The Determinants of Stock Return Using by Fama and French Three Factor Model (FF3FM) in IDX

Abstract

The purpose of this study is to empirically examine the influence of market, size, and value factors in the Fama and French Three Factor Model (FF3FM) on stock return of LQ45 companies from 2014 to 2018. The population of this study are all the LQ45 companies listed in the Indonesia Stock Exchange (IDX). The sampling technique used is purposive sampling, which resulted in 10 companies as the samples. The results of this study indicate that beta has a significant positive effect on stock return. Firm size has a significant negative effect, while book-to-market ratio has a positive but not significant effect on stock return. From the results of this research, it can be indicated that FF3FM is still considered as a potential asset pricing model in IDX. Keywords: stock return, beta, firm size, book to market ratio, Fama and French Three Factor Model (FF3FM)