Model Fama Dan French Sebagai Pembentukan Portfolio Saham Di Indonesia (Fama and French Model in Indonesia)

Jurnal Akuntansi dan Bisnis, Vol. 9, No. 1, pp. 1-12, February 2009

31 Pages Posted: 18 May 2011 Last revised: 24 Nov 2017

See all articles by Rowland Bismark Pasaribu

Rowland Bismark Pasaribu

Gunadarma University; ABFI Institute Perbanas

Date Written: February 14, 2009

Abstract

Indonesian Abstract: Penelitian ini menguji secara empiris model tiga faktornya Fama dan French dengan data Indonesia selama periode 2003-2006. Secara khusus, studi meneliti perilaku harga saham, terkait dengan ukuran (ekuitas pasar, ME) dan rasio book-to-market. Tujuan utama penelitian ini adalah untuk memberikan bukti yang akan berkontribusi pada upaya menjelaskan 3FM di pasar yang sedang berkembang. Temuan studi ini mengungkapkan hubungan yang signifikan antara faktor pasar, ukuran dan faktor pasar buku ke pasar dan imbal hasil saham yang diharapkan di pasar Indonesia. Hasil empiris mengkonfirmasi bahwa model tiga faktor Fama dan French (1993) berlaku untuk Bursa Efek Indonesia dan lebih kuat daripada CAPM dalam saham non-keuangan, namun pada tingkat portofolio masih menghasilkan kinerja yang buruk.

English Abstract: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.

Note: Downloadable document is in Indonesian

Keywords: Asset Pricing, Stocks Portfolio, CAPM, Fama and French Three Factor Model, Expected Return, Market Capitalization, Book-to-Market Ratio

JEL Classification: G11, G12, G31

Suggested Citation

Pasaribu, Rowland Bismark, Model Fama Dan French Sebagai Pembentukan Portfolio Saham Di Indonesia (Fama and French Model in Indonesia) (February 14, 2009). Jurnal Akuntansi dan Bisnis, Vol. 9, No. 1, pp. 1-12, February 2009. Available at SSRN: https://ssrn.com/abstract=1837374

Rowland Bismark Pasaribu (Contact Author)

Gunadarma University ( email )

Margonda Raya 100
Pondokcina, Depok
Jakarta, West Java 62-16424
Indonesia

ABFI Institute Perbanas ( email )

Perbanas Street
Karet Kuningan, Setiabudi
Jakarta Selatan, DKI Jakarta 12940
Indonesia

Register to save articles to
your library

Register

Paper statistics

Downloads
567
rank
46,417
Abstract Views
1,871
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information