Analisis Perbandingan CAPM Dengan Three Factor Model Fama And French Dalam Mengestimasi Return Saham Pada Indeks LQ45 Periode 2018 – 2020

Mahargyani, Puput Anissa and , Imronudin, S.E., M.Si., Ph.D. (2022) Analisis Perbandingan CAPM Dengan Three Factor Model Fama And French Dalam Mengestimasi Return Saham Pada Indeks LQ45 Periode 2018 – 2020. Skripsi thesis, Universitas Muhammadiyah Surakarta.

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Abstract

This study was conducted to find out a better estimation model in estimating stock returns on the LQ-45 index for the 2018-2020 period. Sample selection was done by purposive sampling method. The number of samples used in this study amounted to 30 stocks included in the LQ-45 index and listed on the Indonesia Stock Exchange. The independent variables used in this study are market return, size and book to market ratio and the dependent variable is return on investment or excess return. The results of this study indicate that the market return variable has a significant effect on the excess return variable, size and book to market ratio have no significant effect on excess return.

Item Type:	Thesis (Skripsi)
Uncontrolled Keywords:	Stock Return, CAPM, Three Factor Model Fama and French, Market Return, Size, Book to Market Ratio, SMB, HML, Excess Return.
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management
Divisions:	Fakultas Ekonomi dan Bisnis > Manajemen
Depositing User:	PUPUT ANISSA MAHARGYANI
Date Deposited:	13 Jul 2022 03:00
Last Modified:	13 Jul 2022 03:00
URI:	http://eprints.ums.ac.id/id/eprint/101316

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