Analisis Model Lima Faktor Fama dan French pada Saham-Saham Indeks LQ45 di Bursa Efek Indonesia Periode 2016-2019

Abstract

The purpose of this research is to know the effect of Fama-French five factor model on LQ45 Index at Indonesia Stock Exchange during the period 2016-2019 in explaining portfolio returns in Indonesia either partially or simultaneously. The population in this study is all stocks that are included in the LQ45 Index and listed on the Indonesia Stock Exchange (BEI) during the period 2016-2019, which amounted to 60 companies. The sampling technique used was purposive sampling method which resulted in 22 companies selected as the research sample. The research method is associative quantitative research using panel data regression. The research results partially are market factors, size (SMB), and value (HML) have a positive effect on excess returns. The profitability factor (RMW) has a negative effect on excess returns, and the investment factor (CMA) has not affect on excess portfolio returns. Simultaneously, the Fama-French five factor model can influence the excess returns.