Muhammad, Habib Nur Shiddiq and Hasnawati, Sri and Fiska, Huzaimah (2020) Fama-French Three Factor Model: A Study on LQ 45 Companies In Indonesia Stock Exchange. IOSR-JEF.

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SIMILARITY CHECK: This study aims to determine the effect of the Fama-French Three Factor Model variable, which is excess return (market, size, and book to market equity) on excess return portfolio of shares in LQ-45 companies in the Indonesia Stock Exchange in January 2016 – December 2018. Data sources used in this research is the closing price of shares taken from the official website of the Indonesia Stock Exchange ( and the risk free rate per month is obtained from the website of Bank Indonesia ( The samples used in this study is32 companies using the purposive sampling method. The analytical method used is multiple linear regression. The results of this study indicate that all variables in the Fama-French Three Factor Model have a significant positive effect on the excess return of stock portfolios in LQ-45 companies on the Indonesia Stock Exchange. Keywords:Fama-French Three Factor Model, Excess Return, Market Risk, Size, Book to Market Equity

Item Type: Other
Subjects: H Social Sciences > HG Finance
Divisions: Fakultas Ekonomi dan Bisnis (FEB) > Prodi Manajemen
Depositing User: Dr Sri Hasnawati
Date Deposited: 26 Jul 2020 07:27
Last Modified: 26 Jul 2020 07:27

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