Empirical Evidence of Asset Pricing Based on Single Index Model, Fama, and French Three and Five-Factor Models in Indonesia Stock Exchange

This empirical test aims to estimate the beta parameters of risk premium and other factors compare performance single-index model, Fama Frech three five-factor models. The sample used as study object is companies in property real estate subsector with data collected from datastream Thomson Reuters January 2014 December 2018. results are consistent previous studies that asset pricing using French model can better explain stock returns than two seems provide a positive statistically significant abnormal return, indicating models irrelevant Indonesia. These suggest market Indonesia still inefficient.