Fama-French Five Factors Model pada Excess Return Saham Indeks Kompas 100
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Abstract
ABSTRACT
In accordance with the title of this study, namely Empirical Test of the Effect of the Fama-French Five Factor Model on Excess Returns on Stocks listed on the Kompas 100 Index for the 2015-2019 period, this study aims to partially re-test the Fama-France Five Factor Model method. This study uses return data from stocks listed on the Kompas 100 Index from January 2015 to December 2019 which are then formed into time series data with excess monthly stock portfolios. This study adapts the methodology of Fama and French (2015) using 2X2 and 2x3 constructions to form a portfolio and applying Ordinary Least Square (OLS) with monthly data frequencies to test the relevance of the model to the excess stock returns of 56 companies listed on the Kompas 100 Index. The results showed that Market Excess Return (MKT), the size of which was proxied by Small Minus Big (SMB), the book-to-market ratio proxied by High Minus Low (HML) had a significant positive effect on the Excess Return of the stock portfolio of companies listed on the Kompas 100 Index. , while Profitability proxied by RMW (Robust Minus Weak) has a significant negative effect on Excess Return, and Investment proxied by Conservative Minus Aggressive (CMA) does not affect the expected Excess Return of the stock.
ABSTRAK
Sesuai dengan judul dari penelitian ini yaitu Uji Empiris Pengaruh Fama-French Five Factor Model terhadap Excess Return pada Saham yang terdaftar di Indeks Kompas 100 periode 2015-2019 maka penelitian ini bertujuan untuk menguji kembali metode Fama-France Five Factor Model secara parsial. Penelitian ini menggunakan data return dari saham yang terdaftar di Indeks Kompas 100 mulai dari Januari 2015 sampai dengan Desember 2019 yang kemudian dibentuk menjadi data time series dengan kelebihan portofolio saham bulanan. Penelitian ini mengadaptasi metodologi Fama dan French (2015) menggunakan konstruksi 2X2 dan 2x3 untuk membentuk portofolio dan menerapkan Ordinary Least Square (OLS) dengan frekuensi data bulanan untuk menguji relevansi model terhadap Excess return saham dari 56 perusahaan yang terdaftar di Indesk Kompas 100. Hasil penelitian menunjukkan bahwa Market Excess Return (MKT), size yang diproksikan dengan Small Minus Big (SMB), rasio book-tomarket yang diproksikan dengan High Minus Low (HML) berpengaruh positif signifikan terhadap Excess Return portofolio saham perusahaan yang terdaftar di Indeks Kompas 100, sedangkan Profitability yang diproksikan dengan RMW (Robust Minus Weak) berpengaruh negatif signifikan terhadap Excess Return, dan Investment yang diproksikan dengan Conservative Minus Aggressive (CMA) tidak mempengaruhi Excess Return saham yang diharapkan.
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