ANALISIS PENGARUH THREE FACTOR MODEL TERHADAP RETURN SAHAM PORTOFOLIO PADA INDEKS LQ 45 PERIODE 2012-2019
Keywords:
Return on Portfolio Stocks, Three Factor Model, Beta (risk premium), size (company size), Book to Market EquityAbstract
This study aims to determine and analyze the effect of the Fama & French three-factor model on the return on portfolio stocks on the LQ 45 index for the period 2012-2019. The first factor is the risk premium. The second factor is the size of the company as proxied by SMB. The third factor is book to market equity as proxied by HML.
The population in this study amounted to 90 companies. Samples were taken by purposive sampling method amounted to 16 companies. Data collection techniques with the method of documentation. The analysis technique used is multiple linear regression.
Based on the results of the analysis, it can be concluded that beta (risk premium) has a significant positive effect on the rate of return of portfolio stocks. Firm size has a negative but not significant effect on the return on portfolio stocks. Book to market equity has a positive and significant effect on the return on portfolio stocks.
