CAPM and Three Factor Model: Empirical Testing from Emerging Market

Arif Budi Satrio


The relationship between expected return, the size of the company, and the company's value empirically tested in this study, with testing in developing countries, namely Indonesia capital market. This study seeks to test the CAPM model at the same time three-factor model of Fama and French (1993). The results showed that the three-factor model is a powerful model for explaining the stock returns in Indonesia and provide a better explanation.
Keywords: CAPM, Fama French, Three Factor Model

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ISSN (Paper)2222-1697 ISSN (Online)2222-2847

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