Proceedings of the 5th Bandung Creative Movement International Conference on Creative Industries 2018 (5th BCM 2018)

The Use of The Three Factor Asset Pricing Models and Carhart Four Factors to Assess Excess Return

Authors
Nugi Nugraha, Neneng Susanti
Corresponding Author
Neneng Susanti
Available Online July 2019.
Keywords
Pricing models, Carhart, Factors, Excess Return
Abstract

The research was conducted to find out which method is the best in assessing stock returns in LQ 45 companies. The populations used are companies included in the LQ 45 Index, which are the most liquid and large capitalized companies during the 2012-2016 period totaling 20 companies with purposive sampling sampling technique and the analysis technique used is multiple regression analysis. Data analysis method in this study uses statistical data processing application, SPSS, the last pared simple test is used to see models that better predict or explain excess returns. From this study it was found that both three factors and four factors have a joint effect on stock excess returns. The amount of influence on excess stock returns (Y) is 0.772 or 77% and 0.790 or 79%, respectively. Whereas based on the paired test sesults the test sample revealed that between three factors and four factors there was no significant difference in explaining excess return

Copyright
© 2019, 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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Volume Title
Proceedings of the 5th Bandung Creative Movement International Conference on Creative Industries 2018 (5th BCM 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
July 2019
ISBN
978-94-6252-748-5
ISSN
2352-5398
Copyright
© 2019, 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/).

Cite this article

TY  - CONF
AU  - Nugi Nugraha
AU  - Neneng Susanti
PY  - 2019/07
DA  - 2019/07
TI  - The Use of The Three Factor Asset Pricing Models and Carhart Four Factors to Assess Excess Return
BT  - Proceedings of the 5th Bandung Creative Movement International Conference on Creative Industries 2018 (5th BCM 2018)
PB  - Atlantis Press
SP  - 361
EP  - 369
SN  - 2352-5398
UR  - https://www.atlantis-press.com/article/125910956
ID  - Nugraha2019/07
ER  -