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