会计信息中的fama和French三因素模型

Rianty Pondaag, Erni Ekawati
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引用次数: 1

摘要

本研究的目的是重新检验Fama-French三风险因素模型在不同经济水平国家解释股票投资组合收益的能力,以及检验账面市值比所得的会计信息对股票投资组合收益的影响。使用的样本是2013-2018年印度尼西亚证券交易所和东京证券交易所的一家制造公司。结果表明,Fama-French模型的三个风险因素一致适用于解释发达市场股票投资组合收益的变化。对于新兴市场的股票投资组合,Fama-French模型不一致地评估股票投资组合的收益。本研究还提供了实证证据,证明账面市值比风险因素中包含的会计信息仅为留存收益,这对股票投资组合收益的估值有贡献。研究结果表明,发达市场的投资者比新兴市场的投资者更理性,知识更渊博。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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