Analysis of Factors Determining Fair Value of the Green Company Based on the Components of Asset Pricing Model
Year: 2025
Type: conference-paper
Abstract: The fair value of a financial asset is the expected market price based on the fundamental condition of the asset which can be obtained using an asset pricing model. The pioneer of the asset pricing model is the Capital Asset Pricing Model (CAPM) which states that market risk is the only determining factor of fair value which will then determine the expected return. In further developments, several other asset pricing models emerged, namely multifactor models that include internal factors into the CAPM formulation. This study was conducted to test the robustness of the CAPM market risk factor on other asset valuation models that later emerged to criticize the model. The research period was 36 months (January 2021–December 2023) by taking samples of Kompas 100 Index stocks which are also included in sustainable indices, such as the Sri Kehati, ESG Kehati, and ESG Leader indices. The analysis was carried out based on the results of multiple regression tests, hypothesis tests, and classical assumption tests. The results of the study found that from a number of variables forming the CAPM components, the three-factor model, the four-factor model, and the five-factor model, it turned out that only the market risk factor, the company value factor, and the price momentum factor had an effect on the fair value of assets. The market risk factor was proven to remain consistently significant in each model.
Authors: Ferikawita M. Sembiring, Desmiza
Institution: Universitas Jenderal Achmad Yani
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W4413672898