ANALISIS PENGARUH FAMA AND FRENCH THREE FACTOR MODEL TERHADAP RETURN SAHAM PADA PERUSAHAAN SUB SEKTOR FARMASI YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2010-2019

AYUNINGSIH, TIARA (2020) ANALISIS PENGARUH FAMA AND FRENCH THREE FACTOR MODEL TERHADAP RETURN SAHAM PADA PERUSAHAAN SUB SEKTOR FARMASI YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2010-2019. S1 thesis, Universitas Mercu Buana Jakarta.

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Abstract

Dalam mengestimasi return, memilih model menjadi satu hal yang penting yang perlu dilakukan oleh investor dalam mempertimbangkan risiko dan return saham yang dipilih. Adanya konsep high risk high return menjelaskan bahwa risiko berjalan beriringan sesuai dengan karakteristik masing-masing investor. Salah satunya adalah model tiga faktor yang dikemukakan oleh Eugene F. Fama dan Kenneth R. French pada tahun 1992. Model tersebut menyediakan pilihan dalam mengestimasi return yang terdiri atas variabel premi risiko (risk premium), size yang diproksikan dengan small minus big (SMB) dan book to market equity yang diproksikan dengan high minus low (HML).Penelitian ini menguji dan menganalisis pengaruh tiga faktor model Fama dan French (premi risiko, firm size, dan book to market equity) terhadap pengembalian saham-saham perusahaan Farmasi yang terdaftar di Bursa Efek Indonesia (BEI) dengan menggunakan data triwulan dimulai dari bulan Januari 2010 sampai Desember 2019. Populasi dalam penelitian ini melibatkan 10 perusahaan Farmasi dengan data time series triwulan sebanyak 40 bulan dengan metode non purposive sampling (sampel jenuh). Metode teknik analisis kuantitatif dengan alat analisis Eviews 9.Hasil penelitian menunjukkan adanya pengaruh positif dan signifikan antara premi risiko dengan return saham, sedangkan pada variabel firm size berpengaruh negatif tapi tidak signifikan terhadap return saham, dan book to market equity berpengaruh positif tapi tidak signifikan terhadap return saham. Maka dapat disimpulkan bahwa variabel firm size dan book to market equity tidak berpengaruh terhadap retun saham, hanya variabel premi risiko yang mampu mempengaruhi return saham sebesar 99,5%, sedangkan 0,5% sisanya dijelaskan oleh variabel lain yang tidak dilibatkan dalampenelitian ini. Kata kunci: Fama and French Three Factor Model,return saham, premi risiko, firm size, book to market equity, sub sektor perusahaan Farmasi In estimating returns, choosing a model is an important thing that investors need to do in considering the risks and returns of the selected stocks. The concept of high risk high return explains that risk goes hand in hand according to the characteristics of each investor. One of them is the three-factor model proposed by Eugene F. Fama and Kenneth R. French in 1992.This model provides options in estimating returns consisting of a variable risk premium (risk premium), a size that is proxied by small minus big (SMB). and book to market equity as proxied by high minus low (HML).This study examines and analyzes the effect of the three factors of the Fama and French model (risk premium, firm size, and book to market equity) on the return of shares of pharmaceutical companies listed on the Indonesia Stock Exchange (IDX) using quarterly data starting from January 2010. until December 2019. The population in this study involved 10 pharmaceutical companies with 40 months of quarterly time series data with a non-purposive sampling method (saturated sample). Quantitative analysis technique method with Eviews 9 analysis tool.The results showed that there was a positive and significant influence between risk premium and returns stock, while the variable firm size had a negative but insignificant effect on returns stock, and book to market equity had a positive but not significant effect on returns stock. So it can be concluded that the firm size and book to market equity variables have no effect on stock returns, only the risk premium variable is able to influence returns stockby 99.5%, while the remaining 0.5% is explained by other variables not involved in this study. Keywords: Fama and French Three Factor Model, return stock, risk premium, firm size, book to market equity, sub sector pharmaceutical companyModel (CAPM), Reward to Variability (RVAR), returns, risk and automotive.

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