Panjaya, Alexander (2022) Tests of a four-factor asset pricing model in the Indonesian stock exchange. Bachelor thesis, Universitas Pelita Harapan.
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Abstract
This study is intended to find out whether stock liquidity plays a significant role in determining stock excess returns. Using an extension of the Fama-French Model with the addition the variable stock illiquidity (calculated using the Amihud Illiquidity Measure), a study was conducted on 113 sample stocks listed in the IDX on the period January 2012 until December 2021. Results in this study show that Expected Return significantly affects all sectors, Size Factor significantly affects two sectors, Firm Value Factor significantly affects five sectors, and Liquidity affects one sector.
| Item Type: | Thesis (Bachelor) | ||||||||
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| Uncontrolled Keywords: | Indonesian stock market; four-factor asset pricing model; excess return; size factor; firm value factor; liquidity | ||||||||
| Subjects: | H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
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| Divisions: | University Subject > Current > Faculty/School - UPH Karawaci > Business School > Management Current > Faculty/School - UPH Karawaci > Business School > Management |
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| Depositing User: | Alexander Gelfand Panjaya | ||||||||
| Date Deposited: | 16 Dec 2022 06:23 | ||||||||
| Last Modified: | 16 Dec 2022 06:23 | ||||||||
| URI: | http://repository.uph.edu/id/eprint/51840 |
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