Model Fama dan French Sebagai Pembentukan Portofolio Saham Di Indonesia

MODEL FAMA DAN FRENCHRowland Bismark Fernando Pasaribu

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 .

 

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Citation

Pasaribu, Rowland Bismark. 2009. Model Fama dan French Sebagai Pembentukan Portofolio Saham Di Indonesia. Jurnal Akuntansi dan Bisnis, Vol. 9, No. 1: 1-12; ISSN: 1412 –0852.

  1. Glen Fabrizio Saputra
    December 3, 2013 at 6:22 am

    Pak Rowland apakah saya bisa meminta data perhitungan model 3 faktor fama and french di ms excel? Agar dapat menjadi panduan saya dalam mengerjakan skripsi ttg model tsb. Mohon bantuannya pak, terimakasih sebelumnya.

    • August 25, 2015 at 6:36 am

      Metodenya sudah sangat jelas saya cantumkan di jurnalnya bung Glen,…”

  2. Dewi
    March 11, 2016 at 8:39 am

    Pak maksud singkat2an seperti B/M itu apa maksud nya ? Saya gak ngerti

    • October 22, 2016 at 2:29 pm

      “…B/M = Book to Market ratio…”

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