ABSTRACT
From 2015 to 2020, the accuracy of the Fama-French five-factor and momentum was compared with the Fama-French five-factor model. A total of 272 firms from the Indonesian stock exchange were selected as the participants of this study. The accuracy of the models was tested using in-sample and out-of-sample data. Data were analyzed using the regression, mean absolute deviation, mean squared error, and t-test. The results showed that the Fama-French five-factors and momentum accurately explain the variability of stock returns than the other two models. Meanwhile, the three models evaluated a forecasting test using Mean Absolute Deviation (MAD) and Mean Squared Error (MSE). The t-test results showed that there was no significant difference between the actual and expected stock returns. Also, it helps investors to determine the most accurate asset pricing model while making capital decisions in a firm.
