Analisis Model Lima Faktor Fama dan French pada Saham-Saham Indeks LQ45 di Bursa Efek Indonesia Periode 2016-2019
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Abstract
Abstract
The purpose of this research is to know the effect of Fama-French five factor model on LQ45 Index at Indonesia Stock Exchange during the period 2016-2019 in explaining portfolio returns in Indonesia either partially or simultaneously. The population in this study is all stocks that are included in the LQ45 Index and listed on the Indonesia Stock Exchange (BEI) during the period 2016-2019, which amounted to 60 companies. The sampling technique used was purposive sampling method which resulted in 22 companies selected as the research sample. The research method is associative quantitative research using panel data regression.
The research results partially are market factors, size (SMB), and value (HML) have a positive effect on excess returns. The profitability factor (RMW) has a negative effect on excess returns, and the investment factor (CMA) has not affect on excess portfolio returns. Simultaneously, the Fama-French five factor model can influence the excess returns.
Abstrak
Tujuan dari penelitian ini adalah untuk mengetahui pengaruh model lima faktor Fama dan French pada saham-saham Indeks LQ45 di Bursa Efek Indonesia periode 2016-2019 dalam menjelaskan return portofolio di Indonesia baik secara parsial maupun secara simultan. Populasi dalam penelitian ini adalah seluruh saham yang masuk ke dalam Indeks LQ45 dan tercatat di Bursa Efek Indonesia (BEI) periode 2016-2019 yang berjumlah sebanyak 60 perusahaan. Teknik sampling yang digunakan adalah metode purposive sampling yang menghasilkan 22 perusahaan yang terpilih menjadi sampel penelitian. Metode penelitian ini adalah penelitian kuantitatif asosiatif dengan menggunakan regresi data panel dalam pengolahan datanya. Hasil penelitian secara parsial yaitu faktor pasar, size (SMB), dan value (HML) berpengaruh positif terhadap excess return portofolio. Faktor profitabilitas (RMW) berpengaruh negatif terhadap excess return portofolio, dan faktor investasi (CMA) tidak berpengaruh terhadap excess return portofolio. Secara simultan kelima faktor Fama dan French berpengaruh terhadap excess return portofolio.
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