TESTING THE EFFECTIVENESS OF THE CARHART MODEL FOUR FACTORS ON EXCESS RETURNS IN INDONESIA
Journal Title: TIJAB (The International Journal of Applied Business) - Year 2017, Vol 1, Issue 1
Abstract
One crucial information for investor in making their investment decision is to estimate asset-pricing level. The basic principle would be high risk, high return. This research is using Carhart model (1997): market return, size, book to market, and momentum. The goal of this research is to test and analyze the influence of Carhart Four Factor Model toward Indonesian stock' excess return. Dependent variable used in this research is stock' excess return, while independent variable used are Carhart four factor model. Population used is all non-financial firms listed in Bursa Efek Indonesia from year 2010 to 2012. Total samples are 150 firms. To test the model in this research, we firstly create ten portfolio groups by combining size-book to market and size-momentum. We use multiple regression analysis by using 10 regression analysis model based on previously built 10 portfolio combinations. Statistical test on variable excess market return toward stock return on 10 portfolio shows that there exist positive significant relationship to all models. SMB is significantly impacting portfolio return to 5 models. HML is significantly impacting portfolio return to 6 models. UMD impacting positively significant toward portfolio return on 2 models.
Authors and Affiliations
Yossy Imam Candika
Keywords
Related Articles
- EP ID EP602487
- DOI 10.20473/tijab.V1.I1.2017.60-74
- Views 224
- Downloads 0
IMPLEMENTATION OF ISLAMIC CORPORATE GOVERNANCE: A CASE STUDY IN BMT NUSANTARA UMAT MANDIRI KALIDAWIR TULUNGANGUNG
BMT NUsantara UMAT MANDIRI as financial institutions are expected to implement the corporate governance of Islam (Islamic Corporate Governance) that comply with Islamic principles. The implementation of Islamic Corporate...
EVALUATION ANALYSIS OF AIRLANGGA UNIVERSITY FACULTY OF VOCATIONAL EDUCATION’S BRAND EQUITY USING CUSTOMER BASED BRAND EQUITY CONCEPT
Indonesia is now facing a new order of global world in terms of economics, educations and other infrastructures. Therefore, Government focus on developing an education system which is not only based on academic and profe...
THE IMPLEMENTATION OF ISLAMIC CORPORATE GOVERNANCE (ICG) ON SHARIA BANKING IN INDONESIA
In 2001, a financial institution in Turkey went bankrupt. The financial institution is "Ihlas Finance House". The cause of the bankruptcy of financial institutions according to Islamic finance economists is as a result o...
ANALYZING THE STRATEGIC ALIGNMENT BETWEEN INFORMATION SYSTEM TECHNOLOGY AND BUSINESS PROCESS IN SMALL MEDIUM ENTERPRISE (SME) USING FRAMEWORK COBIT 4.1– A CASE STUDY IN UNIVERSAL TRADING, SURABAYA
This research was conducted in Universal Trading as one of SME that applies Information Technology as daily business process in order to analyze whether the use of Information Technology is alligned with the strategy for...
SENTIMENT MARKET ANALYSIS ON REPLACEMENT ANNOUNCEMENT OF CHIEF EXECUTIVE OFFICER (CEO)
This study examines the market reaction to the announcement of Chief Executive Officer (CEO) measured by abnormal return. The study sample consisted of 55 CEO turnover announcements using the t-test to test information c...