Analisis Perbandingan Model Asset Pricing Carhart 4-Factor, Fama French 3-Factor dan 5-Factor pada Indeks SRI-KEHATI dengan Pendekatan Regresi Kuantil

Kaila, Raisa Sharik (2023) Analisis Perbandingan Model Asset Pricing Carhart 4-Factor, Fama French 3-Factor dan 5-Factor pada Indeks SRI-KEHATI dengan Pendekatan Regresi Kuantil. Other thesis, Institut Teknologi Sepuluh Nopember.

Text 06311940000010-Undergraduate_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 October 2025. Download (2MB) | Request a copy

Abstract

Tantangan global dari perubahan iklim hingga kemiskinan mendorong United Nation melahirkan SDGS (The Sustainable Development Goals) yang merupakan seruan masyarakat dunia untuk mewujudkan 17 tujuan Bersama. BEI (Bursa Efek Indonesia) sebagai bagian dari regulator dibidang pembangunan pasar modal Indonesia, turut berperan aktif dalam upaya menindaklanjuti Perpres 59 Tahun 2017 dengan menerbitkan berbagai instrumen keuangan berkelanjutan seperti Green Bond, indeks SRI-KEHATI, ESGS KEHATI dan sebagainya. Penelitian berkaitan keuangan berkelanjutan pun perlu ditingkatkan untuk mendukung perkembangannya. Pada penelitian ini, Penulis ingin menganalisis performa indeks SRI-KEHATI dengan menggunakan metode terbaru. Salah satu intrumen analisis performa saham yang terus berkembang adalah model asset pricing. Terdapat Tiga model asset pricing yang umum digunakan dan terbukti menunjukkan hasil yang baik dalam menganalisis performa saham. Tiga model tersebut adalah Fama French 3-factor, dan 5-factor model dan Carhart 4-factor model. Dengan terdapatnya beragam model untuk menganalisis performa saham, penulis bertujuan untuk membandingkan model asset pricing dan menentukan model asset pricing terbaik untuk menganalisis performa saham indeks SRI-KEHATI. Penelitian ini akan menggunakan pendekatan regresi kuantil sebagai metode estimasi parameter dan metode untuk membandingkan model 3-factor, 4-factor dan 5-factor. Alasan digunakannya regresi kuantil daripadah regresi linear adalah karena regresi kuantil terbukti efektif untuk mengestimasi parameter jika dihadapkan pada keadaan yang tidak ideal. Hasil Penelitian menunjukkan bahwa, berdasarkan nilai adj. R-squared, model terbaik yang dihasilkan regresi linear berganda terdapat pada model 3-factor. Berdasarkan nilai Bayesian Information Criterion (BIC), kuantil 0,5 konsisten menghasilkan model dengan nilai BIC terendah untuk ketiga model asset pricing. Model dengan nilai BIC terendah secara keseluruhan ada pada model 3-factor pada kuantil 0,5 dengan nilai -278.
================================================================================================================================
Global challenges, from climate change to poverty, have encouraged the United Nation to create SDGS (The Sustainable Development Goals), which are calls for the world community to actualize 17 goals. IDX (Indonesian Stock Exchange) as part of the regulator in the Indonesian capital market development, plays an active role in efforts to follow up on Presidential Decree 59 year 2017 by issuing various sustainable financial instruments such as Green Bonds, SRI-KEHATI index, ESGS KEHATI and so on. Research related to sustainable finance needs to be increased to support its development. In this study, the author wants to analyze the performance of the SRI-KEHATI index using the latest methods. One of the stock performance analysis instruments that continues to grow is the asset pricing model. There are three asset pricing models that are commonly used and have proven to show good results in analyzing stock performance. The three models are the Fama French 3-factor, the 5-factor model and Carhart 4-factor model. With the existence of various models for analyzing stock performance, the author aims to compare asset pricing models and determine the best asset pricing model to analyze the performance of the SRI-KEHATI index stock. This study will use the Quantile Regression approach as a parameter estimation method and a method for comparing 3-factor, 4-factor and 5-factor models. The reason for using quantile regression rather than linear regression is because quantile regression has proven to be effective for estimating parameters when faced with conditions that are not ideal. The research results show that, based on the value of adj. R-squared, the best model produced by multiple linear regression method is the 3-factor model. Based on the Bayesian Information Criterion (BIC) value, the quantile of 0,5 produces the model with the lowest BIC value for all three asset pricing models. The model with the lowest BIC value overall is the 3-factor model at 0,5 quantile, with the value of -278.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Model 3-factor, Model 4-factor, SRI-KEHATI, Regresi Kuantil, 3-factor Model, 4-factor Model, 5-factor Model, Quantil Regression
Subjects:	Q Science > Q Science (General) > Q180.55.M38 Mathematical models Q Science > QA Mathematics > QA275 Theory of errors. Least squares. Including statistical inference. Error analysis (Mathematics) Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression Q Science > QA Mathematics > QA278.3 Structural equation modeling.
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Raisa Sharik Kaila
Date Deposited:	28 Jul 2023 04:19
Last Modified:	28 Jul 2023 04:19
URI:	http://repository.its.ac.id/id/eprint/100495

Actions (login required)

View Item