Title: Empirical tests of the Fama-French five-factor model in Indonesia and Singapore

Authors: Irwan Adi Ekaputra; Bambang Sutrisno

Addresses: Faculty of Economics and Business, Universitas Indonesia, Depok, 16424, Indonesia ' Faculty of Economics and Business, Universitas Muhammadiyah Jakarta, Jln. KH. Ahmad Dahlan, Cirendeu, Jakarta, 15419, Indonesia

Abstract: We examine the performance of the Fama-French three-factor (FF3) and five-factor (FF5) models in Indonesia and Singapore markets. We also investigate whether the book-to-market factor (HML) is redundant in both markets if profitability and investment factors are present. Different from previous studies, our empirical findings highlight that FF5 does not perform better than FF3 in explaining excess portfolio returns in both markets. Unlike the US market, we find that HML factor is not redundant in both markets. The results are robust for equally-weighted and value-weighted portfolios and also for various factor construction methods.

Keywords: asset pricing; five-factor; Indonesia; Singapore.

DOI: 10.1504/AAJFA.2020.104408

Afro-Asian Journal of Finance and Accounting, 2020 Vol.10 No.1, pp.85 - 111

Received: 24 Aug 2017
Accepted: 12 May 2018
Published online: 10 Jan 2020 *

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