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Testing factor models in Indonesia
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DOI：10.1016/j.ememar.2019.100628.png)
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Abstract
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Fama and French (2015) recently proposed a five-factor model which adds investment and profitability terms to their seminal three-factor model. Motivated by the accounting-based nature of the new factors, we test of variants of the models in Indonesia a country previous researchers have characterized by an idiosyncratic financial reporting environment and low earnings quality. Although multi-factor spanning tests imply these factors contribute to the explanation of average returns, tests using sets of LHS portfolios reveal all competing models produce large intercepts and the five-factor model offers at best only a trivial improvement to the description of average LHS returns.
Keywords:
Emerging equity returns
Fama-French three-factor model
Fama-French five-factor model
Indonesia
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