The International Journal Of Applied Business
ISSN -
Vol. 1 / No. 1 / Published : 2017-04
Order : 5, and page :1 - 15
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Original Article :
Pengujian kekuatan model carhart empat faktor terhadap excess return saham di indonesia
Author :
- Yossy Imam Candika*1
- Dosen Fakultas Ekonomi dan Bisnis
Abstract :
One crucial information for investor in making their investment decision is toestimate asset-pricing level. The basic principle would be high risk, high return. Thisresearch is using Carhart model (1997): market return, size, book to market, andmomentum. The goal of this research is to test and analyze the influence of CarhartFour Factor Model toward Indonesian stock' excess return.Dependent variable used in this research is stock' excess return, whileindependent variable used are Carhart four factor model. Population used is all nonfinancial firms listed in Bursa Efek Indonesia from year 2010 to 2012. Total samplesare 150 firms. To test the model in this research, we firstly create ten portfolio groupsby combining size-book to market and size-momentum. We use multiple regressionanalysis by using 10 regression analysis model based on previously built 10 portfoliocombinations.Statistical test on variable excess market return toward stock return on 10portfolio shows that there exist positive significant relationship to all models. SMB issignificantly impacting portfolio return to 5 models. HML is significantly impactingportfolio return to 6 models. UMD impacting positively significant toward portfolioreturn on 2 models
Keyword :
stock excess return, Carhart four factor model, market return, size, book to market, momentum,
References :
Archive Article
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 Volume : 1 / No. : 1 / Pub. : 2017-04 |
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