Pengujian faktor risiko umum melalui portofolio excess return

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Diterbitkan: May 30, 2022
DOI: https://doi.org/10.28932/jmm.v21i2.4676
Kata Kunci:
investasi, momentum, premi risiko pasar, profitabilitas, rasio book-to-market equity, ukuran perusahaan book-to-market equity ratio, firm size, investment, market risk premium, momentum, profitability

Isi Artikel Utama

Ivan Chandra Tanzil
University of Surabaya
Liliana Inggrit Wijaya
University of Surabaya
Deddy Marciano
University of Surabaya

Abstrak

Penelitian ini bertujuan untuk menguji pengaruh common risk factor yang ada pada model Fama and French Five Factor ditambah faktor momentum terhadap imbal hasil saham perusahaan komponen indeks Bisnis-27 periode 2016-2020. Common risk factor yang diuji pada penelitian ini yakni premi risiko pasar, rasio book-to-market, ukuran perusahaan, investasi, profitabilitas, dan momentum. Pendekatan kuantitatif akan digunakan pada penelitian ini dengan menggunakan regresi linier berganda. Regresi pada penelitian ini dihasilkan dengan menggunakan metode common effect model. Hasil penelitian mengungkap bahwa common risk factor yang ada pada penelitian ini secara simultan mempengaruhi imbal hasil portofolio. Temuan penelitian menunjukkan bahwa premi risiko pasar, rasio book-to-market, ukuran perusahaan, dan momentum memberikan pengaruh positif terhadap kelebihan imbal hasil portofolio. Semakin besar premi risiko pasar, semakin kecil ukuran perusahaan, semakin besar book-to-market ratio serta kinerja masa lalu saham yang direfleksikan oleh momentum berimplikasi terhadap perolehan kelebihan imbal hasil portofolio yang semakin besar. Sementara itu, tidak ditemukan adanya pengaruh profitabilitas dan investment terhadap kelebihan imbal hasil portofolio secara signifikan.

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Cara Mengutip
Tanzil, I. C., Wijaya, L. I., & Marciano, D. (2022). Pengujian faktor risiko umum melalui portofolio excess return. Jurnal Manajemen Maranatha, 21(2), 121–134. https://doi.org/10.28932/jmm.v21i2.4676
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Vol 21 No 2 (2022): Jurnal Manajemen Maranatha
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