Empirical tests of the Fama-French five-factor model in Indonesia and Singapore

Irwan Adi Ekaputra, Bambang Sutrisno

Research output: Contribution to journalArticle

Abstract

We examine the performance of the Fama-French three-factor (FF3) and five-factor (FF5) models in Indonesia and Singapore markets. We also investigate whether the book-to-market factor (HML) is redundant in both markets if profitability and investment factors are present. Different from previous studies, our empirical findings highlight that FF5 does not perform better than FF3 in explaining excess portfolio returns in both markets. Unlike the US market, we find that HML factor is not redundant in both markets. The results are robust for equally-weighted and value-weighted portfolios and also for various factor construction methods.

Original languageEnglish
Pages (from-to)85-111
Number of pages27
JournalAfro-Asian Journal of Finance and Accounting
Volume10
Issue number1
DOIs
Publication statusPublished - 1 Jan 2020

Keywords

  • Asset pricing
  • Five-factor
  • Indonesia
  • Singapore

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