Finding Size Factor and Value Factor in Indonesia Stock Exchange

Yudhistirangga Yudhistirangga, Hermanto Siregar, Trias Andati

Abstract


This study conducted by gathering data from Indonesia Stock Exchange (IDX) with 2 specifics model, Capital Market Pricing Model (CAPM) and Fama French 3 Factors Model (FF3FM). These model was estimated by classify 557 stocks in Jakarta Composite Index (JCI) to 6 classes: S/L class is class with small size and low Book to Equity (BE) to Market Equity (ME), S/M class is class with small size and medium in BE/ME, S/H class is class with small size and high in BE/ME, otherwise B/L class is class with big size and low in BE/ME, B/M class is class with big size and medium in BE/ME, B/H class is class with big size and high in BE/ME. With F test, t test and classic assumption test, best class and best model were B/L class and FF3FM. The result was confirmed size factor and value factor in Indonesia Stock Exchange (IDX). Size factor are confirmed in 3 classes (S/M, S/H and B/L), and value factor are confirmed in 4 classes (S/M, S/H, B/L and B/H). Therefore, classes with size and value factor are S/M, S/H and B/L. With BE/ME is 1/PBV and PBV indicating the stock price relative to its book value, so in Indonesia Stock Exchange the size factor and value factor confirmed in market with small market capitalization with low to medium in stock price relative to its book value and market with big market capitalization with high stock price relative to its book value.


Full Text:

PDF


DOI: https://doi.org/10.5539/ass.v14n7p63

Copyright (c) 2018 Yudhistirangga Yudhistirangga, Hermanto Siregar, Trias Andati

License URL: http://creativecommons.org/licenses/by/4.0

Asian Social Science   ISSN 1911-2017 (Print)   ISSN 1911-2025 (Online)    Email: ass@ccsenet.org 

Copyright © Canadian Center of Science and Education 

To make sure that you can receive messages from us, please add the 'ccsenet.org' domain to your e-mail 'safe list'. If you do not receive e-mail in your 'inbox', check your 'bulk mail' or 'junk mail' folders.