Analisis Fama-French Three Factor Model Terhadap Return Portofolio Saham Optimal Terindeks PEFINDO25
DOI:
https://doi.org/10.25077/jmua.13.1.41-55.2024Keywords:
Fama-French Three Factor Model, Portofolio Optimal, Single Index ModelAbstract
Portofolio optimal adalah portofolio yang menguntungkan dari segi return dan risiko bagi para investor. Pada penelitian ini digunakan metode Single Index Model untuk membentuk portofolio optimal. Setelah portofolio optimal terbentuk, dilakukan pengukuran kinerja portofolio dengan Rasio Sharpe, Rasio Treynor, dan Rasio Jensen. Serta menganalisis pengaruh dari Fama-French Three Factor Model yaitu yang terdiri dari Premi Risiko, Size, dan Book to Market Equity terhadap return saham. Objek penelitian ini adalah saham-saham yang konsisten berada pada Indeks PEFINDO25 pada periode Agustus 2019 - Januari 2021. Hasil penelitian menunjukkan terdapat 3 saham yang menjadi saham pembentuk portofolio optimal. Untuk hasil analisis pengaruh FamaFrench Three Factor Model menunjukkan bahwa Premi Risiko memiliki hubungan yang searah dan berpengaruh signifikan terhadap return saham, sedangkan Size dan Book to Market Equity memiliki hubungan yang searah namun tidak berpengaruh signifikan terhadap return saham. Kedua variabel tidak signifikan diduga karena pada periode data penelitian terjadi Covid-19.References
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