Jurnal Akuntansi dan Bisnis,Vol. 9, No. 1, Februari 2009 (1-12)ISSN: 1412 – 0852
Model Fama dan FrenchSebagai Pembentukan Portfolio SahamDi Indonesia
Rowland Bismark Fernando Pasaribu
This study examines empirically the Fama and French three factor model ofstock returns using Indonesian data over the period 2003-2006. Specifically, itexamines the behavior of stock prices, in relation to size (market equity, ME)and book-to-market ratio. The major objective of this study is to provideevidence that would contribute to the effort of explaining the 3FM in anemerging market. Our findings reveal a significant relationship betweenmarket, size and book-to-market equity factors and expected stock returns inthe Indonesian market. The empirical results confirm that even the Fama andFrench (1993) three factor model holds for the Indonesian Stock Exchange andmore robust than CAPM in non-financial stock, in portfolio level still resultbad performance .
Keywords: CAPM, Fama and French Three Factor Model, Expected Return, MarketCapitalization, Book-to-Market Ratio, Coefficient of Determination