Penilaian returns investasi saham dengan Augmented Three Factor model pada kondisi political uncertainty di Indonesia
Main Article Content
Abstract
This study aims to analyze the market factor portfolio beta, small minus big portfolio beta, high minus low portfolio beta, market volatility beta portfolio effect on investment returns with the Fama and French augmented three factor model in the manufacturing industry under conditions of political uncertainty. This research is a quantitative research with the hypothesis that there is an effect of market factor portfolio beta, small minus big portfolio beta, high minus low beta portfolio, market volatility beta portfolio on investment returns with the Fama and French augmented three factor model in the manufacturing industry under political conditions uncertainty. The variables used in this study include the dependent variable, namely investment returns and the independent variables include market factor portfolio beta, small minus big beta portfolio, high minus low portfolio beta, market volatility portfolio beta. The measurement results with small minus big and market volatility have an effect on stock returns, while high minus low and market factors have no effect on investment returns. This study only focuses on the assessment of investment returns with the augmented three factor model of the Fama and French models, so for future researchers it would be better if they could use another model as a comparison.
Downloads
Article Details
Authors who submit a manuscript understand that if the manuscript is accepted for publication, the copyright of the article shall be assigned to Jurnal Ekonomi Modernisasi (JEM).
References
Ang, A., & Bekaert, G. (2002). International asset allocation with regime shifts. The Review of Financial Studies, 15(4), 1137–1187. https://doi.org/10.1093/rfs/15.4.1137
Blanco, B. (2012). The use of CAPM and Fama and French Three Factor Model: portfolios selection. Public and Municipal Finance, 1(2), 61–70.
BPS. (2020). Pertumbuhan Produksi IBS Tahun 2019 Naik 4,01 persen Dibandingkan Tahun 2018. https://www.bps.go.id/pressrelease/2020/02/03/1739/pertumbuhan-produksi-ibs-tahun-2019-naik-4-01-persen-dibandingkan-tahun-2018.html.
Cakici, N., Fabozzi, F. J., & Tan, S. (2013). Size, value, and momentum in emerging market stock returns. Emerging Markets Review, 16, 46–65. https://doi.org/10.1016/j.ememar.2013.03.001
Chung, K. H., & Chuwonganant, C. (2018). Market volatility and stock returns: The role of liquidity providers. Journal of Financial Markets, 37, 17–34. https://doi.org/10.1016/j.finmar.2017.07.002
Collin-Dufresn, P., Goldstein, R. S., & Martin, J. S. (2001). The determinants of credit spread changes. The Journal of Finance, 56(6), 2177–2207. https://doi.org/10.1111/0022-1082.00402
Fama, E. F., & French, K. R. (1992). The crossâ€Âsection of expected stock returns. The Journal of Finance, 47(2), 427–465. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441–463. https://doi.org/10.1016/j.jfineco.2016.11.004
Foye, J., Mramor, D., & Pahor, M. (2013). A respecified Fama French threeâ€Âfactor model for the new European union member states. Journal of International Financial Management & Accounting, 24(1), 3–25. https://doi.org/10.1111/jifm.12005
Francis, S. T. (1993). Winning the culture war. Revolution from the Middle.
Greene, J. T., & Rakowski, D. (2015). A note on the sources of portfolio returns: Underlying stock returns and the excess growth rate. Critical Finance Review, 4(1), 117–138. https://doi.org/10.1561/104.00000025
Hamid, Z., Hanif, C. A., & ul Malook, S. S. (2012). Fama and French three factor model: Empirical evidence from financial market of Pakistan. African Journal of Business Management, 6(8), 2945–2950. https://doi.org/10.5897/AJBM11.1765
Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 357–384. https://doi.org/10.2307/1912559
Homsud, N., Wasunsakul, J., Phuangnark, S., & Joongpong, J. (2009). A study of Fama and French three factors model and capital asset pricing model in the Stock exchange of Thailand. International Research Journal of Finance and Economics, 25(3), 31–40.
Lintner, J. (1965). Security prices, risk, and maximal gains from diversification. The Journal of Finance, 20(4), 587–615. https://doi.org/10.2307/2977249
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 1, 77–91.
Mossin, J. (1969). Security pricing and investment criteria in competitive markets. The American Economic Review, 59(5), 749–756. https://www.jstor.org/stable/1810673
Roll, R. (1977). A critique of the asset pricing theory’s tests Part I: On past and potential testability of the theory. Journal of Financial Economics, 4(2), 129–176. https://doi.org/10.1016/0304-405X(77)90009-5
Schaefer, S. M., & Strebulaev, I. A. (2008). Structural models of credit risk are useful: Evidence from hedge ratios on corporate bonds. Journal of Financial Economics, 90(1), 1–19. https://doi.org/10.1016/j.jfineco.2007.10.006
Schwert, G. W. (1989). Business cycles, financial crises, and stock volatility. Carnegie-Rochester Conference Series on Public Policy, 31, 83–125. https://doi.org/10.1016/0167-2231(89)90006-7
Tandelilin, E. (2010). Portofolio dan Investasi: Teori dan aplikasi. Yogyakarta: Kanisius.
Word-Bank. (2017). Kontribusi Industri RI ke PDB diatas Rata-rata Dunia. https://www.beritasatu.com/nasional/530603-kontribusi-industri-ri-ke-pdb-di-atas-ratarata-dunia