(Similarity + Document) Six-factor plus intellectual capital in the capital asset pricing model and excess stock return: Empirical evidence in emerging stock markets

Maharani, Astrid and Narsa, I Made (2023) (Similarity + Document) Six-factor plus intellectual capital in the capital asset pricing model and excess stock return: Empirical evidence in emerging stock markets. Taylor and Francis Ltd..

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	Text Six factor plus intellectual capital in the capital asset pricing model and excess stock return Empirical evidence in emerging stock markets.pdf Download (1MB)

Official URL: https://www.tandfonline.com/doi/full/10.1080/23322...

Abstract

This study expands previous research by adding intellectual capital to the capital asset pricing model and deepening the measurement of intellectual capital using more comprehensive proxies. This study is novel in that it is related to evaluation according to market developments using tests on potential factors in the asset pricing model by adding intellectual capital variables. Intangible assets have the explanatory and predictive power of size and value strategies in predicting returns. This study uses a sample of all industries from all companies listed on the Indonesia Stock Exchange during 2012–2022; the sample totals 5767 firm-years. The results show a significant relationship between the six-factor capital asset pricing model, intellectual capital, and excess stock returns. The robustness test supports these findings, suggesting that intellectual capital performs better financially as an intangible asset. This study contributes to the literature regarding the role of intellectual capital in the capital asset pricing model, which can be helpful when making investment decisions in emerging stock markets.

Item Type:	Peer Review
Uncontrolled Keywords:	Capital asset pricing model, emerging stock market, excess stock return, intellectual capital, six-factor
Subjects:	600 Technology and Applied Science > 650 Business > 657 Accounting
Divisions:	Faculty of Economics > Department of Accounting (S1)
Depositing User:	Astrid Maharani
Date Deposited:	11 Sep 2023 08:03
Last Modified:	11 Sep 2023 08:03
URI:	http://repository.unmuhjember.ac.id/id/eprint/19855

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