does the 6 factor model work better in the indonesian capital market Yuki Dwi Darma (a*)- Ikaputera Waspada (b)- Maya Sari (c)
a) Universitas Pendidikan Indonesia, Jl. Dr. Setiabudi No.229, Isola, Kec. Sukasari, Kota Bandung, Jawa Barat 40154
and Universitas Pelita Bangsa, Jl. Inspeksi Kalimalang No.9, Cibatu, Cikarang Sel., Kabupaten Bekasi, Jawa Barat 17530.
b) Universitas Pendidikan Indonesia, Jl. Dr. Setiabudi No.229, Isola, Kec. Sukasari, Kota Bandung, Jawa Barat 40154
c) Universitas Pendidikan Indonesia, Jl. Dr. Setiabudi No.229, Isola, Kec. Sukasari, Kota Bandung, Jawa Barat 40154
Abstract
Since the discovery of a model that links the rate of return on investment with inherent risk, many asset price models have been introduced, one of which is the Fama and French model. The initial model that was first introduced was the fama and fench 3 factors model which turned out to find various failures in several capital markets of developing countries, so Fama and French created a 6 factor model with the addition of the profitability aspect, the investment aspect and the momentum aspect so that it is expected to be able to capture the relationship between return and risk. inherent, better than the 3 factor model. This study aims to test the 6-factor model in the Indonesian capital market using the Kompas 100 proxy, and seeks to reveal whether the 6-factor model is able to outperform the 3-factor model and the CAPM model during the observation period.
Keywords: Market Risk Premium- Siza- Book to Market Ratio- Profitability- Investment- Momentum
