Jambura Science of Management
Vol 1, No 1 (2019): Jambura Science of Management - January 2019

Testing the Four Factors of the Carhart Model Against Excess Return of Shares in Companies Registered in the Kompas 100 Index for the 2014-2016 Period

Delvira Mahmud (Unknown)

Article Info

Publish Date
28 Jul 2019

Abstract

The researcher intends to test the four carhart factor model of stock excess return in companies incorporated in Kompas 100 for the 2014-2016 period. Regression analysis was performed on four carhart factor models, namely market returns, firm size, book to market, and momentum towards excess return. The results of this study indicate that in the partial hypothesis testing market return, firm size, and book to market equty variables significantly influence the excess return, while the momentum variable does not significantly influence the magnitude of excess return.Keywords: Four factors, market returns, firm size, book to market equity, momentum, excess stock returns

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Journal Info
Jambura Science of Management
Website

Abbrev

jsm

Publisher

Universitas Negeri Gorontalo

Subject

Economics, Econometrics & Finance

Description

Jambura Science of Management is a peer-reviewed journal published by Department of Management, Faculty of Economic, Universitas Negeri Gorontalo twice a year in January and July. P-ISSN (2655-3651) E-ISSN (2656-0453) The aims of this journal is to provide a venue for academicians, researchers and ...