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Damar Hardianto
Fakultas Ekonomi Universitas Negeri Jakarta Jl.Rawamangun Muka No.1, Jakarta
Economics, Econometrics & Finance

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PENGUJIAN FAMA-FRENCH THREE-FACTOR MODEL DI INDONESIA Damar Hardianto; Suherman Suherman
Jurnal Keuangan dan Perbankan Vol 13, No 2 (2009): May 2009
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1015.625 KB) | DOI: 10.26905/jkdp.v13i2.929

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.
Co-Authors Suherman