STUDY OF THREE FACTORS MODEL FAMA AND FRENCH IN INDONESIA STOCK EXCHANGE (Study on the Stock LQ 45)
Abstract
This study examined empirically Three Factor Model Fama and French on stock
returns LQ 45, using data over the period 2007-2009. Specifically, this study
examines the behavior of stock prices in relation to company size and book-tomarket
ratio. The main objective of this study was to provide evidence that will
contribute to the effort to explain the Three Factor Model Fama and French in
emerging markets.
Our findings indicate a significant positive effect between the risk premium with
stock returns, while the firm size and book-to-market ratio is negatively effect, but
no significant on stock returns. Therefore, the two-factor Fama and French no
proven effect on stock returns.
returns LQ 45, using data over the period 2007-2009. Specifically, this study
examines the behavior of stock prices in relation to company size and book-tomarket
ratio. The main objective of this study was to provide evidence that will
contribute to the effort to explain the Three Factor Model Fama and French in
emerging markets.
Our findings indicate a significant positive effect between the risk premium with
stock returns, while the firm size and book-to-market ratio is negatively effect, but
no significant on stock returns. Therefore, the two-factor Fama and French no
proven effect on stock returns.
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