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All Journal International Journal of Management Research and Economics
Agustina Marsella Klau Seran
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Decision Sciences, Operations Research & Management Economics, Econometrics & Finance

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The Effect of Beta, Price to Book Value, Company Size, Profitability and Investment on Stock Returns Agustina Marsella Klau Seran; Dewa Gede Wirama
International Journal of Management Research and Economics Vol. 3 No. 1 (2025): February : International Journal of Management Research and Economics
Publisher : Institut Teknologi dan Bisnis (ITB) Semarang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.54066/ijmre-itb.v3i1.2625

Abstract

This study aims to obtain empirical evidence regarding the influence of 5 factors in the Fama-French 5 Factor Model, namely beta, price to book value , company size, profitability and investment on stock returns. This study analyzed 270 samples of companies listed on the Indonesia Stock Exchange for the 2022 period. The samples were selected using the probability sampling method and analyzed using multiple linear regression analysis techniques. The results of the study indicate that beta and investment have a positive effect on stock returns, company size has a negative effect on stock returns, but price to book value and profitability have no effect on stock returns. The results of this study are not fully able to confirm the accuracy of the Fama-French 5 Factor Model.
Co-Authors Dewa Gede Wirama