Ahmad Zaluki, Nurwati Ashikkin and Ramdi, Zulmi (2013) The effect of market excess returns, size, market-to-book ratio and earnings yield on stock returns. International Business Management, 7 (4). pp. 267-277. ISSN 1993-5250

PDF Restricted to Registered users only Download (893kB) | Request a copy

Abstract

This study investigates the effect of both Fama and French three-factor model (consisting of market excess returns, size and market-to-book ratio) and earnings yield on stock returns in companies listed on Bursa Efek Indonesia. The result shows that stock returns are not affected by only market excess returns but also by size and market-to-book ratio. Moreover, earnings yield helps the three-factor model to capture more variation in stock returns, suggesting that the involvement of earnings yield has improved the efficiency of the Fama and French three-factor model.

Item Type:	Article
Uncontrolled Keywords:	Fame and French three-factor, model,small size effect, stock return, market excess, book ratio
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	Othman Yeop Abdullah Graduate School of Business
Depositing User:	Mrs. Norazmilah Yaakub
Date Deposited:	01 Apr 2019 00:49
Last Modified:	01 Apr 2019 00:49
URI:	https://repo.uum.edu.my/id/eprint/25816

Actions (login required)

View Item