The testing of common risk factors toward portfolio’s excess return

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Published: May 30, 2022
DOI: https://doi.org/10.28932/jmm.v21i2.4676
Keywords:
investasi, momentum, premi risiko pasar, profitabilitas, rasio book-to-market equity, ukuran perusahaan book-to-market equity ratio, firm size, investment, market risk premium, momentum, profitability

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Ivan Chandra Tanzil
University of Surabaya
Liliana Inggrit Wijaya
University of Surabaya
Deddy Marciano
University of Surabaya

Abstract

This study aims to examine common risk factors' effects in the Fama and French Five-Factor Model plus Momentum Factor on The Bisnis-27 Index Stocks component during the 2016-2020 period. This research's common risk factors include market risk premium, firm size, book-to-market equity ratio, profitability, investment, and momentum. A quantitative approach will be used in this study by using multiple linear regression. The regression in this study was generated by the common effects model method. This study reveals that a portfolio's excess return is simultaneously affected by common risk factors that are in place this study. The findings in this study show that market risk premium, book-to-market ratio, company size, and momentum positively affect portfolios' excess returns. The greater the market risk premium, the smaller the size of the company, the larger the book-to-market ratio, and the stock's past performance, as reflected by the momentum, has implications for the acquisition of a larger excess return on the portfolio. Meanwhile, there is no significant influence between profitability and investment factor on portfolios' excess returns.

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How to Cite
Tanzil, I. C., Wijaya, L. I., & Marciano, D. (2022). The testing of common risk factors toward portfolio’s excess return. Jurnal Manajemen Maranatha, 21(2), 121–134. https://doi.org/10.28932/jmm.v21i2.4676
Issue
Vol. 21 No. 2 (2022): Jurnal Manajemen Maranatha
Section
Articles
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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

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