![]() " Capital Investments and Stock Returns," Journal of Finance, American Finance Association, vol. " Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Banking & Finance, Elsevier, vol. " Future labor income growth and the cross-section of equity returns," Kim, Dongcheol & Kim, Tong Suk & Min, Byoung-Kyu, 2011." On Persistence in Mutual Fund Performance," " Labor-Force Heterogeneity and Asset Prices: the Importance of Skilled Labor,"ΔΆ1487, National Bureau of Economic Research, Inc. Frederico Belo & Xiaoji Lin & Jun Li & Xiaofei Zhao, 2015.Key Words: Six-Factor Market Return SMB HML RMW CMA LBR Excess Return Suggested Citation Another result also shows that simultaneously or as a whole, six-factors (market return, firm size, value, profitability, investment, human capital) have a significant effect on the excess return of companies listed in LQ45 for the 2015-2019 period. Whereas, value (X3) and human capital (X6) do not have a significant effect on the excess return of companies listed in LQ45 for the 2015-2019 period partially. Based on the results of this study, it is showed that partially, market return (X1), firm size (X2), profitability (X4), and investment (X5) have a significant positive effect on the excess return of companies listed in LQ45 for the 2015-2019 period. Furthermore, the data analysis method that is used in this study is the panel data regression model. As a result, it shows that there are 26 companies that fit the criteria and taken as samples. The purposive sampling method is the sample selection method that is used in this study. The population of this study consists of 45 LQ45 companies listed on the Indonesia Stock Exchange (IDX). This study aims to determine the effect of six-factor (market return, firm size, value, profitability, investment, human capital) on excess return in companies with shares listed in LQ45 for the 2015-2019 period.
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