PENGARUH TIGA FAKTOR MODEL FAMA DAN FRENCH TERHADAP RETURN SAHAM YANG TERDAFTAR DI JII PADA TAHUN 2009-2016

ACH FATAYILLAH MURSYIDI, NIM. 14830037 (2018) PENGARUH TIGA FAKTOR MODEL FAMA DAN FRENCH TERHADAP RETURN SAHAM YANG TERDAFTAR DI JII PADA TAHUN 2009-2016. Skripsi thesis, UIN SUNAN KALIJAGA YOGYAKARTA.

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Abstract

The purpose of this research is to reexamine the ability of Three Factors Model Fama and French to affect the stock return of companies listed in Jakarta Islamic Index (JII) over the period 2009-2016. Those three examined factors are risk premium, firm size proxied by Small Minus Big (SMB), and book to market equity proxied by High Minus Low (HML). The type of data used in this research is quarter data time series involving 10 companies which are consistently listed in JII as samples. This research is using the double linier regression method and prerequisite test to detect the eligibility of used data. Based on the result of prerequisite test, all data in this research are stationery and have constant variance, distributed normally, and free of multicolinearity, heteroskedasticity, and autocorrelation assumption. The result of double linear regression analysis showed the positive and significant effect of risk premium on the stock return, the negative and significant effect of book to market equity on the stock return, and no significant effect of firm size on the stock return. Meanwhile, the result of F test showed that those three variables had significant effect simultaneously on the stock return. The coefficient of determination indicated that all variables had 84% impact, while the rest were influenced by other variables outside of this research.

Item Type: Thesis (Skripsi)
Additional Information: Agus Faisal S.E.I., M.E.I.
Uncontrolled Keywords: Stock Return, Risk Premium, Firm Size, Book to Market Equity
Subjects: Manajemen Keuangan Syariah
Divisions: Fakultas Ekonomi dan Bisnis Islam > Manajemen Keuangan Syariah (S1)
Depositing User: Miftahul Ulum [IT Staff]
Date Deposited: 02 May 2018 09:40
Last Modified: 02 May 2018 09:40
URI: http://digilib.uin-suka.ac.id/id/eprint/30023

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