ANALISIS CAPITAL ASSET PRICING MODEL DAN FAMA-FRENCH THREE FACTOR MODEL DALAM MEMPREDIKSI RETURN SAHAM (Studi Kasus pada Perusahaan yang Masuk Kelompok LQ-45 Periode 2017-2019)

ALMADANI, SULTAN ALAM (2021) ANALISIS CAPITAL ASSET PRICING MODEL DAN FAMA-FRENCH THREE FACTOR MODEL DALAM MEMPREDIKSI RETURN SAHAM (Studi Kasus pada Perusahaan yang Masuk Kelompok LQ-45 Periode 2017-2019). S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

This study aims to determine the effect of risk premium (beta) on the Capital Assets Pricing Model (CAPM) and the Fama French Three Factor Model (FF3FM) on stock returns in companies listed on the Indonesia Stock Exchange and included in the LQ-45 group. In addition, this study also aims to determine the effect of size and book to market equity on stock returns on the Fama French Three Factor Model (FF3FM) method for companies included in the LQ-45 group. The population in this study are all companies that are included in the LQ45 group during the 2017-2019 period. The sample in this study were 22 companies with a sampling technique using purposive sampling. The simple regression analysis method is used to determine the effect of the risk premium (beta) on seham returns in the CAPM model, while multiple regression is used to determine the effect of risk premium (beta), size and book to market BE / ME) on stock returns in the FF3FM model. The results showed that the risk premium (beta) has a significant effect on stock returns in the CAPM model. The risk premium (beta) affects stock returns in the FF3FM model. The size variable has an effect on stock returns in the FF3FM model, while the BE / ME variable has no effect on stock returns in the FF3FM model. The results showed that the Fama French Three Factor Model (FF3FM) is able to predict stock returns better than CAPM, this can be seen from the R2 value generated by FF3FM is higher than CAPM. Keywords: risk premium, size, book to market equity, CAPM, FF3FM Penelitian ini bertujuan untuk mengetahui pengaruh premi risiko (beta) pada model Capital Assets Pricing Model (CAPM) dan Fama French Three Factor Model (FF3FM) terhadap return saham pada perusahaan yang terdaftar di Bursa Efek Indonesia dan masuk ke dalam kelompok LQ-45. Selain itu, penelitian ini juga bertujuan untuk mengetahui pengaruh size dan book to market equity terhadap return saham pada pada metode Fama French Three Factor Model (FF3FM) pada perusahaan yang termasuk dalam kelompok LQ-45. Populasi pada penelitian ini adalah seluruh perusahaan yang masuk ke dalam kelompok LQ-45 selama periode 2017-2019. Sampel pada penelitian ini sebanyak 22 perusahaan dengan teknik sampling menggunakan purposive sampling. Metode analisis regresi sederhana digunakan untuk mengetahui pengaruh premi risko (beta) terhadap return seham pada model CAPM, sedangkan regresi berganda digunakan untuk mengetahui pengaruh premi risiko (beta), size dan book to market BE/ME) terhadap return saham pada model FF3FM. Hasil penelitian menunjukkan bahwa premi risiko (beta) memiliki pengaruh yang signifikan terhadap return saham pada model CAPM. Premi risiko (beta) berpengaruh terhadap return saham pada model FF3FM. Variabel size berpengaruh terhadap return saham pada model FF3FM, sedangkan variabel BE/ME tidak berpengaruh terhadap return saham pada model FF3FM. Hasil penelitian menunjukkan bahwa Fama French Three Factor Model (FF3FM) mampu memprediksi return saham lebih baik dibandingkan dengan CAPM, hal ini dapat dilihat dari nilai R2 yang dihasilkan FF3FM lebih tinggi dibandingkan CAPM. Kata kunci : premi risiko, size, book to market equity, CAPM, FF3FM

Item Type: Thesis (S1)
NIM/NIDN Creators: 43117010193
Uncontrolled Keywords: premi risiko, size, book to market equity, CAPM, FF3FM
Subjects: 100 Philosophy and Psychology/Filsafat dan Psikologi > 150 Psychology/Psikologi > 154 Subconscious and Altered States and Process/Psikologi Bawah Sadar > 154.6 Sleep Phenomena/Fenomena Tidur > 154.63 Dreams/Mimpi > 154.634 Analysis/Analisis
400 Language/Bahasa > 400. Language/Bahasa > 406 Organizations and management/Organisasi dan Manajemen
Divisions: Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User: CALVIN PRASETYO
Date Deposited: 22 Jul 2023 07:33
Last Modified: 22 Jul 2023 07:33
URI: http://repository.mercubuana.ac.id/id/eprint/79496

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