Pengaruh Model Tiga Faktor Terhadap Return Saham

Sumber :	Akuntabilitas : Jurnal Ilmiah Akuntansi
Penerbit :	Jurusan Akuntansi Universitas Pancasila
Tahun Terbit Artikel:	2007
Volume :	7
No :	1
Halaman :	79-84
Kata Kunci :	Return on investments; Property business; Real estate business
Abstrak :	This study used the sample of twenty six companies engaged in property and real estate activities which are listed in Indonesia Stock Exchange during the period of 2002-2006. The purposes of this study are to know and analyze the level of beta, firm size and book to market effect to the return share of companies engaged in property and real estate activities which are listed in Indonesia Stock Exchange during the period of 2002-2006. Secondary data was analyzed by using the three factor model of Farma and French (1996). With return share as dependent variable and beta, firm size and book to market as in dependent variables. The result of this study shows a statement that Beta (Xl), 5MB (X2) and HML (X3) simultaneously have a significant effect to return share with contribution of beta variable, 5MB and HML that reach 55,5 percent in explaining the level of return share. Beta and HML variable have a positive and significant effect to return share. On the other hand, 5MB has negative effect and insignificant to return share.
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