456789/12438
dc.language.isoenen_US
dc.publisherJournal of Advanced Research in Dynamical & Control Systems, Vol. 11, 03-Special Issueen_US
dc.subjectFour Factors Modelen_US
dc.subjectMarket Returnen_US
dc.subjectSize (SMB)en_US
dc.subjectBook to Market Equity (HML)en_US
dc.subjectWinner Minus Low (WML)en_US
dc.titleTESTING OF CARHART FOUR FACTORS ASSET PRICING MODEL AT INDEX LQ 45: Year 2012 - 2016en_US
dc.typeArticleen_US
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Neneng Susanti - Testing of Carhart Four Factors Asset Pricing Model at Index LQ 45 Year 2012 - 2016.pdf
Size:
282.97 KB
Format:
Adobe Portable Document Format
Description:
Download
License bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
International Journal