Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return
This study is aimed at testing the performance of asset pricing models, including the Capital Asset Pricing Model (CAPM) and the Fama French Three- Factors (FF3F model), while economic condition and interest rate is changing by using individual and portfolio stock�s return in Indonesia capital mar...
| Main Authors: | , |
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| Format: | Thesis |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| Subjects: |
| _version_ | 1797032935586529280 |
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| author | , Wihartanto Raharjo , Prof. Dr. Indra Wijaya Kusuma, MBA. |
| author_facet | , Wihartanto Raharjo , Prof. Dr. Indra Wijaya Kusuma, MBA. |
| author_sort | , Wihartanto Raharjo |
| collection | UGM |
| description | This study is aimed at testing the performance of asset pricing models,
including the Capital Asset Pricing Model (CAPM) and the Fama French Three-
Factors (FF3F model), while economic condition and interest rate is changing by
using individual and portfolio stock�s return in Indonesia capital market. To do so,
this study first tests the performance of CAPM and FF3F model by using individual
and portfolio stock�s return data. Then, it investigates the performance and stability of
two models� parameters while economic condition and interest rate is changing.
This research examines non-financial institutions with positive book-tomarket
ratio and finally 160 companies� stocks are observed from January 2002 to
December 2011. The time series regression is performed to test the performance and
the stability of two models, the CAPM and the FF3F model.
There are mainly three results of this research. First, the FF3F model is more
superior than CAPM when it is tested in explaining the portfolio return, but the FF3F
model is only marginally better than the CAPM when it is tested in explaining the
individual stock return. Second, at different economic condition (bull/bear market
period), the study finds that the FF3F model is more superior than CAPM when it is
tested to the portfolio, but when it is tested to the individual stock it does not work, as
well. However, both two models do not show sufficient stability of parameters,
including β, s, and h. Finally, the similar results are obtained when both two models
are tested in different interest rate period (increasing/decreasing period). These results
are different from the previous research showing that the coefficient of excess market
return (β) is more stable than two other parameters, s and h, added in the FF3F model. |
| first_indexed | 2024-03-13T22:46:13Z |
| format | Thesis |
| id | oai:generic.eprints.org:118364 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T22:46:13Z |
| publishDate | 2013 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1183642016-03-04T08:44:29Z https://repository.ugm.ac.id/118364/ Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return , Wihartanto Raharjo , Prof. Dr. Indra Wijaya Kusuma, MBA. ETD This study is aimed at testing the performance of asset pricing models, including the Capital Asset Pricing Model (CAPM) and the Fama French Three- Factors (FF3F model), while economic condition and interest rate is changing by using individual and portfolio stock�s return in Indonesia capital market. To do so, this study first tests the performance of CAPM and FF3F model by using individual and portfolio stock�s return data. Then, it investigates the performance and stability of two models� parameters while economic condition and interest rate is changing. This research examines non-financial institutions with positive book-tomarket ratio and finally 160 companies� stocks are observed from January 2002 to December 2011. The time series regression is performed to test the performance and the stability of two models, the CAPM and the FF3F model. There are mainly three results of this research. First, the FF3F model is more superior than CAPM when it is tested in explaining the portfolio return, but the FF3F model is only marginally better than the CAPM when it is tested in explaining the individual stock return. Second, at different economic condition (bull/bear market period), the study finds that the FF3F model is more superior than CAPM when it is tested to the portfolio, but when it is tested to the individual stock it does not work, as well. However, both two models do not show sufficient stability of parameters, including β, s, and h. Finally, the similar results are obtained when both two models are tested in different interest rate period (increasing/decreasing period). These results are different from the previous research showing that the coefficient of excess market return (β) is more stable than two other parameters, s and h, added in the FF3F model. [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , Wihartanto Raharjo and , Prof. Dr. Indra Wijaya Kusuma, MBA. (2013) Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=58311 |
| spellingShingle | ETD , Wihartanto Raharjo , Prof. Dr. Indra Wijaya Kusuma, MBA. Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return |
| title | Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return |
| title_full | Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return |
| title_fullStr | Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return |
| title_full_unstemmed | Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return |
| title_short | Investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return |
| title_sort | investigating the performance of asset pricing models in different economic and interest rate using individual dan portfolio stock return |
| topic | ETD |
| work_keys_str_mv | AT wihartantoraharjo investigatingtheperformanceofassetpricingmodelsindifferenteconomicandinterestrateusingindividualdanportfoliostockreturn AT profdrindrawijayakusumamba investigatingtheperformanceofassetpricingmodelsindifferenteconomicandinterestrateusingindividualdanportfoliostockreturn |