The Determinants of Stock Return Using by Fama and French Three Factor Model (FF3FM) in IDX

DOI

10.2991/aebmr.k.210507.032How to use a DOI?

Keywords

stock return, beta, firm size, book to market ratio, Fama and French Three Factor Model (FF3FM)

Abstract

The purpose of this study is to empirically examine the influence of market, size, and value factors in the Fama and French Three Factor Model (FF3FM) on stock return of LQ45 companies from 2014 to 2018. The population of this study are all the LQ45 companies listed in the Indonesia Stock Exchange (IDX). The sampling technique used is purposive sampling, which resulted in 10 companies as the samples. The results of this study indicate that beta has a significant positive effect on stock return. Firm size has a significant negative effect, while book-to-market ratio has a positive but not significant effect on stock return. From the results of this research, it can be indicated that FF3FM is still considered as a potential asset pricing model in IDX.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Wilson Subroto
AU  - Ignatius Roni Setyawan
PY  - 2021
DA  - 2021/05/09
TI  - The Determinants of Stock Return Using by Fama and French Three Factor Model (FF3FM) in IDX
BT  - Proceedings of the Ninth International Conference on Entrepreneurship and Business Management (ICEBM 2020)
PB  - Atlantis Press
SP  - 208
EP  - 214
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210507.032
DO  - 10.2991/aebmr.k.210507.032
ID  - Subroto2021
ER  -