Indraseno, Jimmy Dimas Wahyu (2007) Pengujian model penilaian asset: CAPM vs Fama-French three factor model pada saham LQ 45 di Bursa Efek Jakarta (periode 2004-2006). Masters thesis, Widya Mandala Catholic University Surabaya.
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Abstract
This study concerns with the issue Capital Asset Pricing Model (CAPM) and Fama and French Three-Factor Model validity to predict individual stock return with three-year empirical data. Data of this study are listed in the Jakarta Stock Exchange (JSX) for the period 2004 to 2006. This study is important because this issue has not yet been empirically examined that Fama and French Three-Factor Model can be used to predict stock return volatility in the future. This research shows that Capital Asset Pricing Model have high validity level as a tool for predicting stock return than Fama and French Three-Factor Model in Jakarta Stock Exchange.
| Item Type: | Thesis (Masters) |
|---|---|
| Department: | ["eprint_fieldopt_department_Graduate School" not defined] |
| Uncontrolled Keywords: | Risk, market return, market capitalization, book equity, CAPM. |
| Subjects: | Business Business > Strategic Management |
| Divisions: | Graduate School > Master Program in Management |
| Depositing User: | Sri Kusuma Dewi |
| Date Deposited: | 26 Jun 2015 08:35 |
| Last Modified: | 26 Jun 2015 08:35 |
| URI: | http://repository.ukwms.ac.id/id/eprint/2630 |
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