16641-1-31436-1-10-20151124 (1).pdf

16641-1-31436-1-10-20151124 (1).pdf - E-Jurnal Matematika...

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E-Jurnal Matematika Vol. 4 (4), November 2015, pp. 181-187 ISSN: 2303-1751 181 PERBANDINGAN CAPITAL ASSET PRICING MODEL (CAPM) DAN THREE FACTORS MODEL FAMA AND FRENCH (TFMFF) DALAM MENGESTIMASI RETURN SAHAM Kadek Mira Pitriyanti §1 , Komang Dharmawan 2 , G.K. Gandhiadi 3 1 Jurusan Matematika, Fakultas MIPA, Universitas Udayana [Email: [email protected]] 2 Jurusan Matematika, Fakultas MIPA, Universitas Udayana [Email: [email protected]] 3 Jurusan Matematika, Fakultas MIPA, Universitas Udayana [Email: [email protected]] § Corresponding Author 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. Keywords: return, market risk, firm size (SMB), Book Equity to Market Equity (HML) 1. PENDAHULUAN 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. Secara umum ada dua hal penting yang harus diperhatikan dalam berinvestasi saham yakni return dan risiko. Return dan risiko memiliki hubungan yang linier artinya semakin tinggi return maka semakin tinggi pula risiko yang harus ditanggung investor atas investasi yang dilakukan. Investor yang rasional tentu mengharapkan return yang tinggi. Return yang tinggi juga disertai risiko yang tinggi. Return yang diharapkan investor ( expected return ) seringkali berbeda dengan return kenyataan ( actual return ) yang diperoleh. 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.
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