ANALISIS FAMA AND FRENCH THREE FACTORS MODEL TERHADAP RETURN REKSA DANA SAHAM SYARIAH INDONESIA

HIKMATUL FISA YASINTA, NIM. 14830031 (2018) ANALISIS FAMA AND FRENCH THREE FACTORS MODEL TERHADAP RETURN REKSA DANA SAHAM SYARIAH INDONESIA. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

Some of the previous research showed that there was a significant effect between the Fama and French three factors model with the return. Some even found that there was no significant between the factors and the return. The objective of this research is to analyze the influence of Fama and French Three factors Model to the return of sharia mutual fund in Indonesia. The method of analysis used Autoregressive Distributed Lag (ARDL) to look the relation between the factors with the sharia mutual fund return in Indonesia in the long term and short term. The result showed that risk premium was significantly positive affect to the sharia mutual fund return in long term and short term. Size and book to market equity was not significant to the sharia mutual fund return in the long term and short term.

Item Type: Thesis (Skripsi)
Additional Information / Pembimbing: M. Arsyadi Ridha, S.E., M.Sc., AK., CA
Uncontrolled Keywords: ARDL, Book to Market Equity, Return, Risk Premium, Size
Subjects: Manajemen Keuangan Syariah
Divisions: Fakultas Ekonomi dan Bisnis Islam > Manajemen Keuangan Syariah (S1)
Depositing User / Editor: Miftahul Ulum [IT Staff] ---- youtube : ulum virgo -------- Facebook : digilibuin
Date Deposited: 26 Apr 2018 09:49
Last Modified: 26 Apr 2018 09:49
URI: http://digilib.uin-suka.ac.id/id/eprint/29941

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