Factors Affecting Portfolio Return in Indonesian Stock Market: Fama and French Three Factors Model VS Capital Asset Pricing Model
SETIADI, HARLAN (Pembimbing: Dr. Suad Husnan, MBA.), Dr. Suad Husnan, MBA.
Berbagai cara tersedia untuk menghitung return dari suatu asset. Para peneliti di bidang ini telah mengembangkan berbagai pendekatan untuk menghitung return dari suatu asset dan portfolio. Penelitian ini akan menguji ke akuratan dari dua pricing model yaitu Capital Asset Pricing Model dan Fama and French three factors model, dan menjelaskan faktor lain selain factor pasar yang dapat mempengaruhi return dari suatu portfolio.
Hasil dari penelitian ini menunjukkan bahwa factor pasar tidak dapat tergantikan. Research ini menunjukkan bahwa factor pasar masih sangat signifikan dalam menjelaskan return portfolio. Sementara itu faktor Size (SMB) hanya berpengaruh pada return saham dengan ukuran kecil (market capitalization yang rendah) dan book-to-market ratio (HML) mempunyai hubungan positif pada semua portfolio. Penelitian ini juga bertujuan untuk membandingkan keakuratan dari kedua model tersebut berdasarkan kriteria Adjusted R-Square, dan hasilnya menunjukkan bahwa Fama and French Three Factors model menghasilkan adjusted R-Square yang lebih besar.
There are various ways to calculate the return of assets. Many researchers have developed their unique approach in assessing the return of an assets and portfolio. This research would test the robustness of two well-known pricing models which are Fama and French Three Factors Model and Capital Assets Pricing Model, and revealing other factors besides Market Factor that could affect the return of portfolio.
In this research, it turns out that Market factor is irreplaceable. The research shows that market factor is still a significant determinant of portfolio return. Meanwhile Size (represented by SMB) is only affecting those stocks with small size (small capitalization) and book to market ratio (represented by HML) have positive relationships with all portfolios constructed. This research also aim to compare the robustness of CAPM and Fama and French three factors model on the basis of Adjusted R-Square criterion, and the results shows that Fama and French have larger adjusted R-square.
Kata Kunci : CAPM, Fama and French Three Factors Model, Portfolio Return, Size, Book to Market ratio
