Accuracy Level Analysis of Pricing Model on State-Owned Enterprises Stocks

DOI

10.2991/aebmr.k.210831.016How to use a DOI?

Keywords

Pricing Model, Stock Price

Abstract

This study evaluates and compares the Capital Asset Pricing Model and Fama-French three-Factors (FF3) performance to explain the excess returns on state-owned companies listed on the Indonesia Stock Exchange. The results showed that the Fama-French Three-Factor Model was better than the Capital Asset Price Model to explain the excess returns in Indonesian state-owned companies. This study uses asset price factors of 2 x 3 types and excess returns of 6 Size-B / M as the dependent variable. This study uses Ordinary Least Square (OLS) with daily time-series data from 29 July 2019 to 10 December 2019. Based on the adjusted R2 average of the two models, FF3 explains that the portfolio’s excess returns are better than the CAPM. For the Capital Asset Pricing Model, the average R2 value of the multiple linear regression results for the Size-BM portfolio group is 47%, and for the three-factor Fama-French model, the average R2 value of the multiple line regression results for the Size-BM portfolio is 52%. It can be said that the three-factor Fama-French model is more accurate in performing asset pricing on Indonesia State-Owned Enterprises.

Copyright

© 2021, 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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TY  - CONF
AU  - Kurniawan Putra
AU  - Dony Abdul Chalid
PY  - 2021
DA  - 2021/09/02
TI  - Accuracy Level Analysis of Pricing Model on State-Owned Enterprises Stocks
BT  - Proceedings of the 5th Global Conference on Business, Management and Entrepreneurship (GCBME 2020)
PB  - Atlantis Press
SP  - 73
EP  - 76
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210831.016
DO  - 10.2991/aebmr.k.210831.016
ID  - Putra2021
ER  -