Business, Management and Accounting
4 years ago

New Study Reveals Best Model for Predicting Stock Returns!

1 view
JURNAL ILMIAH BISNIS dan KEUANGAN
Komparasi Kinerja Capital Asset Pricing Model, Three Factors Pricing Model, dan Four Factor Pricing Model
Siti Masitah, Asrid Juniar

Paper Summary

The study compared three different models to see which one is best at predicting expected returns on stocks. They looked at data from 132 companies in Indonesia from 2015 to 2017. The results showed that the Three Factors Pricing Model is better at estimating returns than the Capital Asset Pricing Model. Additionally, the Four Factors Pricing Model is even better than the Three Factors Pricing Model at predicting stock returns.