EMPIRICAL STUDY OF CARHART FOUR FACTOR MODEL AND FAMA FRENCH FIVE FACTOR MODEL IN INDONESIA
Abstract
This research aims to test the ability of the Carhart Four Factor Model and the Fama French Five Factor Model in explaining variations in returns on the Indonesian stock market. The research object uses companies that were listed on the LQ45 Index in the period of 2018 to 2022, with sample selection using the purposive sampling method. The analytical method used in this study is panel data regression analysis. The research findings show that the market excess return and book-to-market variables have a positive significant effect on excess return, while the profitability variable has a negative significant effect on excess return. Meanwhile, the firm size, momentum, and investment variables have no significant effect on excess return.
Keywords: Carhart Four Factor Model, Fama French Five Factor Model, Excess Return
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