Analisis Perbandingan Model Carhart 4-Faktor Dan Fama French 5-Faktor Terhadap Excess Return Saham Indeks BUMN Dengan Regresi Data Panel

Setiawan, Niken Ayu Maulidya (2025) Analisis Perbandingan Model Carhart 4-Faktor Dan Fama French 5-Faktor Terhadap Excess Return Saham Indeks BUMN Dengan Regresi Data Panel. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Pada penelitian ini, dilakukan analisis return saham menggunakan asset pricing model untuk memprediksi return yang diharapkan dengan memperhitungkan faktor yang memengaruhi return saham. Digunakan dua model asset pricing, yakni model Carhart 4-Faktor dan Fama French 5-Faktor. Penelitian ini bertujuan untuk menganalisis pengaruh faktor-faktor yang membentuk kedua model tersebut, yaitu Market Risk Premium (MRP), Size (SMB), Value (HML), Momentum (WML), Profitability (RMW), dan Investment (CMA). Kedua model ini banyak digunakan karena mampu memberikan gambaran yang cukup representatif mengenai hubungan antara risiko dan return. Meskipun demikian, terdapat perbedaan pandangan mengenai keunggulan masing-masing model. Sebagian penelitian menyatakan bahwa Carhart 4-Factor lebih unggul, namun ada pula yang menyebutkan bahwa Fama-French 5-Factor memberikan hasil estimasi yang lebih baik. Dalam penelitian ini, data yang digunakan berasal dari indeks saham IDXBUMN20, indeks ini dipandang menarik oleh investor karena tingkat stabilitasnya yang relatif tinggi serta kontribusinya yang signifikan terhadap perekonomian nasional. Data diambil secara mingguan selama periode Januari 2022 hingga Desember 2024. Metode analisis yang digunakan adalah regresi data panel, yang menggabungkan data cross-section dan time series, sehingga mampu memberikan hasil estimasi yang lebih komprehensif. Hasil penelitian menunjukkan bahwa Carhart 4-Factor Model merupakan model yang paling tepat untuk mengestimasi excess return saham pada sektor keuangan, dengan variabel signifikan meliputi MRP, SMB, dan WML, serta nilai adjusted R-squared sebesar 0,4685. Sementara itu, untuk sektor nonkeuangan menunjukkan bahwa Fama French 5-faktor menujukkan nilai adjusted R-squared sebesar 0,16229 dengan faktor MRP berpengaruh signifikan terhadap excess return saham.
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In this study, stock return analysis was conducted using an asset pricing model to predict expected returns by considering factors that influence stock returns. Two asset pricing models were used, namely the Carhart 4-Factor model and the Fama French 5-Factor model. This study aims to analyze the influence of the factors that form the two models, namely Market Risk Premium (MRP), Size (SMB), Value (HML), Momentum (WML), Profitability (RMW), and Investment (CMA). These two models are widely used because they are able to provide a fairly representative picture of the relationship between risk and return. However, there are different views regarding the advantages of each model. Some studies state that the Carhart 4-Factor is superior, but some say that the Fama-French 5-Factor provides better estimation results. In this study, the data used came from the IDXBUMN20 stock index, this index is considered attractive by investors because of its relatively high level of stability and its significant contribution to the national economy. Data is collected weekly during the period from January 2022 to December 2024. The analysis method used is panel data regression, which combines cross-section and time series data, so that it can provide more comprehensive estimation results. The results of the study indicate that the Carhart 4-Factor Model is the most appropriate model for estimating excess stock returns in the financial sector, with significant variables including MRP, SMB, and WML, and a customized R-squared value of 0.4685. Meanwhile, for the non-financial sector, it shows that the Fama French 5-factor shows a customized R-squared value of 0.16229 with the MRP factor having a significant effect on excess stock returns.

Item Type:	Thesis (Other)
Uncontrolled Keywords:	Excess Return, Fama French 5-Faktor, Model Carhart 4-Faktor, Regresi Data Panel, Excess Return, Fama French 5-Factor, Carhart 4-Factor Model, Panel Data Regression
Subjects:	H Social Sciences > HB Economic Theory > Economic forecasting--Mathematical models. Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User:	Niken Ayu Maulidya Setiawan
Date Deposited:	04 Aug 2025 12:25
Last Modified:	04 Aug 2025 12:25
URI:	http://repository.its.ac.id/id/eprint/124826

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