Rating of LQ-45 stock index performance credibility in Indonesia Stock Exchange
DOI:
https://doi.org/10.22437/ppd.v6i5.6707Abstract
This study aims to analyze stock performance credibility using the Capital Asset Pricing Model (CAPM) method, the Arbitrage Pricing Theory (APT) method, the Fama-French Three-Factor Model (FFTFM), and the 2013-2017 LQ-45 Stock Performance rating. The technique used for sampling is purposive sampling. The samples in this study are 23 companies. The results show that the CAPM model is more accurate in stock credibility assessment than the APT model and the FFTFM.
Downloads
References
Akbar, M., Nguyen, T.T. (2015). “The explanatory power of higher moment capital asset pricing model in the Karachi stock exchangeâ€, Research in International Business and Finance. 36,241-253
Biswas D., Biswas A., Das N. (2006). “The differential effects of celebrity and expert endorsements on consumer risk perceptions. The role of consumer knowledge, perceived congruency, and product technology orientationâ€. Journal of Advertising, 35(2), 17–31.
Bucher, A. (2016). Risk-adjusting the returns of private equity using the CAPM and multi-factor extensions. Department of Business and Economics, University of Passau, 94030 Passau, Germany.
Du, Wenti. (2018). “Who carried more credibility: An analysis of the market responses to news from the Japanese government, the Japanese central bank and international credit rating agenciesâ€. Journal of Economics and Business. 98, 32-39
Husnan, S. (2016). Manajemen keuangan teori dan penerapan. BPFE. Yogyakarta.
Kampman, T., (2011). Explaining Stock Returns: the CAPM, Fama-French Three Factor Model and Carhart’s Four Factor Model, Thesis. Tilburg University.
Kun Ho, Kim & Kim Taejin. (2016). “Capital Asset Pricing Model: a Time-varying Volatility Approachâ€. Journal of Empirical Finance. 37(C), 268-281
Lam, K. (2005). Is the Fama and French Model Better Than CAPM? Thesis. Someone Fraser University.
Sallam, M.A.A. (2011). “The Impact of Source Credibility on Saudi Consumer’s Attitude Toward Print Advertisement: The Moderating Role of Brand Familiarityâ€. International Journal of Marketing Studies, 3(4). 63-77.
Wijaya, L.I. (2000). “Model Pasar Versus Model Harga Aset Kapital (CAPM) dalam pasar yang efisienâ€, Jurnal Ekonomi dan Bisnis. 3(1), 55-63.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2019 Tona Aurora Lubis, Ade Octavia, Widyanti Fitri
This work is licensed under a Creative Commons Attribution 4.0 International License.
