STUDI MODEL TIGA FAKTOR FAMA AND FRENCH DAN RETURN SAHAM

Irsad, Moch and Sudiyatno, Bambang and Subagyo, Herry and Thesiana, Dhevi Ayuning (2012) STUDI MODEL TIGA FAKTOR FAMA AND FRENCH DAN RETURN SAHAM. LAPORAN PENELITIAN.

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Abstract

This study examined empirically Three Factor Model Fama and French on stock returns LQ 45, using data over the period 2007-2009. Specifically, this study examines the behavior of stock prices in relation to company size and book-to-market ratio. The main objective of this study was to provide evidence that will contribute to the effort to explain the Three Factor Model Fama and French in emerging markets. Our findings indicate a significant positive effect between the risk premium with stock returns, while the firm size and book-to-market ratio is negatively effect, but no significant on stock returns. Therefore, the two-factor Fama and French no proven effect on stock returns. Keywords: stock return, firm size, risk premium, and the book-to-market ratio.

Item Type:	Article
Subjects:	H Social Sciences > H Social Sciences (General)
Faculty / Institution:	Fakultas Ekonomika dan Bisnis > Program Studi Manajemen
Depositing User:	Fakultas Ekonomi
Date Deposited:	21 Nov 2013 03:42
Last Modified:	21 Nov 2013 03:42
URI:	https://eprints.unisbank.ac.id/id/eprint/1896

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