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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.

Bahasa Abstract

Penelitian ini bertujuan untuk menguji kembali kemampuan model tiga faktor risiko Fama dan French (1992) dalam menjelaskan return portofolio saham di negara dengan level perekonomian yang berbeda, serta menguji pengaruh dari informasi akuntansi yang berasal dari book-to-market terhadap return portofolio saham dengan membagi faktor risiko book-to-market menjadi dua bagian, yaitu retained earnings dan contributed capital. Sampel yang digunakan adalah perusahaan manufaktur di Bursa Efek Indonesia dan Tokyo Stock Exchange dari tahun 2013-2018. Hasil penelitian menunjukkan bahwa model Fama dan French (1992) berlaku secara konsisten di developed market sementara di emerging market model Fama-French tidak memberikan hasil yang konsisten dalam menilai return portofolio saham. Penelitian ini juga menyediakan bukti empiris bahwa informasi akuntansi yang terkandung dalam faktor risiko book-to-market hanya retained earnings yang memiliki kontribusi terhadap penilaian return portofolio saham. Hasil penelitian ini mengindikasikan bahwa investor di developed market lebih rasional dan knowledgeable dibanding emerging market.

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