Analisis Stock Return Bank dengan Menggunakan Lima Assets Pricing Model Fama-French
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Institusion
Universitas Sumatera Utara
Author
Siagian, Ranika Elizabeth
Subject
Fama and French Five Factors
Datestamp
2018-12-27 03:04:59
Abstract :
The purpose of this research is to know the effect of market risk, size, book to market ratio, profitability, and investment to excess return of banking company's portfolio listed in Indonesia Stock Exchange (IDX) during 2012 until 2017. This study uses secondary data in the form of stock price data of each bank, stock price index of Indonesia Stock Exchange, number of shares outstanding, Bank Indonesia interest rate and bank financial statement obtained from publication of official website such as Yahoo Finance, Financial Services Orientation, and Bank Indonesia . The sample selection was done by purposive sampling method and the sample obtained in this study amounted to 28 banks from 43 go public banks. This research uses multiple linear regression analysis technique to know the influence of Fama and French five factor model to excess return of company portfolio. The results of this study indicate that market risk has a positive effect significantly on the excess return of banking companies. Size has a significant positive effect on the excess return only on the S / H / W / C portfolio, while the size significantly negatively affects the excess return on the B / H / R / C portfolio, and B / L / R / A. The book to market ratio significantly positively influences the S / H / W / C, and B / H / R / A portfolio, while the book to market ratio significantly negatively influences the excess return of S / L / W / C portfolio, B / L / R / A. Profitability has a significant positive effect on B / H / R / C, B / L / R / A excess return portfolio, while profitability has significant negative effect only on S / H / W / C portfolio. Investments have a significant positive effect on excess return of S / L / W / A, S / L / W / C, and B / H / R / C portfolios, while the investment has a significant negative effect only on the B / H / RA portfolio.
The purpose of this research is to know the effect of market risk, size, book to market ratio, profitability, and investment to excess return of banking company's portfolio listed in Indonesia Stock Exchange (IDX) during 2012 until 2017. This study uses secondary data in the form of stock price data of each bank, stock price index of Indonesia Stock Exchange, number of shares outstanding, Bank Indonesia interest rate and bank financial statement obtained from publication of official website such as Yahoo Finance, Financial Services Orientation, and Bank Indonesia . The sample selection was done by purposive sampling method and the sample obtained in this study amounted to 28 banks from 43 go public banks. This research uses multiple linear regression analysis technique to know the influence of Fama and French five factor model to excess return of company portfolio. The results of this study indicate that market risk has a positive effect significantly on the excess return of banking companies. Size has a significant positive effect on the excess return only on the S / H / W / C portfolio, while the size significantly negatively affects the excess return on the B / H / R / C portfolio, and B / L / R / A. The book to market ratio significantly positively influences the S / H / W / C, and B / H / R / A portfolio, while the book to market ratio significantly negatively influences the excess return of S / L / W / C portfolio, B / L / R / A. Profitability has a significant positive effect on B / H / R / C, B / L / R / A excess return portfolio, while profitability has significant negative effect only on S / H / W / C portfolio. Investments have a significant positive effect on excess return of S / L / W / A, S / L / W / C, and B / H / R / C portfolios, while the investment has a significant negative effect only on the B / H / RA portfolio.
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