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

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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Main Author: Ramdy, Zulmi
Format: Thesis
Language:eng
eng
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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id my-uum-etd.2871
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Ahmad Zaluki, Nurwati Ashikkin
topic HG Finance
spellingShingle HG Finance
Ramdy, Zulmi
Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return
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
qualification_name masters
qualification_level Master's degree
author Ramdy, Zulmi
author_facet Ramdy, Zulmi
author_sort Ramdy, Zulmi
title 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_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_sort testing fama and french three-factor model and earnings-to-price on stock excess return
granting_institution Universiti Utara Malaysia
granting_department Othman Yeop Abdullah Graduate School of Business
publishDate 2011
url https://etd.uum.edu.my/2871/1/Zulmi_Ramdy.pdf
https://etd.uum.edu.my/2871/2/1.Zulmi_Ramdy.pdf
_version_ 1747827449493716992
spelling my-uum-etd.28712016-04-19T08:04:25Z Testing Fama and French Three-Factor Model and Earnings-to-Price on Stock Excess Return 2011 Ramdy, Zulmi Ahmad Zaluki, Nurwati Ashikkin Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business 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 https://etd.uum.edu.my/2871/ https://etd.uum.edu.my/2871/1/Zulmi_Ramdy.pdf application/pdf eng validuser https://etd.uum.edu.my/2871/2/1.Zulmi_Ramdy.pdf application/pdf eng public masters masters Universiti Utara Malaysia Adrian, T., and Franzoni, F. (2009). Learning about Beta: Time-varying Factor Loadings, Expected Returns, and The Conditional CAPM. Journal of Empirical Finance, 16, 537-556. Aydogan, K., and Gursoy, G. (2001). P/E and Price-to-Book Ratio as Predictors of Stock Returns in Emerging Equity Markets. Bilken University: Working Paper. Bagella, M., Becchati, L., and Carpentieri, A. (2000). The First Shall be Last. Size and Value Strategy Premia at The London Stock Exchange. Journal of Banking and Finance, 24, 893-919. Ball, R. (1978). 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