Title: The Influence of the Carthart Four Factor Model and Three Moment Capm on Excess Stock Returns in Indonesia
Author: Yossy Imam Candika
Item Type: Thesis (Thesis)
Affiliations: Master of Management Science Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
When investing in an asset, the ability to estimate the rate of return on the asset (asset pricing) is a very important thing for investors to do. Investors signal higher returns if they face higher risks. This research uses the Carhart (1997) model, namely market return, size, book to market, and momentum. Apart from that, this research also uses the three moment CAPM model, namely by using skewness to explain variations in stock excess returns. The aim of this research is to test and analyze the influence of the Carhart Four Factor Model and Three Moment CAPM on stock excess returns in Indonesia. The dependent variable in this research is stock excess return. The independent variables in this research are the Carhart four factor model and Three moment CAPM. The population in this research is all non-financial companies listed on the Indonesia Stock Exchange (BEI) for the 2010-2012 period. The sample used was 150 companies. To test the model in this research, 10 portfolios will first be formed by combining size-book to market and size-momentum. In this research, multiple regression analysis was used using 10 regression analysis models based on 10 portfolio combinations. The results of statistical testing of the excess market return variable on stock returns in 10 stock portfolios show that in all models there is a significant positive influence. The SMB variable has a significant positive effect on portfolio returns in 5 models. The HML variable has a significant positive effect on portfolio returns in 6 models. The UMD variable has a significant positive effect on portfolio returns in 2 models. The skewness variable does not have a significant positive effect on all models studied.
Keywords: stock excess return, Carhart four factor model, three moment CAPM, market return, size, book to market, momentum, and skewness.
