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Asset pricing models in Indonesia

The explanatory power of six asset-pricing models are tested and compared in this study. The models include the four known asset pricing models: the CAPM, the Fama and French's (1996) Three-Factor model, the Carhart's (1997)'s Four-Factor model, a model similar to Zepeda's (1999) Five-Factor model. Additionally, it includes two new models - the Five-Factor-Volume (5F-V) model and the Six-Factor model, which are developed in line with Ross's (1976) Arbitrage Pricing Theory.

Identiferoai:union.ndltd.org:ADTP/201925
Date January 2006
CreatorsKartika, Tjandra
Source SetsAustraliasian Digital Theses Program
LanguageEN-AUS
Detected LanguageEnglish
RightsCopyright Tjandra Kartika 2006

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