Tjandrasa, Benny Budiawan (2014) The Influence of EPS to Three-Factor Pricing Model. In: The Second International Conference on Finance, 16-17 December 2014, Bali.
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IFMA 2nd International Conference on Finance 2014 Benny Budi.pdf - Published Version Download (1718Kb) | Preview |
Abstract
Company’s success in earning profit will raise the EPS and value of the firm. Increase in value of the firm will increase company's share price. Theoretically increase in EPS reflects management's success in rousing return will increase the company's share price. However a number of studies that discussed the EPS have different conclusions. There are a number of research findings that prove that the EPS variable has insignificant effect on market returns, while a number of other studies prove the EPS variable significantly influence the market return. Allegedly these differences are influenced by stock market conditions at the time of the study, booms and busts conditions. This study adds a variable aMb (above minus below) EPS in the equation Fama-French Pricing Model and prove whether aMb variable has a significant effect. The results reveal that independent variable aMb has a significant influence on expected excess return in Three-Factor Pricing Model in ‘booms stock market’ and has an insignificant influence on expected excess return in Three-Factor Pricing Model in ‘booms and busts stock market’.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | CAPM, size capitalization, market risk premium, book-to-market ratio, earning per share. |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Depositing User: | Perpustakaan Maranatha |
| Date Deposited: | 24 Jun 2015 08:41 |
| Last Modified: | 24 Jun 2015 08:41 |
| URI: | http://repository.maranatha.edu/id/eprint/13545 |
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