Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return

Bursa Efek Indonesia (BEI) is the centre of Indonesia equity market. This study empirically tests Fama and French three-factor model in Indonesia equity market characteristic which is influenced by Indonesia economic condition. Furthermore, new proposed model is also tested in this equity market whe...

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Bibliographic Details
Main Author: Ramdy, Zulmi
Format: Thesis
Language:English
English
Published: 2011
Subjects:
HG Finance
Online Access:https://etd.uum.edu.my/2871/1/Zulmi_Ramdy.pdf
https://etd.uum.edu.my/2871/2/1.Zulmi_Ramdy.pdf
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author Ramdy, Zulmi
author_facet Ramdy, Zulmi
author_sort Ramdy, Zulmi
description Bursa Efek Indonesia (BEI) is the centre of Indonesia equity market. This study empirically tests Fama and French three-factor model in Indonesia equity market characteristic which is influenced by Indonesia economic condition. Furthermore, new proposed model is also tested in this equity market where three-factor model is combined with earnings yield to explain variation on stock excess return. The result shows that stock excess returns is not affected by only market return but also by size and market to book ratio. Moreover, earnings yield helps three-factor model to capture more variation in stock excess return. The empirical results are consistent with Fama and French three-factor model and also four-factor model. In addition, involvement of earnings yield also is proved empirically improve efficiency of three-factor model.
format Thesis
id oai:etd.uum.edu.my:2871
institution Universiti Utara Malaysia
language English
English
publishDate 2011
record_format eprints
spelling oai:etd.uum.edu.my:28712016-04-19T08:04:25Z https://etd.uum.edu.my/2871/ Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return Ramdy, Zulmi HG Finance Bursa Efek Indonesia (BEI) is the centre of Indonesia equity market. This study empirically tests Fama and French three-factor model in Indonesia equity market characteristic which is influenced by Indonesia economic condition. Furthermore, new proposed model is also tested in this equity market where three-factor model is combined with earnings yield to explain variation on stock excess return. The result shows that stock excess returns is not affected by only market return but also by size and market to book ratio. Moreover, earnings yield helps three-factor model to capture more variation in stock excess return. The empirical results are consistent with Fama and French three-factor model and also four-factor model. In addition, involvement of earnings yield also is proved empirically improve efficiency of three-factor model. 2011 Thesis NonPeerReviewed application/pdf en https://etd.uum.edu.my/2871/1/Zulmi_Ramdy.pdf application/pdf en https://etd.uum.edu.my/2871/2/1.Zulmi_Ramdy.pdf Ramdy, Zulmi (2011) Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return. Masters thesis, Universiti Utara Malaysia.
spellingShingle HG Finance
Ramdy, Zulmi
Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return
title Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return
title_full Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return
title_fullStr Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return
title_full_unstemmed Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return
title_short Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return
title_sort testing fama and french three factor model and earnings to price on stock excess return
topic HG Finance
url https://etd.uum.edu.my/2871/1/Zulmi_Ramdy.pdf
https://etd.uum.edu.my/2871/2/1.Zulmi_Ramdy.pdf
url-record https://etd.uum.edu.my/2871/
work_keys_str_mv AT ramdyzulmi testingfamaandfrenchthreefactormodelandearningstopriceonstockexcessreturn

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