Perbandingan perhitungan return portofolio antara fama & french three factor model dengan capital asset pricing model pada Bursa efek Indonesia periode 2005 sampai dengan 2009
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Institusion
Universitas Multimedia Nusantara
Author
Kiky, Andreas
Subject
HG Finance
Datestamp
2017-08-15 01:54:20
Abstract :
CAPM or Capital Asset Pricing Model is one of popular asset pricing model that used by many investor. But empirically this model is fail to explain excess return of portfolio and also can not explain size-effect in Banz (1981). There are some alternatif of asset pricing model such as APT Model or Arbitrage Pricing Theory Model and Fama and French Three Factor Model. This research is conducted to make comparison between CAPM and Fama French Three Factor Model in Jakarta Stock Exchange. In conclusion, this research find that both CAPM and Fama French Three Factor Model are valid in Jakarta Stock Exchange and also prove that Fama French Three Factor Model are superior than CAPM which showed by coeficient determination (R2).
CAPM or Capital Asset Pricing Model is one of popular asset pricing model that used by many investor. But empirically this model is fail to explain excess return of portfolio and also can not explain size-effect in Banz (1981). There are some alternatif of asset pricing model such as APT Model or Arbitrage Pricing Theory Model and Fama and French Three Factor Model. This research is conducted to make comparison between CAPM and Fama French Three Factor Model in Jakarta Stock Exchange. In conclusion, this research find that both CAPM and Fama French Three Factor Model are valid in Jakarta Stock Exchange and also prove that Fama French Three Factor Model are superior than CAPM which showed by coeficient determination (R2).
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