ANALISIS MODEL TIGA FAKTOR FAMA FRENCH DALAM PEMBENTUKAN PORTOFOLIO; ANALYSIS FAMA FRENCH THREE FACTOR MODEL WITHIN PORTFOLIO FORMATION

Hidayani, Nurul, Herni Utami

2016 | Skripsi | FMIPA

Portfolio formation is one of strategy to reduce the risk or the loss in investment. Various theories have been developed in investment world. The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years, it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock return cannot described solely by one-factor CAPM. One of the theory that based on CAPM is Fama French Three Factor Model. The model adding two more factor firm size and book to market value that could explaining return in stock. In this thesis was conducted to determined the effect of fama french three factor model on return stock. The data used in this study is a data company incorporated in LQ 45 during period January 2011 – July 2014. Then in case studies portofolio formation created with fama french three factor model criteria. Optimal portfolio being selected, the optimal portfolio is portfolio with small firm size and high book to market, then the weight is given for each of securities in the portfolio

Kata Kunci : portfolio, CAPM, fama french, firm size, book to market