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Pondaag, Rianty Nikita Lotazia
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ACCOUNTING INFORMATION IN THE FAMA AND FRENCH THREE-FACTORS MODEL Pondaag, Rianty Nikita Lotazia; Ekawati, Erni
Jurnal Akuntansi dan Keuangan Indonesia Vol. 17, No. 2
Publisher : UI Scholars Hub

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Abstract

The purpose of this study is to reexamine the ability of the Fama-French Three Risk Factor Model to explain stock portfolio returns in countries with different economic levels, as well as examine the effect of accounting information derived from book-to-market on stock portfolio returns. The sample used was a manufacturing company on the Indonesia Stock Exchange and the Tokyo Stock Exchange from 2013-2018. The results show that the three risk factors of the Fama-French model apply consistently to explain the variation in stock portfolio returns in developed markets. For the portfolio of shares in the emerging market, model Fama-French does not consistently assess stock portfolio returns. This research also provides empirical evidence that accounting information contained in book-to-market risk factors is only retained earnings, which has a contribution to the valuation of stock portfolio returns. The results of this study indicate that investors in developed markets are more rational and knowledgeable than emerging markets.
Co-Authors Erni Ekawati