The Application of Three-Factor Pricing Model in LQ45 Index
| Main Author: | Tjandrasa, Benny Budiawan |
|---|---|
| Format: | Article PeerReviewed Book |
| Terbitan: |
, 2015
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| Subjects: | |
| Online Access: |
http://repository.maranatha.edu/13542/1/The%20Application%20of%20Three%20Factor%20Pricing%20Model%20in%20LQ45%20Index.pdf http://repository.maranatha.edu/13542/ |
Daftar Isi:
- 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.