perbandingan fama dan french three factor model dengan carhart four factor model pada perusahaan nonkeuangan yang terdaftar di bursa efek indonesia periode 2010-2014
| Main Author: | Kojaya, Hengky |
|---|---|
| Format: | Thesis NonPeerReviewed Book |
| Bahasa: | eng |
| Terbitan: |
, 2017
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| Subjects: | |
| Online Access: |
http://kc.umn.ac.id/4757/1/BAB%20I.pdf http://kc.umn.ac.id/4757/2/BAB%20II.pdf http://kc.umn.ac.id/4757/3/DAFTAR%20PUSTAKA.pdf http://kc.umn.ac.id/4757/4/BAB%20III.pdf http://kc.umn.ac.id/4757/5/BAB%20IV.pdf http://kc.umn.ac.id/4757/6/BAB%20V.pdf http://kc.umn.ac.id/4757/7/HALAMAN%20AWAL.pdf http://kc.umn.ac.id/4757/8/LAMPIRAN.pdf http://kc.umn.ac.id/4757/ |
Daftar Isi:
- The main objective of this research is to compare which better model between Fama and French three factor model and Carhart four factor model to explain the variation of portfolio return in Indonesia non-financial company over the period of January 1st 2010 to December 31st 2014. This study didn’t use negative book-to-market ratio and financial company to avoid biased calculation. The total amount of sample used in this research is 276 firms which consistently registered in Indonesia Stock Exchange for the period of 2010 until 2014. The result of this study indicate that Fama and French three factor model can explain portfolio return between 91% to 95,3% (which is the result of adjusted R2 percentage) and Carhart four factor model between 94,5% to 96,5%. Therefore, the conclusion of this research indicate that Carhart four factor model is better than Fama and French three factor model.