The Application of Three-Factor Pricing Model in LQ45 Index

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

The Application of Three Factor Pricing Model in LQ45 Index.pdf - Published Version

Download (583Kb) | Preview


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

Actions (login required)

View Item View Item