Perbandingan perhitungan return portofolio antara fama and french three factors model dengan capital asset pricing model pada bursa efek indonesia periode 2005-2013

Hendy, Hendy (2017) Perbandingan perhitungan return portofolio antara fama and french three factors model dengan capital asset pricing model pada bursa efek indonesia periode 2005-2013. Bachelor Thesis thesis, Universitas Multimedia Nusantara.

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Abstract

CAPM is old theory that used to be taught in most of business school today. But empirically this model is fail to explain excess return of portfolio and also can not explain size effect in Banz (1981) therefore many international researchers give criticism about CAPM. There are some alternative of asset pricing model such as APT Model or Arbitrage Pricing Theory Model and Fama and French Three Factors Model, so this research is conducted to make comparison between CAPM and Fama French Three Factors Model in Indonesian Stock Exchange. The Author use 197 listing companies that listed consistenly in Indonesian Stock Exchange during the period 2005-2013. The Author also divided them into 6 groups: SL, SM, SH, BL, BM, and BH. In which, porfolios S and B are to evaluate the effects of size and risk scale to the profitability rate (size measured by capitalization of the stock market) and porfolios H, M, and L are measuring the effects of book to market value. In conclusion, this research find that both CAPM and Fama French Three Factors Model are valid in Indonesian Stock Exchange and also prove that Fama French Three Factors Model are superior than CAPM which showed by coefficient determination (R2).

Item Type:	Thesis (Bachelor Thesis)
Subjects:	600 Technology (Applied Sciences) > 650 Management and Public Relations > 657 Accounting 600 Technology (Applied Sciences) > 650 Management and Public Relations > 658 General management (Risk Management, Profit and Loss, Logistics) > 658.1 Organizations > 658.152 Management of Investment, Capitalization
Divisions:	Faculty of Business > Management
Depositing User:	Administrator UMN Library
Date Deposited:	24 Jul 2017 03:10
Last Modified:	17 May 2023 08:08
URI:	https://kc.umn.ac.id/id/eprint/1362

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