PENGUJIAN VALIDITAS BETA : MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA
The aims of this research is to know about validity of beta in the CAPM model, three factor of Fama and French model, and four factor of Carhart model. Sampel Period starts on January 2005 to December 2007. Sampel consist of 26 firms which always selected in LQ-45 Jakarta stock exchange. This paper...
| Main Authors: | , |
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| Format: | Thesis |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2011
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| Subjects: |
| _version_ | 1797030487036788736 |
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| author | , Dwi Setiyani Utami, SE , Prof. Dr. Eduardus Tandelilin, MBA. |
| author_facet | , Dwi Setiyani Utami, SE , Prof. Dr. Eduardus Tandelilin, MBA. |
| author_sort | , Dwi Setiyani Utami, SE |
| collection | UGM |
| description | The aims of this research is to know about validity of beta in the CAPM model,
three factor of Fama and French model, and four factor of Carhart model. Sampel
Period starts on January 2005 to December 2007. Sampel consist of 26 firms which
always selected in LQ-45 Jakarta stock exchange. This paper use simple regression
and multiple regression. Using three model analysis which are CAPM model, three
factor Fama and French model, and four factor Carhart model, this paper also use
cross sectional regression.
The findings imply that beta is significant in cross sectional regression for three
model research. Based on the findings of this paper, its suggested for investor to catch
risk factor beta to predict individual stock return. |
| first_indexed | 2024-03-13T22:06:34Z |
| format | Thesis |
| id | oai:generic.eprints.org:89217 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T22:06:34Z |
| publishDate | 2011 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:892172014-08-20T02:51:08Z https://repository.ugm.ac.id/89217/ PENGUJIAN VALIDITAS BETA : MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA , Dwi Setiyani Utami, SE , Prof. Dr. Eduardus Tandelilin, MBA. ETD The aims of this research is to know about validity of beta in the CAPM model, three factor of Fama and French model, and four factor of Carhart model. Sampel Period starts on January 2005 to December 2007. Sampel consist of 26 firms which always selected in LQ-45 Jakarta stock exchange. This paper use simple regression and multiple regression. Using three model analysis which are CAPM model, three factor Fama and French model, and four factor Carhart model, this paper also use cross sectional regression. The findings imply that beta is significant in cross sectional regression for three model research. Based on the findings of this paper, its suggested for investor to catch risk factor beta to predict individual stock return. [Yogyakarta] : Universitas Gadjah Mada 2011 Thesis NonPeerReviewed , Dwi Setiyani Utami, SE and , Prof. Dr. Eduardus Tandelilin, MBA. (2011) PENGUJIAN VALIDITAS BETA : MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=51847 |
| spellingShingle | ETD , Dwi Setiyani Utami, SE , Prof. Dr. Eduardus Tandelilin, MBA. PENGUJIAN VALIDITAS BETA : MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA |
| title | PENGUJIAN VALIDITAS BETA :
MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN
MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA |
| title_full | PENGUJIAN VALIDITAS BETA :
MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN
MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA |
| title_fullStr | PENGUJIAN VALIDITAS BETA :
MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN
MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA |
| title_full_unstemmed | PENGUJIAN VALIDITAS BETA :
MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN
MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA |
| title_short | PENGUJIAN VALIDITAS BETA :
MODEL CAPM, MODEL TIGA FAKTOR FAMA DAN FRENCH, DAN
MODEL EMPAT FAKTOR CARHART DI BURSA EFEK INDONESIA |
| title_sort | pengujian validitas beta model capm model tiga faktor fama dan french dan model empat faktor carhart di bursa efek indonesia |
| topic | ETD |
| work_keys_str_mv | AT dwisetiyaniutamise pengujianvaliditasbetamodelcapmmodeltigafaktorfamadanfrenchdanmodelempatfaktorcarhartdibursaefekindonesia AT profdreduardustandelilinmba pengujianvaliditasbetamodelcapmmodeltigafaktorfamadanfrenchdanmodelempatfaktorcarhartdibursaefekindonesia |