2. PENGUJIAN FAMA & FRENCH FIVE-FACTORS ASSET PRICING MODEL PADA INDEKS LQ

PENGUJIAN FAMA & FRENCH FIVE-FACTORS ASSET PRICING MODEL PADA INDEKS LQ 45 PERIODE 2014 – 2018

Ivan Gumilar Sambas Putra

Universitas Widyatama

Neneng Susanti

Universitas Widyatama

Okta Eka Putra

Universitas Pasundan

DOI: https://doi.org/10.19184/bisma.v13i3.10981

ABSTRACT

This study aims to determine whether the Fama & French Five-Factors Asset Pricing Model can explain the excess return expected by investors. The population used is the LQ 45 index with large capitalization and liquid. Based on the sample in this study was used by 25 companies. The sampling technique used was purposive sampling and the analysis technique used was multiple regression analysis. The results show that the variables in the Fama & French Five-Factors Asset Pricing Model have a significant effect on the excess return, which is 65.7%. Partial testing results also show that all variables in this study have a significant effect on excess return. This means that the Fama & French Five-Factors Asset Pricing Model in this study period can explain the expected rate of return of shares by investors.

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Published

2019-11-30

Issue

Vol. 13 No. 3 (2019) Bisma: Jurnal Bisnis dan Manajemen

Pages

148-157

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