relation: https://digilib.uin-suka.ac.id/id/eprint/55792/
title: FIVE-FACTOR ASSET PRICING MODEL FAMA AND FRENCH DALAM  MEMAHAMI EXCESS RETURN SAHAM SYARIAH SEBELUM DAN  SESUDAH DIUMUMKAN COVID-19 DI INDONESIA  (Studi Kasus pada Saham Syariah Perusahaan yang Terdaftar di ISSI)
creator: Aziza Musyrifa Sholihati, NIM.: 18108030059
subject: Ekonomi Keuangan
subject: Manajemen Keuangan Syariah
description: This study aims to examine and analyze the effect of the Five Factor Asset  Pricing Model Fama and French (risk premium, size, book-to-market ratio,  profitability, and investment) on the excess return of Islamic stocks in Indonesia, as  well as to test whether there is a difference between excess return before and after  the announcement of Covid-19 in Indonesia. The sample in this study was taken  from 279 companies listed on the Indonesian Sharia Stock Index (ISSI). The type of  data used is time series daily. The research method used is multiple linear  regression analysis. Based on the results of the study, it shows that the risk premium  variable has a significant effect on the excess return of the Islamic stock portfolio  registered at ISSI before and after the announcement of Covid-19 in Indonesia.  Meanwhile, the variables of size, profitability, and investment have no effect on  excess return, both before and after the announcement of Covid-19. Meanwhile, the  book-to-market ratio has no effect on excess return before the announcement of  Covid-19 and has a significant effect on excess return after the announcement of  Covid-19.
date: 2022-11-21
type: Thesis
type: NonPeerReviewed
format: text
language: id
identifier: https://digilib.uin-suka.ac.id/id/eprint/55792/1/18108030059_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
format: text
language: id
identifier: https://digilib.uin-suka.ac.id/id/eprint/55792/2/18108030059_BAB-II_sampai_SEBELUM-BAB-TERAKHIR.pdf
identifier:   Aziza Musyrifa Sholihati, NIM.: 18108030059  (2022) FIVE-FACTOR ASSET PRICING MODEL FAMA AND FRENCH DALAM MEMAHAMI EXCESS RETURN SAHAM SYARIAH SEBELUM DAN SESUDAH DIUMUMKAN COVID-19 DI INDONESIA (Studi Kasus pada Saham Syariah Perusahaan yang Terdaftar di ISSI).  Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.