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We intend to record all presentations and present this online after the conference on a web-based platform which will be released after the conference.
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The workshops and events are being developed, the organisers are open to suggestions, kindly email if interested. Furthermore, there will be several workshops and networking sessions in parallel to the traditional scientific presentations. After careful consideration, we decided to prioritise dialogue and networking, therefore, will not include live online presentations of papers (it is challenging to have a hybrid conference with good discussions). The last conference in 2021 in Moscow was online, and the previous conference was physically held in Copenhagen in 2018. We aim to host ECPPM 2022 as a physical conference.
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For over 20 years, the biannual ECPPM (European Conference on Product and Process Modelling) conference series, as the oldest BIM conference, has provided a unique platform for the presentation and discussion of the most recent advances with regard to the ICT (Information and Communication Technology) applications in the AEC/FM (Architecture, Engineering, Construction and Facilities Management) industry. This study contributes to the asset pricing development by investigating factors influencing performance of ISSI’s portfolio excess return using five-factor model and momentum factor.ECPPM 2022 is the 14th European Conference on Product & Process Modelling, the flagship conference event of the European Association of Product and Process Modelling (EAPPM), with a long-standing history of excellence in product and process modelling in the construction industry, which is currently known as Building Information Modelling (BIM). It is intended that the results are more representative of the actual market conditions at the moment.Originality – Researches on the factors that influence the selection of Islamic stock portfolios based on excess return using Fama-French five-factor including the momentum factor are still limited. However, future researchers can expand the scale of the research by adding research periods and using daily return research data. While, the size and profitability variable do not affect the expected stock return.Research limitations – The results of this study provides relevant information about the relationship between risk and stock return using Fama and French five-factor model and momentum. This study adapted the Fama and French (2015) methodology using 2x3 and 2x2 to form the portfolio and applied Ordinary Least Square (OLS) with monthly data frequency to test the relevance of the model to the expected stock return of 183 companies.Findings – The results showed that the risk premium, the book-to-market ratio which is proxied by High Minus Low (HML), the investment that is proxied by Conservative Minus Aggressive (CMA), and the momentum which is proxied by Up Minus Down (UMD) has a positive effect on the excess return of the company's stock portfolio registered in Indonesia Sharia Stock Index (ISSI) during the period.
#Endnote umd series
Purpose – The purpose of this study is to examine the effect of Fama-French five-factor and momentum factor on Islamic stock portfolio excess returns listed in the Indonesia Sharia Stock Index (ISSI).Methodology – This study used return data from ISSI group, starting from January 2013 to December 2017, which are then formed into time series data with excess monthly stock portfolio.