Testing the Four Factors of the Carhart Model Against Excess Return of Shares in Companies Registered in the Kompas 100 Index for the 2014-2016 Period

Delvira Mahmud

Abstract


The researcher intends to test the four carhart factor model of stock excess return in companies incorporated in Kompas 100 for the 2014-2016 period. Regression analysis was performed on four carhart factor models, namely market returns, firm size, book to market, and momentum towards excess return. The results of this study indicate that in the partial hypothesis testing market return, firm size, and book to market equty variables significantly influence the excess return, while the momentum variable does not significantly influence the magnitude of excess return.

Keywords: Four factors, market returns, firm size, book to market equity, momentum, excess stock returns

Full Text:

PDF


DOI: https://doi.org/10.37479/jsm.v1i1.1983

Refbacks

  • There are currently no refbacks.


Copyright (c) 2019 Jambura Science of Management

Creative Commons License
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

Creative Commons License
Jambura Science of Management (P-ISSN 2655-3651, E-ISSN 2656-0453) is licensed under a Creative Commons Attribution 4.0 International License. Copyright © 2019 Universitas Negeri Gorontalo. Powered by Public Knowledge Project OJS

Editorial Office of Jambura Science of Management; Department of Management, Economic Faculty, Universitas Negeri Gorontalo. Jendral Sudirman Street, Number 6, Gorontalo City, Gorontalo Province 96128, Indonesia. Telp. +6281340111868; +6282348598585 (Call/SMS/WA) E-mail: jsmfekonung@gmail.com