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 (2020) 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-Sarjana 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 sectorThis 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-Sarjana)
Call Number: SE/31/19/259
NIM: 43115010149
Uncontrolled Keywords: 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: 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 060 General Organizations, Foundations, and Museology/Organisasi-organisasi Umum, dan Museologi > 069 Museology (Museum science)/Museologi > 069.1 Museum Services to Patrons/Layanan Museum untuk Pelanggan > 069.15 Instruction Services/Jasa Instruksi
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 338 Production, Industrial Economics/Produksi, Ekonomi Industri
300 Social Science/Ilmu-ilmu Sosial > 330 Economics/Ilmu Ekonomi > 338 Production, Industrial Economics/Produksi, Ekonomi Industri > 338.4 Secondary Industries and Services/Industri dan Jasa Sekunder
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 30 Jun 2020 03:29
Last Modified: 30 Jun 2020 03:29
URI: http://repository.mercubuana.ac.id/id/eprint/56110

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