Pemilihan Model Asset Pricing

Asset pricing model selection: Indonesian Stock Exchange

Rowland Bismark Fernando Pasaribu

MPRA Paper from University Library of Munich, Germany

Abstract: The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining the price movements in the stock exchange. The Arbitrage Pricing Theory (APT) has been proposed as the first multifactor successor to the CAPM without being a real success. Later, researchers support that average stock returns are related to some fundamental factors such as size, book-to-market equity and momentum. Alternative studies come as a response to the poor performance of the standard CAPM. They argue that investors choose their portfolio by using not only the first two moments but also the skewness and kurtosis. The main contribution of this paper is comparison between the CAPM, the Fama and French asset pricing model (TPFM) and the Four Factor Pricing Model (FFPM) adding the third and fourth moments to calculate expected return of non-financial Indonesian listed firms. The selection of the best model is based on the highest coefficient of determination. The kurtosis-FFPM turned out to be the best model.

Keywords: Expected return saham; CAPM; TFPM; FFPM; Skewness; Kurtosis (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2010-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Jurnal Akuntansi dan Manajemen 3.21(2010): pp. 217-230

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https://mpra.ub.uni-muenchen.de/39817/1/MPRA_paper_39817.pdf revised version (application/pdf)

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