A four-factor model for the Indonesian stock market

Published: 12 March 2026| Version 1 | DOI: 10.17632/46ykybz46r.1
Contributors:
Nanqi Li, Chishen Wei, Linti Zhang

Description

A Four-Factor Model for the Indonesia Stock Market. The factors include market, size, value, and profitability factors. Asset spanning tests identify size (market capitalization), value (operating cash flow-to-price), and profitability (return on net operating assets) as the most robust characteristics for forming factors. Please visit http://idnfactors.online/ for latest factors.

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Steps to reproduce

Please see text for construction of factors. Visit http://idnfactors.online/ for latest factors.

Institutions

Categories

Finance, Asset Pricing, Financial Market Efficiency, Indonesia, Factor Model

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