Default Spread dan Term Spread sebagai Variabel Proxy Siklus Bisnis pada Model Fama-French
This research aims to apply the Fama-French models and test the effect of alternative variable of bond yield spread, default spread (RBBB – RAAA and RAAA – RF), and the term spread (RSUN10-RSUN1), as proxy variables of the business cycle, in IDX stock data during 2005-2010. Four types of asset prici...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Bina Nusantara University
2015-08-01
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| Series: | Binus Business Review |
| Subjects: | |
| Online Access: | https://journal.binus.ac.id/index.php/BBR/article/view/977 |
| _version_ | 1797765974213001216 |
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| author | Edwin Hendra Kim Sung Suk |
| author_facet | Edwin Hendra Kim Sung Suk |
| author_sort | Edwin Hendra |
| collection | DOAJ |
| description | This research aims to apply the Fama-French models and test the effect of alternative variable of bond yield spread, default spread (RBBB – RAAA and RAAA – RF), and the term spread (RSUN10-RSUN1), as proxy variables of the business cycle, in IDX stock data during 2005-2010. Four types of asset pricing models tested are Sharpe-Lintner CAPM, Fama-French models, Hwang et al.model, and hybrid model. The results showed that the size effect and value effect has an impact on excess stock returns. Slopes of market beta, SMB, and HML are more sensitive to stock big size and high B / M. Default spreads and term spreads in Hwang et al. model can explain the value effect, and weakly explain the size effect, meanwhile the power of explanation disappeared on Hybrid models. Based on the assessment adjusted R2 and the frequency of rejection of non-zero alpha, is found that the hybrid model is the most suitable model. |
| first_indexed | 2024-03-12T20:18:48Z |
| format | Article |
| id | doaj.art-b34d13194b59417e843ce1370bdf448c |
| institution | Directory Open Access Journal |
| issn | 2087-1228 2476-9053 |
| language | English |
| last_indexed | 2024-03-12T20:18:48Z |
| publishDate | 2015-08-01 |
| publisher | Bina Nusantara University |
| record_format | Article |
| series | Binus Business Review |
| spelling | doaj.art-b34d13194b59417e843ce1370bdf448c2023-08-02T01:08:39ZengBina Nusantara UniversityBinus Business Review2087-12282476-90532015-08-016228329710.21512/bbr.v6i2.977848Default Spread dan Term Spread sebagai Variabel Proxy Siklus Bisnis pada Model Fama-FrenchEdwin Hendra0Kim Sung Suk1Bina Nusantara UniversityUniversitas Pelita HarapanThis research aims to apply the Fama-French models and test the effect of alternative variable of bond yield spread, default spread (RBBB – RAAA and RAAA – RF), and the term spread (RSUN10-RSUN1), as proxy variables of the business cycle, in IDX stock data during 2005-2010. Four types of asset pricing models tested are Sharpe-Lintner CAPM, Fama-French models, Hwang et al.model, and hybrid model. The results showed that the size effect and value effect has an impact on excess stock returns. Slopes of market beta, SMB, and HML are more sensitive to stock big size and high B / M. Default spreads and term spreads in Hwang et al. model can explain the value effect, and weakly explain the size effect, meanwhile the power of explanation disappeared on Hybrid models. Based on the assessment adjusted R2 and the frequency of rejection of non-zero alpha, is found that the hybrid model is the most suitable model.https://journal.binus.ac.id/index.php/BBR/article/view/977CAPM, model Fama-French, term spread, default spread |
| spellingShingle | Edwin Hendra Kim Sung Suk Default Spread dan Term Spread sebagai Variabel Proxy Siklus Bisnis pada Model Fama-French Binus Business Review CAPM, model Fama-French, term spread, default spread |
| title | Default Spread dan Term Spread sebagai Variabel Proxy Siklus Bisnis pada Model Fama-French |
| title_full | Default Spread dan Term Spread sebagai Variabel Proxy Siklus Bisnis pada Model Fama-French |
| title_fullStr | Default Spread dan Term Spread sebagai Variabel Proxy Siklus Bisnis pada Model Fama-French |
| title_full_unstemmed | Default Spread dan Term Spread sebagai Variabel Proxy Siklus Bisnis pada Model Fama-French |
| title_short | Default Spread dan Term Spread sebagai Variabel Proxy Siklus Bisnis pada Model Fama-French |
| title_sort | default spread dan term spread sebagai variabel proxy siklus bisnis pada model fama french |
| topic | CAPM, model Fama-French, term spread, default spread |
| url | https://journal.binus.ac.id/index.php/BBR/article/view/977 |
| work_keys_str_mv | AT edwinhendra defaultspreaddantermspreadsebagaivariabelproxysiklusbisnispadamodelfamafrench AT kimsungsuk defaultspreaddantermspreadsebagaivariabelproxysiklusbisnispadamodelfamafrench |