PENGUJIAN VALIDITAS BETA : MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA
| Main Authors: | , Dwi Setiyani Utami, SE, , Prof. Dr. Eduardus Tandelilin, MBA. |
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| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2011
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/89217/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=51847 |
Daftar Isi:
- The aims of this research is to know about validity of beta in the CAPM model, three factor of Fama and French model, and four factor of Carhart model. Sampel Period starts on January 2005 to December 2007. Sampel consist of 26 firms which always selected in LQ-45 Jakarta stock exchange. This paper use simple regression and multiple regression. Using three model analysis which are CAPM model, three factor Fama and French model, and four factor Carhart model, this paper also use cross sectional regression. The findings imply that beta is significant in cross sectional regression for three model research. Based on the findings of this paper, its suggested for investor to catch risk factor beta to predict individual stock return.