Dewanto, Cliff Agathia Nathaniel and Prof. Dr. Sumiati,, SE., M.Si., CFP (2022) Pengaruh Fama-French Five Factor Model Terhadap Return Saham (Studi Pada Perusahaan Infrastruktur Yang Terdaftar Di Bursa Efek Indonesia Periode 2015 – 2019). Sarjana thesis, Universitas Brawijaya.
Abstract
Mengestimasi risiko dan return saham merupakan hal yang penting bagi seorang investor. Mengestimasi dengan model Fama dan French merupakan salah satu cara untuk memprediksi dan mengidentifikasi trade off saham yang dibeli, misalnya pada saham-saham perusahaan sektor infrastruktur yang terdaftar di Bursa Efek Indonesia. Sektor infrastruktur merupakan salah satu sektor yang mengalami penurunan paling signifikan di Bursa Efek Indonesia. Jenis penelitian yang digunakan adalah explanatory research. Populasi dalam penelitian ini adalah seluruh perusahaan yang temasuk dalam sektor infrastruktur yang masih dan tercatat di Bursa Efek Indonesia pada Desember 2015 – Desember 2019 sebanyak 57 perusahaan. Teknik pengambilan sampel yang digunakan pada penelitian ini adalah purposive sampling sehingga didapatkan 30 perusahaan. Penelitian ini menggunakan analisis regresi linier berganda. Hasil penelitian menunjukkan bahwa variabel market excess return, book-to-market (HML), profitability (RMW), dan investment pattern (CMA) berpengaruh positif dan signifikan terhadap return saham. Lalu untuk variabel size (SMB) berpengaruh negatif dan signifikan terhadap return saham.
English Abstract
Estimating the risk and return of a stock is important for an investor. Estimating using the Fama and French models is one way to predict and identify the trade off of purchased shares, for example in the shares of infrastructure sector companies listed on the Indonesia Stock Exchange. The infrastructure sector is one of the sectors that experienced the most significant decline on the Indonesia Stock Exchange. The type of research used is explanatory research. The population in this study are all companies that are included in the infrastructure sector that are still listed on the Indonesia Stock Exchange in December 2015 – December 2019 as many as 57 companies. The sampling technique used in this study was purposive sampling so that 30 companies were obtained. This study uses multiple linear regression analysis. The results showed that market excess return, book-to market (HML), profitability (RMW), and investment pattern (CMA) had a positive and significant effect on stock returns. On the other hand, size (SMB) had a negative and significant effect on stock returns.
| Item Type: | Thesis (Sarjana) |
|---|---|
| Identification Number: | 0522020083 |
| Uncontrolled Keywords: | Return Saham, Market Excess Return, Size, Book-to Market, Profitability, Investment Pattern, Stock Return, Market Excess Return, Size, Book-to Market, Profitability, Investment Patter |
| Subjects: | 600 Technology (Applied sciences) > 658 General management |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen |
| Depositing User: | Nur Cholis |
| Date Deposited: | 08 Nov 2022 01:37 |
| Last Modified: | 08 Nov 2022 01:37 |
| URI: | http://repository.ub.ac.id/id/eprint/196186 |
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Text (DALAM MASA EMBARGO)
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