Abstract
In 1996, Fama and French developed the CAPM in Three Factor Model Fama and French (TFMFF) to analyze the relationship between risk with rate of return by adding firm size factor that is proxied by Small Minus Big (SMB) and value factor at Book to Market Ratio that is proxied by High Minus Low (HML) on the CAPM model. The aim of this research is to compare the ability of CAPM and TFMFF in estimating the returns on six types of portfolios which are formed based on firm size and BE/ME. Selected samples are stocks of LQ-45 in period of February 2014, which have passed the selection of firm profits and ROE Warren Buffett criteria. Simple linear regression and Multiple linear regression with t test and F test statistics are used to demonstrate the influence and significance level of each variable. The results showed that TFMFF was more superior than CAPM. Market risk factor consistently affected each portfolio. SMB and HML is not always significantly effect on each portfolio, such as portfolio B/H, only market risk factor has a significant effect. However, the addition of SMB factors and HML factors could increase the coefficient of determination in each formed portfolio.
Highlights
In 1996, Fama and French developed the Capital Asset Pricing Model (CAPM) in Three Factor Model Fama and French (TFMFF) to analyze the relationship between risk with rate of return by adding firm size factor that is proxied by Small Minus Big (SMB) and value factor at Book to Market Ratio that is proxied by High Minus Low (HML) on the CAPM model
Dalam penelitian ini peneliti menyeleksi sahamsaham yang digunakan berdasarkan kriteria laba perusahaan dan return on equity (ROE) yang ditawarkan Warren Buffett
Jurnal Bisnis dan Ekonomi (JBE) Vol 18, No. 126136
Summary
Berinvestasi saham di pasar modal merupakan sebuah alternatif yang baik terutama bagi seseorang yang telah memiliki modal tetapi kebingungan mengelola dana tersebut atau takut merintis suatu usaha dari nol. Seseorang atau yang dikenal dengan sebutan investor ini tinggal memilih perusahaan “go-public” yang sudah memiliki prospek yang bagus kemudian membeli saham perusahaan tersebut dan memperoleh keuntungan dalam bentuk pengembalian (return) dari investasi tersebut. Adanya ketidakpastian hasil pada expected return menunjukkan risiko yang harus ditanggung investor. Untuk itu investor perlu suatu model perhitungan yang dapat membantunya dalam meminimalkan ketidakpastian tersebut. Fama and French [1] dalam penelitiannya tersebut mendapatkan hasil bahwa firm size (SMB) dan BE/ME (HML) berpengaruh signifikan terhadap return dan mendapatkan hasil nilai determinasi ganda TFMFF lebih besar daripada CAPM. Beberapa peneliti setuju dengan temuan Fama and French [1] seperti penelitian yang dapat dilihat pada Nur’ainy, et al [2], Pasaribu [3] dan Rizkiana [5]. Dalam penelitian ini peneliti menyeleksi sahamsaham yang digunakan berdasarkan kriteria laba perusahaan dan return on equity (ROE) yang ditawarkan Warren Buffett.
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