PENGUJIAN FAMA-FRENCH THREE-FACTOR MODEL DI INDONESIA

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)

Jurnal Keuangan dan Perbankan
Vol 13, No 2 (2009): May 2009

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.