ANALISIS FAMA FRENCH FIVE FACTOR MODEL DAN THREE FACTOR MODEL DALAM MENJELASKAN RETURN PORTOFOLIO SAHAM YANG MASUK PADA INDEKS KOMPAS 100 PERIODE 2010-2015
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Keywords:
Fama and French Five Factor Model, Fama and French Three Factor Model, Size, Value, Profitability, Investment
Abstract
Abstract - This study aims to test the Fama French Five Favtor Model (5FF) and Three Factor Model (3FF) in explaining cross sectional returns on stocks which entered Kompas 100 Index period 2010-2015. Factors in the model are market risk, size, book-to-market equity, profitability, dan investment. This study uses a quantitative approach with multiple linear regression analysis in the form of panel data for overall portfolio and also for each portfolio that has been made. The findings of this study indicate; market risk and profitability significant positive effect on returns. Size and investment has significant negative effect to return.Meanwhile, the B/M factor effect is insignificant to return. This study also find that The 5FF model perform better in explaining cross sectional returns than 3FF model.
Keywords: Fama and French Five Factor Model, Fama and French Three Factor Model, Size, Value, Profitability, Investment
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References
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Premanto, G.C., dan Madyan, M., 2009, Perbandingan Keakuratan Capital Asset Pricing Model dan Arbitrage Pricing Theory Dalam Memprediksi Tingkat Pendapatan Saham Industri Manufaktur Sebelum dan Semasa Krisis Ekonomi, Jurnal Penelitian Dinamika Sosial Vol 5 No. 2:125-149.
Silvestri, A., Stevania, V., 2011, On the Robustness of Fama and French Model: Evidence from Italy. Journal of Applied Finance and Banking, Volume 1, Nomor 4, Hal 201-221.
Winarno, W.W., 2015, Analisis Ekonometrika dan Statistika dengan Eviews Edisi 4, UPP STIM YKPN.
Yolita, Fauzie. S., 2015, Analisis Stock Returns Perusahaan Perbankan Pada Jakarta Composite Index Menggunakan Fama-French Three-Factor Model, Jurnal Ekonomi dan Keuangan, Vol.2 No.11.
Zikmund, W.G., Babib, B.J., Carr, J.C., Griffin, M., 2010, Business Research Methods, 8th Edition, Cengage Learning
http://id.investing.com/indices/kompas-100-historical-data diunduh pada 17 Oktober 2015
http://www.bi.go.id/en/moneter/bi-rate/data/Default.aspx diunduh pada 17 Oktober 2015
https://www.infovesta.com/isd/article/article11.html diunduh pada 17 Oktober 2015
https://www.academia.edu/3880241/portofolio_bab1 diunduh pada 19 Oktober 2015
Banz, R.W., 1981, The Relationship Between Return And Market Value of Common Stock, Journal of Financial Economics 9, 3-18, North-Holland Publishing Company.
Chiah, M., Chai, D., Zhong, A., 2015, A Better Model? An Empirical Investigation of Fama-French Five-Factor Model in Australia, Proc, Monash Business School, Monash University.
Copeland, E.T., dan Weston, J.F., 1988, Financial Theory and Corporate Policy, Vol 2, Addison-Wesley.
Darusman, D., 2012, Analisis Pengaruh Firm Size, Book to Market Ratio, Price Earning Ratio, dan Momentum Terhadap Return Portofolio Saham, Skripsi, Universitas Dipenogoro.
Donglin,L., 2004 The Implications of Capital Investments for Future Profitability and Stock Returns-an Overinvestment Perspective, Haas School of Business, University of California, Berkeley.
Fabozzi, F.J., Modigliani F., Ferri, M.G., 1994, Foundation of Financial Market and Institutions, 2nd edition, Prentice Hall.
Fama, E.F. dan French, K.R., 1992, The Cross-Section of Expected Returns, Journal of Finance, Vol xlvii, no 2.
Fama, E.F. dan French, K.R., 2014, A Five-Factor Asset Pricing Model, Journal of Financial Economics, 116.
Fama, E.F. dan French, K.R., 2006, Profitability, Investment and Average Returns, Journal of Financial Economics, vol 82 : 491-518.
Ferdian, I.R., Omar, M.A., Dewi, M.K., 2011 Firm Size, Book to Market Equity, and Security Returns: Evidence from the Indonesian Shariah Stocks, Journal of Islamic Economics, Banking and Finance, Vol 7 No. 1, JanMar 2011.
Figenbaum, A., 1990, Prospect Theory and The Risk-Return Association, An Emperical Examination in 85 Industries, Journal of Economic Behavior and Organization 14, 187-203.
Gitman, L.J dan Zutter, C.J, 2003, Principles of Managerial Finance, 13th edition, Prentice Hall.
Gujarati, D.N., 2008, Ekonometrika Dasar, Jakarta: Erlangga.
Haugen, R.A., dan Baker, N.L., 1996, Commonality In The Determinants of Expected Stock Returns, Journal of Financial Economics, 1996.
Hendra, R.K., 2015, Analisis Pengaruh Model Fama and French Three Factor Model dan Momentum Terhadap Return di Bursa Efek Indonesia Periode 2010-2014, Skripsi, Universitas Surabaya.
Huijun, W., Jinghua, Y., Jianfeng, Y., 2015, Reference-Dependent Preferences and the Risk – Return Trade – off.
Irawan, R. Dan Murhadi, W., 2012, Analisis Pengaruh Three Factor Model dan Presentase Kepemilikan Asing Terhadap Tingkat Return di Bursa Efek Indonesia, Jurnal Manajemen & Bisnis, Vol.11, No.2: 213-226.
Jones, Charles P., 2007, Investment Analysis and Management, 10th edition, John Wiley & Sons. Inc.
M, Jogiyanto, 2003, Teori Portofolio dan Analisis Investasi, Edisi Ketiga, BPFEYogyakarta.
Megginson, W.L., 1997, Corporate Finance Theory, Addison – Wesley.
Novy, R., Marx., 2012, The Other Side of Value: The Gross Profitability Premium, Proc, NBER Asset Pricing and Q Group Meetings
Pasaribu, R.B.F., 2010, Pemilihan Model Asset Pricing, Jurnal Akuntansi & Manajemen, Vol. 21: 217-230.
Premanto, G.C., dan Madyan, M., 2009, Perbandingan Keakuratan Capital Asset Pricing Model dan Arbitrage Pricing Theory Dalam Memprediksi Tingkat Pendapatan Saham Industri Manufaktur Sebelum dan Semasa Krisis Ekonomi, Jurnal Penelitian Dinamika Sosial Vol 5 No. 2:125-149.
Silvestri, A., Stevania, V., 2011, On the Robustness of Fama and French Model: Evidence from Italy. Journal of Applied Finance and Banking, Volume 1, Nomor 4, Hal 201-221.
Winarno, W.W., 2015, Analisis Ekonometrika dan Statistika dengan Eviews Edisi 4, UPP STIM YKPN.
Yolita, Fauzie. S., 2015, Analisis Stock Returns Perusahaan Perbankan Pada Jakarta Composite Index Menggunakan Fama-French Three-Factor Model, Jurnal Ekonomi dan Keuangan, Vol.2 No.11.
Zikmund, W.G., Babib, B.J., Carr, J.C., Griffin, M., 2010, Business Research Methods, 8th Edition, Cengage Learning
http://id.investing.com/indices/kompas-100-historical-data diunduh pada 17 Oktober 2015
http://www.bi.go.id/en/moneter/bi-rate/data/Default.aspx diunduh pada 17 Oktober 2015
https://www.infovesta.com/isd/article/article11.html diunduh pada 17 Oktober 2015
https://www.academia.edu/3880241/portofolio_bab1 diunduh pada 19 Oktober 2015
Published
2017-09-01
Section
Bidang Manajemen (M)
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