Proceedings of the 15th International Symposium on Management (INSYMA 2018)

Test of Fama & French five factor-model on Indonesian stock market

Authors
Liliana Inggrit Wijaya, Randy Kennardi Irawan, Putu Anom Mahadwartha
Corresponding Author
Liliana Inggrit Wijaya
Available Online March 2018.
DOI
https://doi.org/10.2991/insyma-18.2018.12How to use a DOI?
Keywords
market risk premium, size, book to market, profitability, investment
Abstract
This study aims to test the Fama & French Five-Factor Model (5FF) and the Three-Factor Model (3FF) on stocks listed in the LQ-45 Index over the 2013-2015 periods. The 5FF model includes factors of market risk premium, size, book-to-market equity, profitability, and investment. This study used a multiple linier regression analysis model in the form of panel data for the entire portfolio and each formed portfolio. The number of observations in this study was 648 consisting of 18 portfolios over the period of January 2013 - December 2015. The research findings were similar to Fama and French research (2014) that is market risk premiere has significant effect on return. Profitability has a positive effect but not significant on return. Size and investment have a significant negative effect on return. The difference in yield lies in the profitability factor, whose effect is not significant on return.
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Volume Title
Proceedings of the 15th International Symposium on Management (INSYMA 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
March 2018
ISBN
978-94-6252-475-0
ISSN
2352-5398
DOI
https://doi.org/10.2991/insyma-18.2018.12How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Liliana Inggrit Wijaya
AU  - Randy Kennardi Irawan
AU  - Putu Anom Mahadwartha
PY  - 2018/03
DA  - 2018/03
TI  - Test of Fama & French five factor-model on Indonesian stock market
BT  - Proceedings of the 15th International Symposium on Management (INSYMA 2018)
PB  - Atlantis Press
SP  - 48
EP  - 50
SN  - 2352-5398
UR  - https://doi.org/10.2991/insyma-18.2018.12
DO  - https://doi.org/10.2991/insyma-18.2018.12
ID  - InggritWijaya2018/03
ER  -