Does The 6-Factor Model Work Better in The Indonesian Capital Market

Dwi Darma, Ikaputera Waspada and Maya Sari
Additional contact information
Dwi Darma: University of Singaperbangsa Karawang
Ikaputera Waspada: University of Singaperbangsa Karawang
Maya Sari: University of Singaperbangsa Karawang

A chapter in Proceedings of the 8th Global Conference on Business, Management, and Entrepreneurship (GCBME 2023), 2024, pp 162-172 from Springer

Abstract: Abstract Researchers have made various efforts to discover the best relationship between systematic risk and portfolio returns, and one of these efforts is the Fama and French model. This research aimed to examine whether the latest version, the Fama and French 6-factor model, can outperform the previous version, the Fama and French 5-factor model, using the Kompas 100 Index as a proxy. The method used is a two-stage multiple regression with portfolio formation based on SMB, HML, RMW, CMA, and UMD criteria. The research results indicate that the Fama and French 6-factor model has not yet been able to outperform the Fama and French 5-factor model with the 2x3 portfolio construction. However, it can outperform the Fama and French 5-factor model with the 2x2 portfolio construction because adding one risk factor reduces the variation in risk concerning the variation in portfolio returns formed.

Keywords: Excess Return; Market Risk Premium (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-443-3_24

Ordering information: This item can be ordered from
http://www.springer.com/9789464634433

DOI: 10.2991/978-94-6463-443-3_24

Access Statistics for this chapter

More chapters in Advances in Economics, Business and Management Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().