ANALISIS PENGARUH FIVE FACTORS FAMA FRENCH TERHADAP EXCESS RETURN PADA INDEKS LQ-45 DI BURSA EFEK INDONESIA PERIODE 2003 – 2017

FIRDAUS, ANISA (2020) ANALISIS PENGARUH FIVE FACTORS FAMA FRENCH TERHADAP EXCESS RETURN PADA INDEKS LQ-45 DI BURSA EFEK INDONESIA PERIODE 2003 – 2017. S1-Sarjana thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to determine the effect of Risk Market Premium, Small Minus Big (SMB), High Minus Low (HML), Robust Minus Weakness (RMW), and Conversative Minus Aggressive (CMA) on Excess Return on companies listed in the LQ-45 group . The study population was 7 companies registered in the LQ-45 group. The sampling method used was purposive sampling method, so that 7 companies were obtained consistently for 15 years of observation (2003-2017) with 60 observations. Research data was obtained from sample companies downloaded from the Indonesia Stock Exchange website. The data analysis technique used is descriptive statistical analysis and multiple linear regression analysis with STATA statistical software tools. The results of this study partially indicate that Market Risk Premium has a significant effect on Excess Return. While Small Minus Big (SMB), High Minus Low (HML), Robust Minus Weakness (RMW), and Conversative Minus Aggressive (CMA) have no partial effect on Excess Return. Keywords: Risk Market Premium, Big Minus Big (SMB), High Minus Low (HML), Robust Minus Weakness (RMW), Conversative Minus Aggressive (CMA), Excess Return Penelitian ini bertujuan untuk mengetahui pengaruh Market Risk Premium, Small Minus Big (SMB), High Minus Low (HML), Robust Minus Weakness (RMW), dan Conversative Minus Aggressive (CMA) terhadap Excess Return pada perusahaan yang terdaftar dalam kelompok LQ-45. Populasi penelitian ini sebanyak 7 perusahaan yang terdaftar dalam kelompok LQ-45. Metode pengambilan sampel yang digunakan adalah metode purposive sampling, sehingga diperoleh 7 perusahaan yang konsisten selama 15 tahun pengamatan (2003-2017) dengan 60 observasi (pengamatan). Data penelitian diperoleh dari perusahaan sampel yang diunduh dari website Bursa Efek Indonesia. Teknik analisis data yang digunakan adalah analisis statistic deskriptif dan analisis regresi linear berganda dengan alat bantu software statistic STATA. Hasil penelitian ini secara parsial menunjukkan bahwa Market Risk Premium berpengaruh secara signifikan terhadap Excess Return. Sedangkan Small Minus Big (SMB), High Minus Low (HML), Robust Minus Weakness (RMW), dan Conversative Minus Aggressive (CMA) tidak berpengaruh secara parsial terhadap Excess Return. Kata Kunci: Market Risk Premium, Small Minus Big (SMB), High Minus Low (HML), Robust Minus Weakness (RMW), Conversative Minus Aggressive (CMA), Excess Return

Item Type: Thesis (S1-Sarjana)
NIM: 43115010128
Uncontrolled Keywords: Market Risk Premium, Small Minus Big (SMB), High Minus Low (HML), Robust Minus Weakness (RMW), Conversative Minus Aggressive (CMA), Excess Return
Subjects: 000 Computer Science, Information and General Works/Ilmu Komputer, Informasi, dan Karya Umum > 020 Library and Information Sciences/Perpustakaan dan Ilmu Informasi > 025 Operations, Archives, Information Centers/Operasional Perpustakaan, Arsip dan Pusat Informasi, Pelayanan dan Pengelolaan Perpustakaan > 025.1 Administration and Library Management/Administrasi dan Manajemen Perpustakaan > 025.11 Finance/Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.3 Financial Reporting (Financial Statements)/Laporan Keuangan > 657.32 Preparing Financial Statements/Menyiapkan Laporan Keuangan
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu
600 Technology/Teknologi > 650 Management, Public Relations, Business and Auxiliary Service/Manajemen, Hubungan Masyarakat, Bisnis dan Ilmu yang Berkaitan > 657 Accounting/Akuntansi > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu > 657.48 Analytical (Financial) Accounting/Analisis (Keuangan) Akuntansi
700 Arts/Seni, Seni Rupa, Kesenian > 720 Architecture/Arsitektur > 725 Public Structures Architecture/Arsitektur Struktur Umum > 725.2 Commercial and Communication Buildings/Arsitektur Gedung Perdagangan dan Komunikasi > 725.24 Financial Institutions/Lembaga Keuangan
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: Dede Muksin Lubis
Date Deposited: 30 Jun 2020 03:43
Last Modified: 30 Jun 2020 03:43
URI: http://repository.mercubuana.ac.id/id/eprint/56112

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