Empirical Testing of the Five-Factor Model of Fama and French in Indonesia as an Emerging Capital Market
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Asian Institute of Research, Journal Publication, Journal Academics, Education Journal, Asian Institute
Asian Institute of Research, Journal Publication, Journal Academics, Education Journal, Asian Institute

Economics and Business

Quarterly Reviews

ISSN 2775-9237 (Online)

asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, managemet journal
asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, managemet journal
asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, managemet journal
asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, managemet journal
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open access

Published: 17 January 2020

Empirical Testing of the Five-Factor Model of Fama and French in Indonesia as an Emerging Capital Market

Mustaruddin Saleh

Tanjungpura University, Indonesia

asian institute research, jeb, journal of economics and business, economics journal, accunting journal, business journal, management journal

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doi

10.31014/aior.1992.03.01.175

Pages: 19-28

Keywords: CAPM, Three-Factor Model, Five-Factor Model, Stock Returns

Abstract

This study was conducted to empirically examine the five-factor model of Fama and French in respect to stock returns of companies listed in the finance sector with 170 observations over the period 2012-2016. As a comparative analysis, this study is also conducted to examine CAPM and the three-factor model of Fama and French. The findings of the study revealed that the market return has a positive and partially significant impact on the stock return for CAPM. Specifically, both variables, small minus big (SMB) and high minus low (HML) have a positive and significant impact on stock returns in the three-factor model and five-factor model of Fama and French. In contrast to the research of Fama and French the explanation power of the five-factor model is lower than that of the three-factor model in this research.

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