TY  - JOUR
T1  - The Effect of Market Excess Returns, Size, Market-to-Book Ratio and Earnings Yield on Stock Returns
AU - A. Ahmad-Zaluki, Nurwati AU - Ramdi, Zulmi 
JO  - International Business Management
VL  - 7
IS  - 4
SP  - 267
EP  - 277
PY  - 2013
DA  - 2001/08/19
SN  - 1993-5250
DO  - ibm.2013.267.277
UR  - https://makhillpublications.co/view-article.php?doi=ibm.2013.267.277
KW  - Fama and French three-factor model
KW  -small size effect
KW  -stock return
KW  -market excess
KW  -book ratio
AB  - This study investigates the effect of both Fama and French three-factor model (consisting of market excess returns, size and market-to-book ratio) and earnings yield on stock returns in companies listed on Bursa Efek Indonesia. The result shows that stock returns are not affected by only market excess returns but also by size and market-to-book ratio. Moreover, earnings yield helps the three-factor model to capture more variation in stock returns, suggesting that the involvement of earnings yield has improved the efficiency of the Fama and French three-factor model.
ER  -