Hanif, SutanIndra (2015) The Comparison Between Fama-French Three Factors Model (FF3FM) and Capital Asset Pricing Model (CAPM) as Investing Decision on Efficient Shares (Study of LQ45 Listed in Indonesian Stock Exchange Perio. Sarjana thesis, Universitas Brawijaya.
Abstract
English Abstract
The common businessmen slogan “using little cost to gain high profit, make many businessmen in the world generate various method in order to get the high profit”. This factor stimulate the occuring of business calculation method to predict the return in the future, and this calculation known as Asset Pricing Models Theory. “Beta” as the single indicator of CAPM cannot represent the whole phenomenon of a business in asset pricing, even some research results that the CAPM are “extremely disappointing. 70% return of a portfolio are explained by the beta of the portfolio and rest 30% returns are expressed by some other factors. Fama-Fernch’s research aslo resulted that beta as the single indicator of market are not able to explain the stock return, whereas size and book-to-market (BE/ME) able. After all, Fama-French using 3 factor to explain the return of portfolio consist of; market (taken from CAPM), and book to market ratio (taken from APT), and Size. The CAPM is the most widely used model because of its simplicity and underlying assumption that investors respect the mean-variance criterion in choosing their portfolios, That is why CAPM become favourite by people around the world, also in Indonesia. In the process of their development, many researchers find that FF3FM are superior than CAPM. Fama-Fernch’s research resulted that beta as the single indicator of market are not able to explain the stock return, whereas size and book-to-market (BE/ME) able. After all, Fama-French using 3 factor to explain the return of portfolio consist of; market (taken from CAPM), and book to market ratio (taken from APT), and Size. This research aims to analyze the implementation of FF3FM method in Indonesia, and the differences of implementing both methods; and it is not about comparing the best method between CAPM and FF3FM. The type of this Research is Descriptive with Quantitative approach. This undergraduate thesis using the Indonesian Stock Exchange (IDX) as the research location, because the data reported in IDX are already audited so the accuracy of the data is assured.The populations in this research is the is the stock of the companies listed in Indonesian Stock Exchange (IDX) period 2011-2013 which include in LQ45. The samples in this reseach are 22 companies using purposive sampling. The collecting data method in this research is documentary that is tracing the historical data. The documentary method in this research using the legal document, that is generated from the company like yearly financial reports of company, listed in the trustable website. The results in this study are first, the shares will be categorized into the efficient shares if the Ri is higher than E(Ri) {Ri > E(Ri)}. The sample companies mostly contain positive Ri with only 4 negative Ri. The highest Beta (β) is owned by company which also resulted highest; it is prove that higher beta contain higher return. The result of FF3FM analysis resulted that from 22 sample companies, there are only 2 companies which contain inefficient shares or Ri is less than E(Ri) {Ri.<.E(Ri)}. Second is that Asset Pricing Models of CAPM and FF3FM having much similarities as seen on SML, it is because the FF3FM is a developing theory of CAPM. As seen on the formula, the main differences of the FF3FM than CAPM are that Fama and French added SMB and HML in FF3FM formula. The SMB and HML rate are same for all the samples. From 22 samples of company shares in this research, CAPM calculation resulting 13 Efficient shares and 9 Inefficient shares; while FF3FM calculation resulting 20 Efficient shares, and only 2 Inefficient shares.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | SKR/FIA/2015/815/051509112 |
| Subjects: | 600 Technology (Applied sciences) > 658 General management |
| Divisions: | Fakultas Ilmu Administrasi > Ilmu Administrasi Bisnis / Niaga |
| Depositing User: | Budi Wahyono Wahyono |
| Date Deposited: | 18 Dec 2015 09:31 |
| Last Modified: | 18 Dec 2015 09:31 |
| URI: | http://repository.ub.ac.id/id/eprint/117911 |
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