Repository Universitas Pakuan

Detail Karya Ilmiah Dosen

Yudhia Mulya, Oktori Kiswati Zaini, Sri Hidajati Ramdani

Judul : Faktor-Faktor yang Mempengaruhi Excess Return dengan Pendekatan Model Tiga Faktor Fama-French

Abstrak :
Abstrak

Penelitian ini bertujuan untuk mengidentifikasi faktor-faktor yang signifikan terhadap excess return saham dengan menggunakan pendekatan model tiga faktor Fama-French pada perusahaan yang termasuk dalam ketegori 50 perusahaan dengan kapitalisasi pasar terbesar berdasarkan publikasi Bursa Efek Indonesia periode 2014-2018. Model Fama-French mengimplikasikan bahwa excess return tidak dapat dijelaskan oleh hanya faktor beta saja, namun faktor ukuran perusahaan dan rasio book to market memiliki kemampuan baik dalam menjelaskan excess return. Pembentukan portofolio dilakukan berdasarkan parameter ukuran perusahaan dan rasio book to market. Hasil uji F menunjukkan bahwa model tiga faktor memiliki kemampuan baik dalam menjelaskan excess return pada seluruh model portofolio. Secara parsial, excess return pasar, ukuran perusahaan, dan rasio book to market memiliki pengaruh signifikan terhadap excess return saham pada portofolio saham big-high (B/H), small-high (S/H), dan small-medium (S/M).

Kata Kunci: Model tiga faktor Fama-French, excess return pasar, ukuran perusahaan, book to market

Tahun : 2019 Media Publikasi : Prosiding

Kategori : Prosiding No/Vol/Tahun : FMI-11 / 11 / 2019

ISSN/ISBN : 2407-0548

PTN/S : Universitas Pakuan Program Studi : MANAJEMEN

Bibliography :
Daftar Pustaka

Abbas, N., Khan, J., Aziz, R., & Sumrani, Z. (2015). A Study to Check Applicability of Fama and French, Three Factor Model on KSE 100-Index from 2004-2014. International Journal of Financial Research , 6 (No. 1), 90-100.

Kusdinarso, B. (2013). Analisis Perbandingan Fama French Three Factor Model dengan Capital Asset Pricing Model pada Saham LQ 45. Universitas Terbuka, Program Pascasarjana.

Hardianto, D., & Suherman. (2009). Pengujian Fama-French Three-Factor Model di Indonesia. Jurnal Keuangan dan Perbankan , 13 (No. 2), 198-208.

Acaravci, S. K., & Karaomer, Y. (2017). Fama-French Five Factor Model: Evidence from Turkey. International Journal of Economics and Financial Issues , 7(6), 130-137.

Aldaarmi, A., Abood, M., & Salameh, H. (2015). Implement Fama and French and Capital Asset Pricing Models in Saudi Arabia Stock Market. The Journal of Applied Business Research , 31 (No. 3), 953-968.

Canbas , S., & Arioglu, E. (2008). Testing The Three Factor Model of Fama and French: Evidence From Turkey. Sosyal Bilimler Enstitusu Dergisi , 17 (3), 79-92.

Blanco, B. (2012). The Use of CAPM and Fama and French Three Factor Model: Portofolios Selection. Public and Municipal Finance , 1 (2), 61-70.

Brigham, E. F., & Ehrhardt, M. C. (2005). Financial Management Theory and Practice (Vol. 11th Edition). Thomson South-Western.

Fama, E. F., & French, K. R. (1992). The Cross Section of Expected Stock Returns. Journal of Financial , 47 (No. 2), 427-465.

Boutabba, I. (2015). An Empirical Validation of Fama and French Three Factor Model (1992,A) On Some US Indices. Asian Economic and Financial Review , 5 (7), 2305-2147.

Reilly, F. K., & Brown, K. C. (2003). Investment Analysis & Portofolio Management. Thomson South-Western.

Fama, E. F., & French, K. R. (1993). Common Risk Factors in The Returns on Stocks and Bonds. Journal of FInancial Economics , 33, 3-56.

Basu, S. (1977). Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of The Effiicient Market Hypothesis. The Journal of FInance , XXXII (No. 3).

Banz, R. W. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics , 3-18.

Rossi, F. (2012). The Three-Factor Model: Evidence from Italian Stock Market. Research Journal of Finance and Accounting , 3 (No. 9), 151-160.

Emery, D. R., Finnery, J. D., & Stowe, J. D. (2007). Corporate Financial management. Pearson Education Inc.

Surono, Y. (2016). Memprediksi Return Saham: Keakuratan 2 (Dua) Model Fama French dan CAPM. Eksis , 7 (No. 2), 117-132.

URL : https://drive.google.com/drive/folders/1Pk-rtmzmnrJqvho8lHT_qBlypYQeQI_V

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Detail Karya Ilmiah Dosen

Yudhia Mulya, Oktori Kiswati Zaini, Sri Hidajati Ramdani

Judul	:	Faktor-Faktor yang Mempengaruhi Excess Return dengan Pendekatan Model Tiga Faktor Fama-French
Abstrak	:	Abstrak Penelitian ini bertujuan untuk mengidentifikasi faktor-faktor yang signifikan terhadap excess return saham dengan menggunakan pendekatan model tiga faktor Fama-French pada perusahaan yang termasuk dalam ketegori 50 perusahaan dengan kapitalisasi pasar terbesar berdasarkan publikasi Bursa Efek Indonesia periode 2014-2018. Model Fama-French mengimplikasikan bahwa excess return tidak dapat dijelaskan oleh hanya faktor beta saja, namun faktor ukuran perusahaan dan rasio book to market memiliki kemampuan baik dalam menjelaskan excess return. Pembentukan portofolio dilakukan berdasarkan parameter ukuran perusahaan dan rasio book to market. Hasil uji F menunjukkan bahwa model tiga faktor memiliki kemampuan baik dalam menjelaskan excess return pada seluruh model portofolio. Secara parsial, excess return pasar, ukuran perusahaan, dan rasio book to market memiliki pengaruh signifikan terhadap excess return saham pada portofolio saham big-high (B/H), small-high (S/H), dan small-medium (S/M). *Kata Kunci:* Model tiga faktor Fama-French, excess return pasar, ukuran perusahaan, book to market
Tahun	:	2019	Media Publikasi	:	Prosiding
Kategori	:	Prosiding	No/Vol/Tahun	:	FMI-11 / 11 / 2019
ISSN/ISBN	:	2407-0548
PTN/S	:	Universitas Pakuan	Program Studi	:	MANAJEMEN
Bibliography	:	Daftar Pustaka Abbas, N., Khan, J., Aziz, R., & Sumrani, Z. (2015). A Study to Check Applicability of Fama and French, Three Factor Model on KSE 100-Index from 2004-2014. International Journal of Financial Research , 6 (No. 1), 90-100. Kusdinarso, B. (2013). Analisis Perbandingan Fama French Three Factor Model dengan Capital Asset Pricing Model pada Saham LQ 45. Universitas Terbuka, Program Pascasarjana. Hardianto, D., & Suherman. (2009). Pengujian Fama-French Three-Factor Model di Indonesia. Jurnal Keuangan dan Perbankan , 13 (No. 2), 198-208. Acaravci, S. K., & Karaomer, Y. (2017). Fama-French Five Factor Model: Evidence from Turkey. International Journal of Economics and Financial Issues , 7(6), 130-137. Aldaarmi, A., Abood, M., & Salameh, H. (2015). Implement Fama and French and Capital Asset Pricing Models in Saudi Arabia Stock Market. The Journal of Applied Business Research , 31 (No. 3), 953-968. Canbas , S., & Arioglu, E. (2008). Testing The Three Factor Model of Fama and French: Evidence From Turkey. Sosyal Bilimler Enstitusu Dergisi , 17 (3), 79-92. Blanco, B. (2012). The Use of CAPM and Fama and French Three Factor Model: Portofolios Selection. Public and Municipal Finance , 1 (2), 61-70. Brigham, E. F., & Ehrhardt, M. C. (2005). Financial Management Theory and Practice (Vol. 11th Edition). Thomson South-Western. Fama, E. F., & French, K. R. (1992). The Cross Section of Expected Stock Returns. Journal of Financial , 47 (No. 2), 427-465. Boutabba, I. (2015). An Empirical Validation of Fama and French Three Factor Model (1992,A) On Some US Indices. Asian Economic and Financial Review , 5 (7), 2305-2147. Reilly, F. K., & Brown, K. C. (2003). Investment Analysis & Portofolio Management. Thomson South-Western. Fama, E. F., & French, K. R. (1993). Common Risk Factors in The Returns on Stocks and Bonds. Journal of FInancial Economics , 33, 3-56. Basu, S. (1977). Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of The Effiicient Market Hypothesis. The Journal of FInance , XXXII (No. 3). Banz, R. W. (1981). The Relationship Between Return and Market Value of Common Stocks. Journal of Financial Economics , 3-18. Rossi, F. (2012). The Three-Factor Model: Evidence from Italian Stock Market. Research Journal of Finance and Accounting , 3 (No. 9), 151-160. Emery, D. R., Finnery, J. D., & Stowe, J. D. (2007). Corporate Financial management. Pearson Education Inc. Surono, Y. (2016). Memprediksi Return Saham: Keakuratan 2 (Dua) Model Fama French dan CAPM. Eksis , 7 (No. 2), 117-132.
URL	:	https://drive.google.com/drive/folders/1Pk-rtmzmnrJqvho8lHT_qBlypYQeQI_V