Pengaruh Size, book to Market Ratio, dan Momentum Terhadap Return Saham Di Bursa Efek Indonesia
LESMANA, TOMMY (Adv.: Sri Handaru Yuliati, Dra., M.B.A.), Sri Handaru Yuliati, Dra., M.B.A.
Penelitian ini bertujuan untuk menganalisis pengaruh faktor size, book to market ratio, dan momentum terhadap return saham di Bursa Efek Indonesia. Penelitian ini dilakukan terhadap semua perusahaan yang listing di Bursa Efek Indonesia pada periode 2007-2011. Metode pengambilan sampel menggunakan purposive sampling dan pengujian menggunakan regresi berganda.
Hasil penelitian ini menunjukan bahwa ketiga faktor yang menjadi bahan penelitian belum berpengaruh signifikan terhadap seluruh return portfolio saham di pasar modal Indonesia. Walaupun belum berpengaruh secara signifikan terhadap seluruh return portfolio, tetapi ada indikasi pengaruh terhadap return portfolio saham. Pengaruh tersebut tidak terjadi pada semua portfolio, tetapi hanya terjadi di beberapa portfolio saja.
This study has purposes to analyze the effect of size, book to market ratio, and momentum on stock return of listed companies in Indonesia Stock Exchange. This study was conducted on all companies which listed in Indonesia Stock Exchange in the period of 2007 until 2011. The sampling method on this study is using purposive sampling and the estimation is using multiple regression.
The result conclude that all three factor that have been investigating donÂ’t have significant effect on the entire stock portfolio return in the Indonesia Stock Exchange. There are some indication that those factors affecting the stock portfolio return, but the effect do not occur in all portfolios, but only in certain portfolio.
Kata Kunci : size, book to market ratio, momentum, return cross-sectional , Indonesia Stock Market.
