{"title":"会计信息中的fama和French三因素模型","authors":"Rianty Pondaag, Erni Ekawati","doi":"10.21002/jaki.2020.12","DOIUrl":null,"url":null,"abstract":"The purpose of this study is to reexamine the ability of the Fama-French Three Risk Factor Model to explain stock portfolio returns in countries with different economic levels, as well as examine the effect of accounting information derived from book-to-market on stock portfolio returns. The sample used was a manufacturing company on the Indonesia Stock Exchange and the Tokyo Stock Exchange from 2013-2018. The results show that the three risk factors of the Fama-French model apply consistently to explain the variation in stock portfolio returns in developed markets. For the portfolio of shares in the emerging market, model Fama-French does not consistently assess stock portfolio returns. This research also provides empirical evidence that accounting information contained in book-to-market risk factors is only retained earnings, which has a contribution to the valuation of stock portfolio returns. The results of this study indicate that investors in developed markets are more rational and knowledgeable than emerging markets.","PeriodicalId":31764,"journal":{"name":"JAKI Jurnal Akuntansi dan Keuangan Indonesia","volume":"83 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2020-12-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"ACCOUNTING INFORMATION IN THE FAMA AND FRENCH THREE-FACTORS MODEL\",\"authors\":\"Rianty Pondaag, Erni Ekawati\",\"doi\":\"10.21002/jaki.2020.12\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The purpose of this study is to reexamine the ability of the Fama-French Three Risk Factor Model to explain stock portfolio returns in countries with different economic levels, as well as examine the effect of accounting information derived from book-to-market on stock portfolio returns. The sample used was a manufacturing company on the Indonesia Stock Exchange and the Tokyo Stock Exchange from 2013-2018. The results show that the three risk factors of the Fama-French model apply consistently to explain the variation in stock portfolio returns in developed markets. For the portfolio of shares in the emerging market, model Fama-French does not consistently assess stock portfolio returns. This research also provides empirical evidence that accounting information contained in book-to-market risk factors is only retained earnings, which has a contribution to the valuation of stock portfolio returns. The results of this study indicate that investors in developed markets are more rational and knowledgeable than emerging markets.\",\"PeriodicalId\":31764,\"journal\":{\"name\":\"JAKI Jurnal Akuntansi dan Keuangan Indonesia\",\"volume\":\"83 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-12-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"JAKI Jurnal Akuntansi dan Keuangan Indonesia\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21002/jaki.2020.12\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"JAKI Jurnal Akuntansi dan Keuangan Indonesia","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21002/jaki.2020.12","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
ACCOUNTING INFORMATION IN THE FAMA AND FRENCH THREE-FACTORS MODEL
The purpose of this study is to reexamine the ability of the Fama-French Three Risk Factor Model to explain stock portfolio returns in countries with different economic levels, as well as examine the effect of accounting information derived from book-to-market on stock portfolio returns. The sample used was a manufacturing company on the Indonesia Stock Exchange and the Tokyo Stock Exchange from 2013-2018. The results show that the three risk factors of the Fama-French model apply consistently to explain the variation in stock portfolio returns in developed markets. For the portfolio of shares in the emerging market, model Fama-French does not consistently assess stock portfolio returns. This research also provides empirical evidence that accounting information contained in book-to-market risk factors is only retained earnings, which has a contribution to the valuation of stock portfolio returns. The results of this study indicate that investors in developed markets are more rational and knowledgeable than emerging markets.