Abstract :

The Fama and French Six Factor Model (FF6FM) is an extension of the Fama and French Five Factor Model (FF5FM). The purpose of this study was to examine the Fama and French Six Factor Model’s ability to explain the excess returns of healthcare sector companies listed on the Indonesia Stock Exchange (BEI). The Fama and French Six Factor Model consists of six factors: Market Excess Return (MKT), Size Factor (SMB), Book to Market Ratio (HML), Profitability (RMW), Investment (CMA), and Momentum (UMD). This study employed a purposive sampling method to get a sample of 18 healthcare sector companies listed on the Indonesia Stock Exchange (BEI) during the Covid-19 epidemic, specifically from March 2020 to June 2023. The data is derived from secondary sources and is of a quantitative nature. This study uses a panel data regression analysis model as its primary analytical technique. The findings indicate that Momentum (UMD), Market Excess Return (MKT), Size Factor (SMB), and Investment (CMA) have a statistically significant positive impact on excess returns. Among these variables, Momentum (UMD) has the most influence on excess returns. However, it has been observed that the Book to Market Ratio (HML) and Profitability (RMW) do not exhibit a positive and statistically significant impact on excess returns. Nevertheless, according to the adjusted r-square results, the Fama and French six factor models demonstrate a lower capacity to elucidate the additional returns observed in healthcare sector stocks during the period spanning from March 2020 to June 2023.

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Keywords :

Excess Return, Fama and French Six Factor Model, Healthcare Sector, investment, Momentum.

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