Pengaruh Fama French Three Factors Model Terhadap Return Saham Di Era Pandemi Covid-19

Novia Istianing Astuti, Gunarianto Gunarianto, Hartini Prasetyaning Pawestri

Abstract

Abstrak

Gagasan risiko tinggi, pengembalian tinggi menunjukkan bagaimana risiko dan pengembalian berkorelasi dengan sifat unik masing-masing investor. Model tiga faktor yang dikemukakan oleh Kenneth R. French dan Eugene F. Fama pada tahun 1992 adalah salah satunya. Dengan menggunakan variabel premi risiko pasar, ukuran perusahaan yang diukur dengan rasio kecil-ke-besar (SMB), dan rasio penilaian, yang diukur dengan rasio tinggi-ke-rendah, model ini menawarkan pilihan untuk memperkirakan pengembalian (HML). Sampel yang digunakan dalam penelitian ini adalah data perusahaan sektor basic materials yang terdaftar di Bursa Efek Indonesia selama periode 2019-2021. Metode penentuan sampel menggunakan metode purposive sampling dan diperoleh 24 perusahaan sektor basic materials yang terdaftar di Bursa Efek Indonesia. Metode pengujian hipotesis menggunakan uji analisis regresi linier berganda. Tujuan utama studi ini adalah menawarkan data pendukung untuk mendukung penjelasan tentang bagaimana model tiga faktor memengaruhi pengembalian pasar selama epidemi COVID-19. Berdasarkan hasil uji asumsi klasik, seluruh variabel yang digunakan dalam penelitian ini bebas dari asumsi-asumsi tersebut. Hasil regresi linier berganda menunjukkan pengaruh positif antara premi risiko pasar dengan return saham, sedangkan pada variabel ukuran perusahaan dan rasio penilaian tidak berpengaruh terhadap return saham di era pandemi covid-19. Secara simultan menunjukkan bahwa memiliki pengaruh positif dan signifikan terhadap return saham pada era pandemi covid-19.

Kata kunci: return saham, premi risiko pasar, ukuran perusahaan, rasio penilaian.

 

Abstract

The notion of high risk, high return demonstrates how risk and return correlate with each investor's unique nature. The three-factor model proposed by Kenneth R. French and Eugene F. Fama in 1992 is one of them. Using market risk premium variables, firm size as measured by a small-to-large ratio (SMB), and valuation ratio, measured by a high-to-low ratio, this model offers an option for estimating returns (HML). The sample used in this study is data on basic materials sector companies listed on the Indonesia Stock Exchange during the 2019-2021 period. The method of determining the sample using purposive sampling method and obtained 24 basic materials sector companies listed on the Indonesia Stock Exchange. The hypothesis testing method uses multiple linear regression analysis test. The main objective of this study is to offer supporting data to support an explanation of how the three-factor model influences market returns during the COVID-19 epidemic. Based on the results of the classical assumption test, all variables used in this study are free from these assumptions. The results of multiple linear regression show a positive influence between market risk premiums and stock returns, while the company size and valuation ratio variables have no effect on stock returns in the era of the covid-19 pandemic. Simultaneously shows that it has a positive and significant influence on stock returns in the era of the covid-19 pandemic.

Keywords: stock return, market risk premium, firm size, valuation ratio.

Article Metrics

Abstract view : 12 times
PDF view : 13 times

Full Text:

PDF

References

Abd-Alla, Mustafa Hussein et al,. 2020. Empirical Test of Fama and French Three-Factor Model in the Egyptian Stock Exchange. Muni Jounals Masaryk University Vol. 11, No.2. Page 10-16. DOI: 10.5817/FAI2020-2-1.

Achola, Nayema Kevin et al,. 2016. Testing The Three Factor Model Of Fama And French: Evidence From An Emerging Market. European Scientific Journal Edition vol.12, No.16. Page 214-221. DOI: 10.19044/esj.2016.v12n16p211.

Arora, Deeksha. 2017. Testing of Fama And French Three Factor Model In Indian Stock Market. International Journal of Management and Social Science Research Review 1. Page 113-123.

Awwaliyah, Intan Nurul et al,. 2017. The Extended Fama-French Three Factor Model: Revisited. Indonesian Capital Market Review 9. Page131-144.

Baskoro, Yogo Laksono. 2015. Analisis Pengaruh Beta, Size, Book To Market, Dan Profitability Terhadap Return Aggresive Stock. Skripsi. Universitas Diponegoro. Page 41-57.

Bodie, Kane, & Marcus. 2014. Investment. Tenth Edition. New York: McGraw-Hill Education. Page 288.

Dewi, N. M. A. K et al,. 2016. Pengaruh Volume Perdagangan Saham, Leverage, dan Tingkat Suku Bunga terhadap Volatilitas Harga Saham. E-Jurnal Akuntansi Universitas Udayana Vol.17, No.2. Page1112–1140.

Fahmi, Irham. 2012. Manajemen Investasi: Teori dan Soal Jawab. Jakarta: Salemba Empat. Page 189.

Fama, E. F. and French, K. R. 1992. The cross‐section of expected stock returns. The Journal of Finance Vol.47, No.2. Page 427-465.

Fawziah, S. A. 2016. Pengaruh Fama French Three Factor Model Terhadap Return Saham. Jurnal Manajemen Bisnis Indonesia. Page 434-442.

Febriansyah, Nur Mahfudh. 2018. Pengujian Fama French Three Factor Model’s Dalam Mempengaruhi Return Saham Studi Kasus Pada Saham LQ-45 Yang Terdaftar Di Bursa Efek Indonesia (BEI) Tahun 2015-2016. E–Jurnal Riset Manajemen Unisma. Page 81-90.

Gujarati, Damodar N. Et al,. 2012. Dasar-Dasar Ekonometrika Buku 1 Edisi 5. Jakarta: Salemba Empat.

Gumanti, Tatang Aryet al,. 2017. Empirical Study Of Fama-French Three-Factor Model And Carhart Four-Factor Model In Indonesia. Social Science Research Network. Page 4-11. http://dx.doi.org/10.2139/ssrn.3314684.

Hartono, J. 2013. Teori Portofolio dan Analisis Investasi. Edisi Kedelapan. Yogyakarta: BPFE UGM. Page 5.

Hartono, J. 2017. Teori Portofolio dan Analisis Investasi. Edisi Kesebelas.Yogyakarta: BPFE UGM. Page 7-11.

Herdiani, Dini. 2020. Pengaruh Uji Fama-French Three Factor Models Terhadap Peningkatan Return Saham. Skripsi Universitas Islam Negeri Sunan Gunung Djati Bandung. Page 38-53.

Hidayat, Y.S. Soefian Nur et al,. 2019. Pengaruh size dan beta terhadap return pada perusahaan kecil dan besar yang terdaftar di Bursa Efek Indonesia periode 2010-2014. Journal Perbanas Business School Surabaya Vol. 9 No.1. Page 100-104. DOI:10.14414/jbb.v9i1.1748.

Husnan, Suad et al,. 2012. Dasar-dasar Manajemen Keuangan. Edisi Keenam. Yogyakarta: UPP STIM YKPN. Page 7.

Jones, Charles P. 2014. Investments: Principles and Concept. Asia: John Wiley & Sons. Page 571.

Karp, Adam et al,. 2017. The Capital Asset Pricing Model And Fama-French Three Factor Model In An Emerging Market Environment. International Business & Economics Research Journal –Third Quarter 2017 Vol.16, No.3. Page 237-239.

Komara, Esi Fitriani et al,. 2019. Analisis Three Factor Fama and French Model terhadap Return pada Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014. Jurnal Inspirasi Bisnis dan Manajemen Vol.3, No.2. Page 110-114.

Nasution, M. Bobby Afif et al,. 2020. Indonesian Property and Real Estate Return Analysis : Comparison of Capital Asset Pricing Model and Fama French Three Factors Model. Jurnal Aplikasi Manajemen dan Bisnis Vol.6, No.1. Page 200-205. DOI: http://dx.doi.org/10.17358/jabm.6.1.197.

Paramita, R. W. D. et al,. 2018. Metode Penelitian Kuantitatif Buku ajar Perkuliahan Metodologi Penelitian Bagi Mahasiswa. Yogyakarta: Azyan Mitra Media. Page 72.

Putri, Dwi Ayu. 2017. Perbandingan Keakuratan Metode Capital Asset Pricing Model Dan Arbitrage Pricing Theory Dalam Memprediksi Return Saham. Skripsi Sarjana Ekonomi Institut Agama Islam Negeri Bengkulu. Page 51-61.

Rakhmawati, Ully. 2015. Analisis Three Factor Fama And French Model Dan Capital Asset Pricing Model. Jurnal Ilmu & Riset Akuntansi Vol.4, No.8. Page 8.

Rizqiyana, Amaliya et al,. 2019. Pengaruh Ambiguity, Market Risk Premium, Market To Book, Size, Dan Momentum Terhadap Return Saham Pada Perusahaan Yang Terdaftar Dalam Indeks LQ45 Periode 2017-2018. Diponegoro Journal Of Management Vol.8, No.4. Page 73-79.

Sattar, Mahnoor. 2017. CAPM Vs Fama-French Three-Factor Model: An Evaluation of Effectiveness in Explaining Excess Return in Dhaka Stock Exchange. International Journal of Business and Management Vol.12, No.5. Page 122-124. DOI:10.5539/ijbm.v12n5p119.

Sela, Maria Agustyawati. 2019. Pengaruh Fama And French Three Factor Model Terhadap Return Reksa Dana Saham Top Five Star Di Indonesia. Masters Thesis Universitas Atma Jaya Yogyakarta. Page 34-50.

Setiawan, et al,. 2019. Market To Book Value, Firm Size Dan Profitabilitas Terhadap Pengambilan Keputusan Lindung Nilai. Jurnal Ilmiah Akuntansi Vol. 4, No. 1. Page 124-140.

Subroto, Wilson et al,. 2020. The Determinants of Stock Return Using by Fama and French Three Factor Model (FF3FM) in IDX. Advances in Economics, Business and Management Research Vol.174. Page 210-213.

Sugiyono. 2017. Metode Penelitian Kuantitatif, Kualitatif dan R&D. Bandung: Alfabeta, CV. Page 38-81.

Sugiyono. 2019. Metode Penelitian Kuantitatif, Kualitatif R&D. Bandung: Alfabeta. Page 17-127.

Suharsimi, Arikunto. 2016. Prosedur Penelitian: Suatu Pendekatan Praktik. Jakarta: Rineka Cipta. Page 90.

Supriyati. 2012. Akuntansi Keuangan Bisnis. Bandung: LABKAT. Page 38.

Sutrisno, Bambang et al,. 2018. Is More Always Better? An Empirical Investigation of the CAPM and the Fama-French Three-factor Model in Indonesia. International Conference on Economics, Business and Economic Education 2018, KnE Social Sciences. Page 460-465. DOI 10.18502/kss.v3i10.3148.

Sutrisno, Bambang et al,. 2018. Is More Always Better? An Empirical Investigation of the CAPM and the Fama-French Three-factor Model in Indonesia. International Conference on Economics, Business and Economic Education 2018, KnE Social Sciences. Page 457-465. DOI 10.18502/kss.v3i10.3148.

Yolita dan Fauzie, Syarief. 2014. Analisis Stock Returns Perusahaan Perbankan Pada Jakarta Composite Index Menggunakan Fama-French Three-Factor Model. Jurnal Universitas Sumatera Utara Vol 2, No 11.

Yuliara, & I Made. 2016. Regresi Linier Sederhana. Fisika Universitas Udayana Bali. Page 7-41.

Refbacks

  • There are currently no refbacks.