Analisis Three Factor Fama and French Model terhadap Return pada Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014

Authors

  • Esi Fitriani Komara Universitas Jenderal Achmad Yani (UNJANI), Indonesia
  • Erie Febrian Universitas Padjajaran (UNPAD), Indonesia
  • Mokhamad Anwar Universitas Padjajaran (UNPAD), Indonesia

DOI:

https://doi.org/10.33603/jibm.v3i2.2554

Keywords:

Three Factor Fama and French Model

Abstract

Abstract: 3FF is a better model than CAPM. But this model is still new, so it still needs empirical evidence. Then this model still needs to be proven in Indonesia. ISSI consists of all Indonesian sharia shares listed on the IDX and DES. So the purpose of this study was to analyze the three FF factors on return on ISSI. The sampling technique is purposive sampling so that 142 issuers are obtained. This research method is an associative quantitative study using panel data regression in data processing. The research results partially market returns affect the return, while firm size and BE / ME do not affect the return. However simultaneously the three FF factors can influence the return. This shows that the three FF factors can estimate return on ISSI. So that suggestions for companies that are sampled always improve the company's financial performance in order to increase the value of the company so that stock prices are high.

 

Keywords: Three Factor Fama and French Model

 

Abstrak: 3FF merupakan model yang lebih baik dibandingkan CAPM. Tetapi model ini masih baru, sehingga masih perlu bukt-bukti empiris. Kemudian model ini masih perlu dibuktikan di Indonesia. ISSI terdiri dari seluruh saham syariah Indonesia yang tercatat di BEI dan DES. Sehingga Tujuan penelitian ini adalah untuk menganalisis ketiga factor FF terhadap return pada ISSI. Teknik pengambilan sampelnya  yaitu purposive sampling sehingga diperoleh 142 emiten. Metode penelitian ini adalah penelitian kuantitatif asosiatif dengan mengunakan regresi data panel dalam pengolahan datanya. Hasil penelitian secara parsial return market berpengaruh terhadap return, sedangkan firm size dan BE/ME tidak berpengaruh terhadap return. Walaupun demikian secara simultan ketiga factor FF dapat berpengaruh terhadap return.  Hal tersebut menunjukan bahwa tiga factor FF dapat mengestimasi return di ISSI. Sehingga saran bagi perusahaan yang dijadikan sampel selalu meningkatkan kinerja keuangan perusahaan agar dapat meningkatkan nilai perusahaan sehingga harga saham tinggi.

 

Katakunci: Model Tiga Faktor Fama and French

 

Author Biographies

Esi Fitriani Komara, Universitas Jenderal Achmad Yani (UNJANI)

Dosen Fakultas Ekonomi dan Bisnis Universitas Jenderal Achmad Yani (UNJANI)

Erie Febrian, Universitas Padjajaran (UNPAD)

Dosen Fakultas Ekonomi dan Bisnis Universitas Padjajaran (UNPAD)

Mokhamad Anwar, Universitas Padjajaran (UNPAD)

Dosen Fakultas Ekonomi dan Bisnis Universitas Padjajaran (UNPAD)

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Published

2020-01-20

How to Cite

Komara, E. F., Febrian, E., & Anwar, M. (2020). Analisis Three Factor Fama and French Model terhadap Return pada Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014. Jurnal Inspirasi Bisnis Dan Manajemen, 3(2), 105–116. https://doi.org/10.33603/jibm.v3i2.2554

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Vol. 3 No. 2 (2019): DESEMBER 2019

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