Asistensi Teori Keuangan

Pertemuan 2
20 September 2017
Asset Pricing Model - Timeline
1964 CAPM oleh
Sharpe
Variable: Beta

1992
Three Factors
Variables: Beta,
Model oleh
Size, B/M ratio
Fama & French

1997
Four Factors Beta, Size, B/M
Model oleh ratio,
Carhart Momentum

Variables: Beta,

2014
Five Factosr
Size, B/M ratio,
Model oleh
Profitability,
Fama & French
Investment
 Common Risk Factors in The Returns on
Stocks and Bonds
Eugene F. Fama and Kenneth R. French (1993)

• Manfaat terbesar dari CAPM adalah CAPM mengukur risiko dan

hubungan antara risiko dan expected return

• Namun, CAPM dianggap memiliki kelemahan secara empiris, yang

disebabkan oleh:
1. Asumsi CAPM yang terlalu sederhana

• Fakta yang ditemukan: Rata-rata return dari US common stocks hanya

menunjukkan sedikit hubungan dengan market beta pada CAPM
3 Factors Model
Rit-Rft = I + im [E(Rmt) - Rft] + is E(SMBt) + ih E(HMLt)

• Market factor
• Size factor  SMB (Small Minus Big)
• Value factor  HML (High Minus Low)
Size Factor
• Size is related to profitability
• Small firms tend to have lower earnings on assets than big firms
• Small firms can suffer a long earning depression that bypasses big
firms  size is associated with a common risk factor that might
explain the negative relation between size and average return

• SMB: differential return of small stocks minus big stocks

 Constructed to capture the outperformance of small stocks relative
to large stocks
Value Factor
• SML: Return differential of high B/M stocks minus low B/M stocks
Refers to the fact that value stocks outperform growth stocks on average

• Value stocks: stocks with low prices relative to book value (high book to market
ratio).
Secara fundamental oke tapi belum tercermin di harga  higher return

• Growth stocks: stocks with high prices relative to book value (low book to
market ratio)
 Lower return
 On Persistence in Mutual Fund Performance
Mark M. Carhart (1997)

• Characteristic of Mutual Fund Portfolio

Examine whether any of the remaining short term persistance in
mutual fund return is related to heterogeneity in the average
characteristic of mutual funds in each decile portfolio.
Fund Age

Maximum Expense
Load Fees Ratio

TNA Turnover
Four elementary strategies:
• High versus low beta stoks
• Large versus small market capitalization stocks
• Value versus growth stocks
• One-year return momentum versus contrarian stocks
Wealth Maximizing based on Evidence
• Avoid funds with persistently low performance
• Funds with high return will generate higher than average return next
year, but not years thereafter
• Investment cost of expensive ratios, transaction cost, and load fees,
all have negative impact on performance
 A Five-Factor Asset Pricing Model Eugene
Eugene F. Fama and Kenneth R. French (2015)

• Rit = return portfolio i pada periode t

• RFt = risk-free return

• RMt = return value-weight (VW) market portfolio

• SMBt = return portfolio small cap stocks minus big cap stocks

• HMLt = selisih return portfolio saham dengan B/M ratio yang tinggi dan rendah

• eit = zero-mean residual

A Five-Factor Asset Pricing Model Eugene
Eugene F. Fama and Kenneth R. French (2015)

Rit = return portfolio i pada periode t

RFt = risk-free return

RMt = return value-weight (VW) market portfolio

SMBt = return portfolio small cap stocks minus big cap stocks

HMLt = selisih return portfolio saham dengan B/M ratio yang tinggi dan rendah

eit = zero-mean residual

RMWt = selisih return portfolio dengan Robust dan Weak profitability

CMAt = selisih return portfolio perusahaan dengan Investasi Conservative dan Aggressive
Profitability & Investment

 
𝐴𝑛𝑛𝑢𝑎𝑙𝑅𝑒𝑣𝑒𝑛𝑢𝑒−𝐶𝑂𝐺𝑆−𝐼𝑛𝑡𝑒𝑟𝑒𝑠𝑡 𝐸𝑥𝑝𝑒𝑛𝑠𝑒−𝑆𝐺𝐴𝐸𝑥𝑝𝑒𝑛𝑠𝑒
𝑷𝒓𝒐𝒇𝒊𝒕𝒂𝒃𝒊𝒍𝒕𝒚=
𝐵𝑜𝑜𝑘 𝐸𝑞𝑢𝑖𝑡𝑦
  𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡 [ 𝑡 −2 ] −𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡 [𝑡 −1]
𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡[𝑡 −2] 𝐺𝑟𝑜𝑤𝑡h 𝑜𝑓 𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡[𝑡 −1]
𝑰𝒏𝒗𝒆𝒔𝒕𝒎𝒆𝒏𝒕= =
𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡[𝑡 −2] 𝑇𝑜𝑡𝑎𝑙 𝐴𝑠𝑠𝑒𝑡[𝑡 −2]
Empirical Test
• Tujuan: Mengamati apakah five-factor model mampu menjelaskan
variasi dalam average returns yang dihasilkan oleh portfolio-portfolio
• Data: Rata-rata excess return bulanan (dari one-month U.S. Treasury
bill rate) atas 25 value-weight independent stocks portfolios
• Periode: (July 1963 – December 2013)
• Variables:
• Size (Market Capitalization/Size Effect)
• B/M ratio (Value Effect)
• Profitability
• Investment
Interpretasi
• 1) B/M ratio berkorelasi positif dengan return
• (Semakin tinggi B/M ratio, cenderung semakin undervalued, return semakin tinggi,
dan sebaliknya)
• 2) Profitability berkorelasi positif dengan return
• (Semakin tinggi profitabilitas portolio saham, return semakin tinggi, dan
sebaliknya)
• 3) Investment berkorelasi negatif dengan return
• (Semakin tinggi tingkat investasi, maka return semakin rendah, dan sebaliknya)
• 4) Size berkorelasi negatif dengan return
• (Semakin besar market capitalization portfolio, maka return semakin rendah, dan
sebaliknya) Five factor model memprediksi bahwa expected return tertinggi
dapat diekspektasikan berasal dari perusahaan dengan size (market
capitalization) kecil, dengan value tinggi (B/M ratio tinggi),
profitabilitas tinggi, dan tingkat investasi rendah (tidak agresif)