TOPOLOGY OF INVESTMENT RESULTS FROM A 100 SHARE PORTFOLIO ON THE INDONESIAN STOCK EXCHANGE PERIOD 2006-2015
Main Article Content
Julia Alfianti
Zulkarnaini
Lakharis Inuzula
Kelvin Andrew
In this research, the Fama and French model is used with five independent variables with data from 100 sample shares to explain the influence of these five independent variables on returns. This observation was carried out using quantitative methods for company financial reports which included a sample of 100 shares during the period January 2006 – December 2015. The total number of research samples was 100 (one hundred) companies that consistently had market capitalization values and share prices during the research period. The results of the research show that Market premium (market premium) is significantly positive explaining portfolio excess returns, size (size premium) is significantly positive explaining portfolio excess returns, value (value premium) is significantly positive explaining portfolio excess returns, profitability (profitability premium) is not significantly explaining portfolio excess return, and investment (investment premium) are significantly negative in explaining portfolio excess return. Suggestions for future researchers are to conduct research using more data to obtain a higher level of accuracy, such as increasing the number of companies and extending the research period to more than 10 years. Then you should choose a research period that does not involve certain conditions or phenomena, because in this research period, namely 2006 to 2015, there was a crisis in 2007-2009, which had an impact on investor behavior in considering investing. It is hoped that this will provide better research results.
Banz, Rolf W. 1981. “The Relationship between Return and Market Value of Common Stocks.” Journal of Financial Economics 9 (1): 3–18.
Basu, Sanjoy, 1977. Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis. Journal of Finance 32, 663–682.
Blume, Marshall E., dan Irwin Friend, 1973. A new look at the capital asset pricing model. Journal of Finance 28, 19–33.
Brooks, Chris, 2008. Introductory econometrics for finance. New York: Cambrige University Press.
Chan, Louis K.C., Yasushi Hamao, dan Josef Lakonishok, 1991. Fundamentals and stock returns in Japan. Journal of Finance 46, 1739–1789.
Fama, Eugene Francis, dan James D. MacBeth, 1973. Risk, return, and equilibrium: empirical tests. Journal of Political Economy 81, 607–636.
Fama, Eugene Francis, and G. William, Schwert. 1977. “Asset Returns and Inflation.” Journal of Financial Economics 5 (2): 115–46.
Fama, E.F. & French, K.R. 1992. The Cross-Section of Expected Stock Returns. Journal of Finance, Vol.47, pp.427-466.
Fama, E.F. & French, K.R. 1993. Common Risk Factors in the Returns of Stock and Bomds. Journal of Finance Economics, Vol.33, pp.3-56.
Fama, E.F. & French, K.R. 1995. Size and Book to Market Factors in Earnings and Returns. Journal of Finance, Vol.50, pp.131-155
Fama, E.F. & French, K.R. 1996. Multifactor Explanation of Asset Pricing Anomalies. Journal of Finance, Vol.51, pp.55-84.
Fama, E.F. & French, K.R. 1998. Value versus Growth: The International Evidence. Journal of Finance, Vol.53, pp.1971-1999.
Fama, Eugene Francis, dan Kenneth Ronald French, 2004. The capital asset pricing model: Theory and evidence. Journal of Economic Perspectives 18, 25–46.
Fama, Eugne Francis, dan Kenneth Ronald French, 2006. Profitability, investment, and average returns. Journal of Financial Economics 82, 491–518.
Fama, Eugne Francis, dan Kenneth Ronald French. 2008. Dissecting anomalies. Journal of Finance 63, 1653–1678.
Fama, Eugne Francis, dan Kenneth Ronald French. 2012. Size, value, and momentum in international stock returns. Journal of Financial Economics 105, 457–472.
Fama, Eugne Francis, dan Kenneth Ronald French. 2014. Dissecting anomalies with a five-factor model. Unpublished working paper. University of Chicago and Dartmouth College.
Fama, Eugne Francis, dan Kenneth Ronald French. 2014. Two Pillars of Asset Pricing. American Economic Review 104 (6), 1467-1485
Fama, Eugene Francis, dan Kenneth Ronald French, 2015. A Five-Factor Asset Pricing Model. Journal of Financial Economics 116, 1-22
Hatta, A.J., and Bambang, S.D. 2012. The Company Fundamental Factors and Systematic Risk in Increasing Stock Price. Journal of Economics, Business, and Accountancy Ventura, 15(2), pp: 245-256
Hardianto, Damar & Suherman. 2009. Pengujian Fama-French Three Factor Model di Indonesia. Jurnal keuangan dan Perbankan, Vol 13, 198-208.
Hermawan, Dedi Aji. 2012. Pengaruh Debt to Equity Ratio, Earning Per Share dan Profit Margin Terhadap Return Saham. Management Analysis Journal, 1(5), h: 1-7
Hwang, Young Soon, Hong Ghi Min, Judith A. McDonald, Hwagyun Kim, dan Bong Han Kim, 2010. Using the credit spread as an option-risk factor: size and value effects in CAPM. Journal of Banking & Finance 34, 2995–3009.
Lintner, J. 1965. The valuation of risk assets and these lection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47, 13–37.
Loughran, T. 1997. Book-to-market across firm size, exchange, and seasonality: Is there an effect? Journal of Financial and Quantitative Analysis 32, 249–268.
Markowitz, Harry, 1952. Portfolio selection. Journal of Finance 7, 77–91.
Mona Al-Mwalla. 2012. “Can Book to Market, Size, and Momentum be Ekstra Risk Factor That Explain The Stock Rate of Return? Evidence from Emerging Market”. Journal of Finance, Accounting and Management Vol.3(2), 42-57
Novy-Marx, Robert. 2013. The other side of value: The gross profitability premium. Journal of Financial Economics 108, 1–28.
Novy-Marx, Robert. 2014. “Understanding Defensive Equity”. University Rochester, NBER.
Pástor, L.,Stambaugh,R., 2003. Liquidity risk and expected stock returns. Journal of Political Economy 111, 642–685.
Perold, Andre F., 2004. The capial asset pricing model. Journal of Economic Perspectives 18, 3–24.
Sharpe, William, F. 1964. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance 19, 425–442.
Silviana and Rocky. 2013. Analysis of Return On Assets and Earnings Per Share on The Stock Market in The Banking Companies in Bursa Efek Indonesia (Indonesia Securities Exchange). Journal of Global Business and Economics, 7(1), pp: 119-125
Sun, Lan. 2012. Information Content of PE Ratio, Price to Book Ratio and Firm Size in Predicting Equity Returns. International Conference on Innovation and Information Management, 36, pp: 262-267.
Titman, S. Wei, K. Xie, F. 2004. Capital investments and stock returns. Journal of Financial and Quantitative Analysis 39, 677–700.
Trisnadewi, Mariana. 2012. Analisis Pengaruh Risiko Pasar, Size, Book to Market, dan Momentum Terhadap Return Saham. Skripsi Sarjana Fakultas Ekonomika dan Bisnis Universitas Diponegoro Semarang.
Vassalou, Maria, dan Yuhang Xing, 2004. Default risk in equity returns. Journal of Finance 59, 831–868.
