Key Findings

There are some key features about the cross-sectional stock returns in the Indonesian stock market

• Our results show that size, value, quality, and profitability are the characteristics themes that explain future cross-sectional stock returns during the period from 1991 to 2022.
• Momentum is not significant.
• We document differences in factor returns for stocks that adhere to Sharia law (i.e. Islamic finance principles).
• Value and size return patterns occur across all stocks, but significant posterior alphas for quality and profitability reliably exist only within non-Sharia stocks.