ANALISIS PENGARUH THREE FACTOR MODEL DAN PERSENTASE KEPEMILIKAN ASING TERHADAP TINGKAT ERTURN DI BURSA EFEK INDONESIA

Richard , Irawan and Murhadi, Werner Ria (2012) ANALISIS PENGARUH THREE FACTOR MODEL DAN PERSENTASE KEPEMILIKAN ASING TERHADAP TINGKAT ERTURN DI BURSA EFEK INDONESIA. Jurnal Manajemen & Bisnis, 11 (2). pp. 213-226. ISSN 1417-3789

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Abstract

Policy of the Indonesian government issued various regulations and policies of market liberalization and provide the widest opportunities both local and foreign investors to trade. Stock market liberalization should improve market efficiency is similar to the stock markets of developed countries. Intensive research conducted by Fama and French succeeded in explaining the performance of stocks in developed countries with three factors model approach. This study tried to model the stock markets of Indonesia and the added factor of foreign ownership is considered by some to dominate price movements. This study used a sample of 269 firms from 2008 to 2011 period. The study uses panel data regression. The results showed the market factor, size and book-to-market has a positive effect on returns while foreign ownership factors do not affect significantly. Keywords: Fama and French, Three Factors Model, Foreign Investor, Stock Returns.

Item Type: Article
Uncontrolled Keywords: Fama and French, Three Factors Model, Foreign Investor , Stock Returns.
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Business and Economic > Department of Management
Depositing User: Werner R. Murhadi 31124
Date Deposited: 26 Sep 2014 06:05
Last Modified: 24 Jun 2015 05:04
URI: http://repository.ubaya.ac.id/id/eprint/20913

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