Pengaruh Analisis Size Effect, Value Effect, dan Model Multi Faktor Fama & French terhadap Return Saham di Bursa Efek Indonesia Periode Juli 2005 - Juni 2011

• Main Authors: , JULIA SRI ULINA, , Dr. Hardo Basuki, M.Soc.Sc.
• Format: Theses and Dissertations NonPeerReviewed
• Published: [Yogyakarta] : Universitas Gadjah Mada 2013
• Subjects: ETD
• Online Access: https://repository.ugm.ac.id/119134/; http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=59126
• Institution: Universitas Gadjah Mada

Fama and French (1992) found in their study that CAPM beta (market risk) is not the only factor explained the variation of stock return. Beside CAPM beta, firm size (market equity) and book to market equity have a significant power to explain the variation of stock return. Further, Fama and French (1992) found that during the periode of 1963-1990 the role of beta as the explanatory factor of stock return variation has been dissapeared. Besides, small firm�s stock return outperformed large firm�s, which is known as size effect. At the other hand, value stock, with higher book to market equity ratio has also outperformed growth stock which has lower book to market equity ratio. This is known as value effect. This study intends to evaluate the existent of size effect and value effect at Indonesia Stock Exchange during 2005-2011 periods. Along with it, this study also intend to evaluate the relation of market risk, size and value to stock return, as in Fama and French multy factor. Since during the observation periode there�s global economic crisis, hence the difference of size and value effect and the existance of Fama and French multy factor before and after the crisis will be evaluated. The result shows that size effect exists at Indonesia Stock Exchange during July 2005-June 2008 periode, that�s before global economic crisis. But, during July 2009-June 2011 the existance of size effect is inconclusive. Value effect exists before and after the global economic crisis. All together, market, size and value become the explanatory factor to the stock return variation at Indonesia Stock Exchange.