Pengujian Model Tiga Faktor pada Perusahaan Non-Finansial di Bursa Efek Jakarta Periode Krisis dan Setekah Krisis Moneter (tahun 1997-2003)

Berly, I Wayan Nuka Lantara, S.E., M.Si.

2007 | Skripsi | S1 Management

The purpose of this research is to test the three-factor Fama and French (1993) model in non-financial firms that traded in the Jakarta Stock Exchange (JSX) during the crisis and after crisis periods (1997-2003). Market, SMB, and HML factors are hypothesized to be positive explain returns. This research replicates the Fama and French (1993) design in the construction of the six size/book-to-market portfolios. This research uses purposive sampling model which the sample includes only non-financial firms that traded in JSX during the 1997-2003 periods. The empirical results show that during the crisis period both market and size factors positively explained returns. However, after the crisis period, only the market factor that positively explained the stock returns in JSX.

Kata Kunci : Model Tiga Faktor, Perusahaan Non-Finansial, Bursa Efek Jakarta, Pasar Modal, Krisis Moneter, three-factor Fama and French Model, Returns