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Model Fama Dan French Sebagai Pembentukan Portfolio Saham

Model Fama Dan French Sebagai Pembentukan Portfolio Saham

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Published by Rowland Pasaribu
This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over the period 2003-2006. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to provide evidence that would contribute to the effort of explaining the 3FM in an emerging market. Our findings reveal a significant relationship between market, size and book-to-market equity factors and expected stock returns in the Indonesian market. The empirical results confirm that even the Fama and French (1993) three factor model holds for the Indonesian Stock Exchange and more robust than CAPM in non-financial stock, in portfolio level still result bad performance .
Keywords: CAPM, Fama and French Three Factor Model, Expected Return, Market Capitalization, Book-to-Market Ratio, Coefficient of Determination
This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over the period 2003-2006. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to provide evidence that would contribute to the effort of explaining the 3FM in an emerging market. Our findings reveal a significant relationship between market, size and book-to-market equity factors and expected stock returns in the Indonesian market. The empirical results confirm that even the Fama and French (1993) three factor model holds for the Indonesian Stock Exchange and more robust than CAPM in non-financial stock, in portfolio level still result bad performance .
Keywords: CAPM, Fama and French Three Factor Model, Expected Return, Market Capitalization, Book-to-Market Ratio, Coefficient of Determination

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Published by: Rowland Pasaribu on Oct 26, 2009
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05/21/2013

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 Jurnal Akuntansi dan Bisnis,Vol. 9, No. 1, Februari 2009 (1-12)ISSN: 1412 – 0852
Model Fama dan FrenchSebagai Pembentukan Portfolio SahamDi Indonesia
Oleh
Rowland Bismark Fernando Pasaribu
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ABSTRACT
This study examines empirically the Fama and French three factor model ofstock returns using Indonesian data over the period 2003-2006. Specifically, itexamines the behavior of stock prices, in relation to size (market equity, ME)and book-to-market ratio. The major objective of this study is to provideevidence that would contribute to the effort of explaining the 3FM in anemerging market. Our findings reveal a significant relationship betweenmarket, size and book-to-market equity factors and expected stock returns inthe Indonesian market. The empirical results confirm that even the Fama andFrench (1993) three factor model holds for the Indonesian Stock Exchange andmore robust than CAPM in non-financial stock, in portfolio level still resultbad performance .
Keywords: CAPM, Fama and French Three Factor Model, Expected Return, MarketCapitalization, Book-to-Market Ratio, Coefficient of Determination
1
 
Email: rowland.pasaribu@gmail.com
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 Jurnal Akuntansi dan Bisnis,Vol. 9, No. 1, Februari 2009 (1-12)ISSN: 1412 – 0852
PENDAHULUAN
Masyarakat selalu mencari alat-alat baru atau teknik yang lebih baikuntuk menyelesaikan pekerjaan lebih cepat dan hasil yang lebih baik.Adagium ini berlaku di hampir seluruh aspek, termasuk penelitan keuangan.
Capital Asset Pricing Model
(CAPM) digunakan untuk mengkalkulasi biayamodal dan mengukur kinerja portofolio sejak era 70-an. Di tahun 1990-an,Fama dan French menunjukkan bahwa CAPM tidak akurat dan merekamengusulkan model tiga faktor yang lebih baik sebagai model
asset pricing
.Beberapa tahun setelah usulan tersebut, banyak survey dilakukanuntuk mengetahui secara implisit pada level praksis perihal kedua model
asset pricing
tersebut. Hasil survei yang dilakukan Graham dan Harvey (2001)menyatakan sebesar 73,5% dari 392 CFO perusahaan AS masih tetapmenggunakan CAPM pada saat mengestimasi biaya modal. Brounen et.al(2004) melakukan survei yang sama untuk 313 perusahaan di kawasan Eropadan menyatakan bahwa secara rata-rata 45% para CFO perusahaan masihtetap menggunakan CAPM. Kenapa para praktisi tidak menggunakan modeltiga faktor seperti yang diklaim oleh Fama dan French (2004) lebih baikdibanding CAPM? Terdapat banyak jawaban mengenai hal ini. Para praktisimungkin tidak mengetahui model tiga faktor; atau tidak efektif untukmengumpulkan informasi tambahan yang diperlukan oleh model tiga faktor;model tiga faktor tidak banyak membantu dan tidak selalu lebih baikdibandingkan CAPM.
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