Abstract: 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.
Nurwati A. Ahmad-Zaluki and Zulmi Ramdi, 2013. The Effect of Market Excess Returns, Size, Market-to-Book Ratio and Earnings Yield on Stock Returns. International Business Management, 7: 267-277.