Perbandingan Capital Asset Pricing Model (CAPM) dan Three Factor Model Fama and French (TFMFF) Dalam Mengestimasi Excess Return Saham Perbankan

Wijaya, Jovin (2023) Perbandingan Capital Asset Pricing Model (CAPM) dan Three Factor Model Fama and French (TFMFF) Dalam Mengestimasi Excess Return Saham Perbankan. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Penelitian ini bertujuan untuk melihat ketepatan dari dua model yaitu Capital Asset Pricing Model (CAPM) dan Three Market Model Fama and French (TFMFF) dalam mengestimasi nilai excess return saham. Selain melihat ketepatan dari kedua model penelitian ini juga bertujuan untuk menganalisis faktor – faktor yang mempengaruhi kedua model tersebut yaitu Market Risk Premium pada CAPM dan Market Risk Premium, SMB dan HML pada TFMFF. Kedua model ini sering digunakan karena dapat memberikan gambaran yang cukup akurat tentang risiko dan pengembalian investasi, sehingga dapat membantu investor dan manajer portofolio dalam membuat keputusan investasi yang tepat. Kedua model ini sering menjadi perdebatan diantara para peneliti. Beberapa peneliti berpendapat bahwa CAPM lebih baik daripada TFMFF lalu sebaliknya ada yang berpendapat bahwa TFMFF lebih baik daripada TFMFF. Sampel pada penelitian ini diambil dari 10 perusahaan perbankan yang telah terpilih dari Bursa Efek Indonesia. Periode saham perbankan yang diambil secara bulanan mulai dari tahun 2012 hingga 2021. Hal yang mendasari pengambilan saham perbankan sebagai sampel penelitian adalah karena saham perbankan memiliki pengaruh cukup penting dalam perekonomian di Indonesia dan saham perbankan memiliki harga cenderung stabil dan terdapat saham perbankan yang konsisten masuk di indeks LQ-45. Teknik yang digunakan dalam menganalisa data ini adalah analisis regresi data panel yang menggabungkan data cross section dan data time series. Penelitian diharapkan dapat memberikan wawasan secara menyeluruh bagi semua orang yang ingin berinvestasi dalam memilih model asset pricing yang paling sesuai dengan kebutuhan investasi dan juga memberikan gambaran kepada investor tentang perbandingan model mana yang lebih baik dalam mengestimasi return saham. Hasil penelitian menunjukkan adanya pengaruh secara signfikan dari variabel market risk premium dan SMB terhadap excess return saham namun tidak adanya pengaruh pada variabel HML terhadap excess return saham. Berdasarkan koefisien determinasi, model CAPM memiliki nilai adjusted Rsquare sebesar 19.44% sedangkan model TFMFF memiliki nilai adjusted Rsquare sebesar 19.65%. Hal ini menunjukkan bahwa model TFMFF lebih baik dalam menjelaskan excess return saham dibandingkan CAPM.
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This study aims to see the accuracy of the two models, namely the Capital Asset Pricing Model (CAPM) and the Three Market Model Fama and French (TFMFF) in estimating the value of excess stock returns. In addition to looking at the accuracy of the two models, this study also aims to analyze the factors that influence the two models, namely the Market Risk Premium on the CAPM and the Market Risk Premium, SMB and HML on the TFMFF. These two models are often used because they can provide a fairly accurate picture of the risk and return on investment, so they can assist investors and portfolio managers in making the right investment decisions. Both models are often debated among researchers. Some researchers argue that the CAPM is better than the TFMFF and on the other hand there are those who argue that the TFMFF is better than the TFMFF. The samples in this study were taken from 10 banking companies that had been selected from the Indonesia Stock Exchange. The period for banking shares taken monthly starts from 2012 to 2021. The basis for taking banking shares as a research sample is because banking shares have quite an important influence on the economy in Indonesia and banking shares have prices that tend to be stable and there are banking stocks that are consistently included in the market. LQ-45 index. The technique used in analyzing this data is panel data regression analysis which combines cross section data and time series data. The research is expected to provide comprehensive insights for everyone who wants to invest in choosing the asset pricing model that is most suitable for investment needs and also provides an overview to investors about which comparison model is better in estimating stock returns. The results of this study show that there is a significant effect of the market risk premium and SMB variable on excess stock returns, but there is no effect on the HML variables on excess stock returns. Based on the coefficient of determination, the CAPM model has an adjusted Rsquare value of 19.44% while the TFMFF model has an adjusted Rsquare value of 19.65%. This shows that the TFMFF model is better at explaining stock excess returns than CAPM.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	CAPM,Investasi, Regresi, Excess Return,TFMFF
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Jovin Wijaya
Date Deposited:	31 Aug 2023 08:50
Last Modified:	28 Nov 2024 03:28
URI:	http://repository.its.ac.id/id/eprint/103667

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