ANALISIS MODEL TIGA FAKTOR FRENCH & FAMA PADA INDUSTRI MANUFAKTUR KETIKA KONDISI BULLISH DAN BEARISH PERIODE 2010-2015

Anindityo Baskoro A., Bowo Setiyono, S.E., M.Com., Ph.D.

2017 | Tesis | S2 Manajemen

Penelitian ini berusaha untuk menguji kinerja Three factor model Fama dan Frech (1993) dalam menjelaskan tingkat pengembalian saham portofolio pada industri manufaktur di Indonesia pada tahun 2010 hingga 2015. Pada penelitian ini, keseluruhan data diambil dari Bloomberg, situs Yahoo Finance, dan Jakarta stock index. Penelitian ini menggunakan regresi linear berganda pada data time series untuk menjelaskan pengaruh tiga variable (resiko pasar, risiko size, dan risiko book to market) terhadap excess stock return. Hasil dalam penelitian ini menunjukkan risiko pasar berpengaruh positif signifikan terhadap excess stock return pada periode bullish maupun bearish,. Faktor size memberikan pengaruh signifikan dan positif terhadap excess stock return pada periode bullish maupun bearish. Terakhir, risiko book to market memberikan pengaruh tidak signifikan dan negatif terhadap excess stock return pada periode bearish maupun bullish.

This research attempts to test the performance of Fama and French Three Factor Model (1993) in explaining the stock portfolio returns on Manufacture Industry in Indonesia from 2010 to 2015. In this study, the data are obtained from Bloomberg, Yahoo finance, and Indonesia Stock Exchange. This study uses multiple linear regression on time series data to describes the effects of three variables (market risk premium factor, size risk factor, and book to market ratio risk factor) on excess portfolio returns. The data used in this analysis are stock prices, number of stock outstanding, book value ofcompany, monthly stock returns, monthly market returns, and risk free rates in the period of March 2010 to December 2015. The results showed a positive and significant market risk premium effect on bearish ad bullish period. Size factor show positive effect and significant on stock returns at both bullish and bearish period. And then the book to market ratio effect gives negative and insignificant effect on stock returns at bearish and bullish period.

Kata Kunci : Size, book to market value, stock return, threefactor model.