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Tests of a four-factor asset pricing model in the Indonesian stock exchange

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)
Creators:
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NIM
Email
ORCID
Panjaya, Alexander
NIM01011190043
alex.gelfand941@gmail.com
UNSPECIFIED
Contributors:
Contribution
Contributors
NIDN/NIDK
Email
Thesis advisor
Nugroho, Vina
NIDN0319058903
UNSPECIFIED
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
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Business School > Management
Current > Faculty/School - UPH Karawaci > Business School > Management
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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