Analisis komparasi kinerja capital asset pricing model, three factors pricing model, dan four factors pricing model (studi pada saham perusahaan non keuangan yang terdaftar di bursa efek Indonesia)

Oleh :
Nisita Prabawanti - F0206090 - Fak. Ekonomi dan Bisnis

ABSTRAK Penelitian ini menguji faktor-faktor yang berpengaruh dalam estimasi return saham serta membandingkan tiga model asset pricing, yaitu Capital Asset Pricing Model, Three Factors Pricing Model, dan Four Factors Pricing Model. Tujuan penelitian ini adalah memperoleh model asset pricing yang dapat memberikan estimasi return saham dengan lebih baik di antara tiga jenis model tersebut. Sampel penelitian adalah saham-saham perusahaan non- keuangan yang terdaftar di Bursa Efek Indonesia pada periode tahun 2003 - 2008. Analisis regresi dilakukan atas variabel excess market return, ukuran perusahaan, book to market, dan momentum terhadap return bulanan saham sesuai masing-masing model untuk mengetahui pengaruh variabel dan kelayakan model dengan adjusted R square. Uji beda dengan ANOVA dilakukan untuk memperoleh standar deviasi tiap model dan signifikansi perbedaan antara ketiga model. Hasil penelitian menunjukkan: (1) faktor excess market return, size premium, value premium, dan faktor momentum berpengaruh terhadap return saham, (2) berdasarkan pengaruh variabel independen penyusunnya, baik CAPM, Three Factors Pricing Model, maupun Four Factors Pricing Model dapat menangkap perilaku pembentukan harga saham non-keuangan pada pasar saham Indonesia, (3) Meskipun berdasar nilai adjusted R Square dan besarnya standar deviasi Three Factors Pricing Model lebih baik CAPM dan Four Factors Pricing Model lebih baik dibanding Three Factors Pricing Model, namun ketiganya memiliki kekuatan penjelas yang lemah serta hasil signifikansi uji beda yang tidak signifikan sehingga manfaat dari model-model tersebut dalam mengestimasi return ekspektasi saham di Indonesia masih dipertanyakan. Kata kunci: market excess return, size, book to market, momentum, CAPM, Three Factors Pricing Model, Four Factors Pricing Model ABSTRACT This article tests and compares three alternative models for the prediction of the expected return of non financial stocks in the Indonesia Stocks Exchange: Capital Asset Pricing Model, Three Factors Pricing Model, and Four Factors Pricing Model. The goal of this study is to find the best estimation model by camparing the three models. The sample consist of actively traded nonfinancial stocks that listed in the Indonesia Stock Exchange and the sample period is 2003-2008. Multiple regressions are used to test the hypotheses in order to know the influence of market excess return, size premium, book to market value premium, and the premium of momentum investment strategy on the expected return of each model. The statistics goodness of fit, adjusted R square tells about how well expected return explained by the model. ANOVA is used to know are the CAPM, Three factors, and Four Factors Pricing Model significantly different. The results indicate that: (1) market factor, size premium, book to market value premium, and momentum strategy are significantly related to the expected return (2) the three models; CAPM, Three Factors Pricing Model, and Four Factors Pricing Model Capture the asset prcing (3) however, although the adjusted R square and standard deviation of the Three Factors Model are better than CAPM, and the adjusted R square and standard deviation of the Four Factors Model are better than Three Factors Model, the difference between the three models is not significant. It means that the accuration of the models are still doubted. Keywords: market excess return, size, book to market, momentum, CAPM, Three Factors Pricing Model, Four Factors Pricing Model