The Effect of Fama French Three Factor Model on Stock Return: Case Study of Insurance Companies Listed on the Indonesia Stock Exchange, 2017-2020

Abstract

This study aims to determine the Effect of the Fama French Three Factor Model on Stock Return (Case Study of Insurance Companies Listed on the Indonesia Stock Exchange in 2017-2020). The data used in this study is secondary data collected from as many as 16 companies. The sampling technique used is purposive sampling technique. The method used to analyze the relationship between the independent variable and the dependent variable is the panel data regression method. The results partially concluded that the stock beta has a positive and significant effect on stock returns in insurance companies on the Indonesia Stock Exchange, firm size has a positive and significant effect on stock returns on insurance companies on the Indonesia Stock Exchange, Book to market has a negative and significant effect on stock returns in insurance companies on the Indonesia Stock Exchange. Simultaneously, stock beta, firm size and book to market have no effect on stock returns in insurance companies on the Indonesia Stock Exchange.