**3. Methodology**

*3.1. Hypotheses*

**Hypothesis 1.** *Market premium has a positive relationship with excess return.*

**Hypothesis 2.** *Size premium has a positive relationship with excess return.*

**Hypothesis 3.** *Book-to-market premium has a positive relationship with excess return.*

**Hypothesis 4.** *Profitability premium has a positive relationship with excess return.*

**Hypothesis 5.** *Investment growth premium has a positive relationship with excess return.*

**Hypothesis 6.** *Momentum premium has positive a relationship with excess return.*

**Hypothesis 7.** *Asset turnover premium has a positive relationship with excess return.*

Hypotheses are conducted on the relationship between dependent variable and independent variables. To be specific, the positive relationship stated that risk premium factor can generate higher excess return. For instance, a company with higher profitability can achieve higher returns than a low profitability company. Since previous researchers have not examined the effect of factors on single stocks, we decided to retest the effect of seven factors on excess return for each security and summary by industries.
