Analisis pengaruh beta, rasio book to market value (BMV) dan size terhadap rata-rata return saham pada Bursa Efek Indonesia

ANGGONO, Susilo Tri, Suad Husnan, Dr., MBA

2009 | Tesis | S2 Magister Manajemen

Hasil penelitian Fama dan French (1992) yang menyatakan bahwa beta tidak mempunyai pengaruh terhadap cross section return, sementara size dan rasio book to market equity memiliki pengaruh yang kuat terhadap rata-rata return saham secara cross sectionally, menggundang banyak pertentangan. Fischer Black (1993) mengganggap hasi1 penelitian Fama dan French (1992) tersebut merupakan data mining karena Fama dan French (1992) tidak memberikan sebab-sebab untuk suatu hubungan antara size dan rasio book to market value (BMV) terhadap expected return (tidak ada landasan teori yang kuat). Berdasarkan fenomena tersebut, penelitian ini bertujuan untuk mengetahui apakah beta merupakan satu-satunya faktor penjelas return ataukah BMV dan Size dapat menggantikan peran beta atau memberikan tarnbahan penjelasan terhadap ratarata return saham. Periode pengamatan pada penelitian ini adalah Desember 2003 - Desember 2007. Sampel yang digunakan dalam bentuk saham individu dan portofolio. Sepuluh portofolio dibentuk berdasarkan rangking beta dari rendah sampai tinggi. Rata-rata return dari saham individu maupun portofolio sebagai variabel dependen, sedangkan beta, BMV dan size sebagai variabel independen. Melalui uji t dan uji F dapat disimpulkan bahwa beta berpengaruh positif terhadap return saham sedangkan BMV dan size berepengaruh negatif terhadap return saham. Berdasarkan nilai koefisien determinasi (Adjusted R2 ) , menunjukkan bahwa dengan penambahan faktor BMV dan Size pada model estimasi return dapat menerangkan return saham secara lebih baik daripada Capital Asset Pricing Model (CAPM). Kata kunci : Beta, Rasio book to market value, size, cross sectional average return, adjusted R2 .

The results of Fama and French's research (1992) which stated that beta doesn't affect the cross section return mean while size and book to market equity ratio has strong effect to average stock return cross sectionally has induced many debates. Fisher Black (1993) believe that the result ofFama and French's research is data mining because Fama and French didn't give any reasons for the relationship between size and book to market value (BMV) ratio with expected return (there is no strong theoretical background). Based on this phenomena, the objective of this research is to examine whether beta is the only factor for explaining returns or BMV and size can replace the role of beta or give additional explanation about average stock return. The observation period of this research is from December 2003 until December 2007. This research uses sample of stock in the form of individual stock and portfolio. Ten portfolios is formed based on rank of beta from low beta to high beta. Average stock return of individuaJ stock and portfolio is used as dependent variable while beta, book to market value and size is used as independent variable. By using t test and F test, this research found that beta affects stock return positively while book to market value and size affect stock return negatively. The vaJue of coefficient of determination (Adjusted R2 ) shows that the addition of BMV factor and size into return estimation model can explain stock return better than Capital Asset Pricing Model (CAPM). Keywords: Beta, book to market vaJue ratio, size, cross sectional average return, adjusted R2

Kata Kunci : Beta,Rasio book to market value,Size sectional average return,Adjusted R2