Tjandrasa, Benny Budiawan (2015) The Application of Three-Factor Pricing Model in LQ45 Index. International Journal of Education and Research, 3 (2). pp. 483-496. ISSN 2201-6333
|
Text
The Application of Three Factor Pricing Model in LQ45 Index.pdf - Published Version Download (583Kb) | Preview |
Abstract
The Capital Asset Pricing Model has been widely used in many countries and modified to several models such as to Three-Factor Pricing Model and Four-Factor Pricing Model. The objective of this research is to compare the Three-Factor Pricing Model and Four-Factor Pricing Model for stocks in Indonesia Stock Exchange LQ45 index. Financial data for the period 2006 to 2011 were obtained from the Indonesia Stock Exchange’s website. Fama-French methodology was used to construct equations Three-Factor Pricing Model, while to build a Four-Factor Pricing Model the methodology used was developed by Carhart. The result of using quantitative method and multiple-regression indicates that Four-Factor Pricing Model is fitter than Three-Factor Pricing Model for Indonesia Stock Exchange LQ45 index in that period.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Capital market, CAPM, Three-Factor Pricing Model, Four-Factor Pricing Model, LQ45 Index. |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Depositing User: | Perpustakaan Maranatha |
| Date Deposited: | 24 Jun 2015 08:20 |
| Last Modified: | 24 Jun 2015 08:20 |
| URI: | http://repository.maranatha.edu/id/eprint/13542 |
Actions (login required)
 |
View Item |
