The Effect of Firm Profitability on Expected Stock Return in ASEAN Stock Market

Nathania Clara, Sung Suk Kim


This research discusses and analyzes the company's profitability related to the company's stock return performance Profitability of the firm is related to the firm's performance of stock return. This study uses time-series data with a total sample of 1,010 firms from five countries in ASEAN (Indonesia, Thailand, Malaysia, Philippines, and Vietnam) from January 2010 to December 2019. Fama-French 3 factor model based on two different profitability showed that profitability positively affects the stock return in ASEAN markets. Fama-MacBeth's (1973) regression confirms that firm profitability scaled by operating profit-to-equity or operating profit-to-assets positively influences expected stock returns in the ASEAN market.

DOI: 10.26905/jkdp.v25i3.5598


Profitability; expected stock return; ASEAN stock market

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