%A NIM.: 18108030059 Aziza Musyrifa Sholihati
%O Pembimbing:
Sunarsih, S.E., M.Si.
%T 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)
%X 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.
%K risk premium; firm size; book-to-market; profitability; investment
%D 2022
%I UIN SUNAN KALIJAGA YOGYAKARTA
%L digilib55792