PENGARUH FIVE FACTORS MODELS FAMA AND FRENCH TERHADAP RETURN SAHAM PERIODE 2003 - 2017 (Uji Empiris Pada Sektor Jasa Property dan Real Estate di BEI )

KARYANTO, JOKO (2019) PENGARUH FIVE FACTORS MODELS FAMA AND FRENCH TERHADAP RETURN SAHAM PERIODE 2003 - 2017 (Uji Empiris Pada Sektor Jasa Property dan Real Estate di BEI ). S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to test the accuracy of Fama and French Five Factor Models in predicting the return on property and real estate sector for the period of 2003 – 2017. The Fama and French Five Factor Model is the response to the weakness of the previous model is Fama and French Three Factor Models. The variables in this model used in the research are market risk premium, Market capitalization, Book to market equity , operating profitability and investment. The analytical tool used in the measurement is the multiple linear regression method (STATA). Population in this research is property and real estate sub sector exchange which its share active duriing year 2003 – 2017 sample used in this research that is purpose sampling counted 18 company. This study uses time series data and annual financial reports from march 2003 – december 2017. The results of the study show that only market risk premium variables have a positive effect. While market capitalization, B/M ratio , operating profitability and investment shows a negative effect on stock return. Keywords: Fama and French Five Factor Model, Stock returns, Market risk premium, Market capitalization, B / M ratio, Operating Profitability, investment, Property and real estate sector Penelitian ini bertujuan untuk menguji tingkat keakuratan model Fama and French Five Factor Models dalam memprediksi imbal hasil saham sektor Property dan Real Estate periode 2003-2017. Fama and French Five Factor Models merupakan respon terhadap kelemahan teori sebelumnya yaitu Fama and French Three Factor Models. Variabel dalam model ini yang digunakan dalam penelitian ini adalah Market Risk Premium, Market Capitalization, Book to Market Equity , Operating Profitability dan Investment. Alat analisis yang digunakan dalam pengukurannya adalah metode regresi liner berganda (STATA). Populasi dalam penelitian ini adalah perusahaan sub-sektor property dan real estate yang terdaftar di Bursa Efek Indonesia yang sahamnya aktif selama tahun 2008-2017. Sampel yang digunakan pada penelitian ini yaitu purpose sampling sebanyak 18 perusahaan. Penelitian ini menggunakan data time series, yaitu data bulanan dan laporan keungan triwulan dari Maret 2003- Desember 2017. Hasil penelitian menunjukkan Bahwa hanya variabel Market Risk Premium yang berpengaruh positif. sedangkan Market Capitalization, Book To Market Equity, Operating Profitability dan Investment menunjukkan pengaruh yang negative terhadap imbal hasil saham. Kata kunci: Fama and French Five Factor Model, imbal hasil saham, Market Risk Premium ,Market Capitalization , B/M ratio , Operating Profitability , investment, sektor Property dan real estate

Item Type: Thesis (S1)
Call Number CD: FE/MJ. 19 837
NIM/NIDN Creators: 43115010149
Additional Information: Fama and French Five Factor Model, imbal hasil saham, Market Risk Premium ,Market Capitalization , B/M ratio , Operating Profitability , investment, sektor Property dan real estate.
Subjects: 100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 155 Differential and Developmental Psychology/Psikologi Diferensial dan Psikologi Perkembangan > 155.9 Environmental Psychology/Psikologi Lingkungan > 155.93 Influence of Specific Situations/Pengaruh Situasi Tertentu
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 332 Financial Economics, Finance/Ekonomi Keuangan dan Finansial, Ekonomi Biaya dan Pembiayaan
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 336 Public Finance/Keuangan Negara
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 04 Jan 2022 07:12
Last Modified: 15 Apr 2023 07:23
URI: http://repository.mercubuana.ac.id/id/eprint/53506

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