UJI EMPIRIS FAMA FRENCH FIVE FACTORS MODELS TERHADAP RETURN SAHAM PADA PERUSAHAAN SEKTOR PERTANIAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2008-2017

PUSPITASARI, NELI (2020) UJI EMPIRIS FAMA FRENCH FIVE FACTORS MODELS TERHADAP RETURN SAHAM PADA PERUSAHAAN SEKTOR PERTANIAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2008-2017. S1-Sarjana thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to analyze the influence of the Fama French Five Factors Models on Stock Returns on agricultural companies listed on the Indonesia Stock Exchange (IDX) using quarterly data starting from January 2008 to December 2017. The factors in the Fama French Five Factors Models are market risk, size, book-to-market equity, profitability, and investment. The number of observations in this study were 40 consisting of 15 companies during the period January 2008 to December 2017. Based on the stationarity test results, all data in this study were stationary or had a constant variant. Likewise with the results of the test assumptions of normality, heteroscedasticity, autocorrelation and multicollinearity of all variables used in this study are free from these assumptions. The results of multiple linear regression showed a positive and significant effect between the risk premium, book-to-market equity, and profitability variables on stock returns. Whereas the variable size and investment have no effect on stock returns. Keywords : Fama French Five Factors Models, Market Risk Premium, Size, Book-to-market Equity, Profitability, Investment, International Asset Pricing, Stock Returns. Penelitian ini bertujuan untuk menganalisis pengaruh Fama French Five Factors Models terhadap Return Saham pada perusahaan pertanian yang terdaftar di Bursa Efek Indonesia (BEI) dengan menggunakan data triwulan dimulai dari bulan Januari 2008 sampai dengan Desember 2017. Faktor-faktor dalam Fama French Five Factors Models yaitu market risk, size, book-to-market equity, profitability, dan investment. Jumlah observasi pada penelitian ini sebanyak 40 yang terdiri dari 15 perusahaan selama periode Januari 2008 sampai dengan Desember 2017. Berdasarkan hasil uji stasioneritas, seluruh data dalam penelitian ini adalah stasioner atau memiliki varian yang konstan. Begitupun dengan hasil uji asumsi normalitas, heteroskedastisitas, autokorelasi dan multikolinieritas seluruh variabel yang digunakan dalam penelitian ini bebas dari asumsi-asumsi tersebut. Hasil regresi linier berganda menunjukkan pengaruh positif dan signifikan antara variabel premi risiko, book-to-market equity, dan profitability terhadap return saham. Sedangkan pada variabel size dan investment tidak berpengaruh terhadap return saham. Kata Kunci : Fama French Five Factors Models, Market Risk Premium, Size, Book-to-market Equity, Profitability, Investment, International Asset Pricing, Return Saham.

Item Type: Thesis (S1-Sarjana)
NIM: 43115110232
Uncontrolled Keywords: Fama French Five Factors Models, Market Risk Premium, Size, Book-to-market Equity, Profitability, Investment, International Asset Pricing, Return Saham.
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 > 657.4 Specific Fields of Accounting/Bidang Akuntansi Tertentu
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: 16 Sep 2020 04:46
Last Modified: 16 Sep 2020 04:46
URI: http://repository.mercubuana.ac.id/id/eprint/57081

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