Analisis pengaruh three factor model FAMA terhadap return portofolio
Rahayu, Siti (Adv.: Prof. Dr. Marwan Asri, MBA), Prof. Dr. Marwan Asri, MBA
Three Factor Model Fama is used to getting empirical reason about unvalidation beta as variable to determining return portfolio. Fama and French (1993) suggest that three factor that influencing return portfolio is excess market return (RroRf), different average return portofolio small stock and big stock (SMB), and different average return portfolio high BIM and low BIM.
This research try to get empirical evidence that three factor model fama also influence return portfolio stock in Indonesian capital market. Research use non financial stock begin July 1999 until June 2003 as a sample. Portfolio is formed with single portfolio (proxy used are size, BIM and E/P), and double portfolio (size-B/M, and size-E/P). in the first step, we get evidence that there are pattern about value strategy in Indonesia. Second step, we find evidence that three factor model fama influence return portfolio in Indonesia. Portfolio size-BIM better to used as a proxy value -growth stock than portfolio size-E/P. Excess return market influence return portfolio in all of portfolio is formed. Variable HML better than 5MB to predict premium return in value strategy.
Kata Kunci : Return portofolio, Three Factor Model Fama, and value strategy
