Uji Empiris Five-Factor Model di Pasar Ekuitas ASEAN

This research purpose is to test Fama-French Five Factor Model (2015) with equity’s anomaly in ASEAN equity market and CAPM’s beta anomaly. Factors tested were profitabilty, asset growth and CAPM’s beta. We use portfolio approach based on anomaly’s variables and risk factors in the asset pricing model. Researchers find return premium on profitability and asset growth in ASEAN. Using Fama-Macbeth regression, this research finds that profitability and asset growth did not affect stock returns individually, however using GRS (1989) and GMM (1982) test, combination of both factors affect stock returns. We also find beta anomaly in ASEAN market. High beta stocks have similiar behaviour as small-size, high Book-to-Market, high profitability, and low asset growth stocks. This research supports Fama-French’s result (2014 & 2015) that Five-Factor Model has the ability to represent market equilibrium.