PENGUJIAN FAMA-FRENCH THREE-FACTOR MODEL DI INDONESIA

Authors

  • Damar Hardianto Fakultas Ekonomi Universitas Negeri Jakarta Jl.Rawamangun Muka No.1, Jakarta
  • Suherman Suherman Fakultas Ekonomi Universitas Negeri Jakarta Jl.Rawamangun Muka No.1, Jakarta

DOI:

https://doi.org/10.26905/jkdp.v13i2.929

Keywords:

Fama-French Three Factor, Capital Asset Pricing Model

Abstract

This study empirically examined the Fama-French three factor model of stock returnsfor Indonesia over the period 2000-2004. We found evidence for pervasive market, size, andbook-to-market factors in Indonesian stock returns. We found that cross-sectional mean returnswere explained by exposures to these three factors, and not by the market factor alone. Theempirical results were reasonably consistent with the Fama-French three factor model.

Downloads

Issue

Vol. 13 No. 2 (2009): May 2009

Section

FINANCE AND BANKING

License

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.