PENGUJIAN TIGA ASSET PRICING MODEL TERHADAP EXCESS RETURN PORTOFOLIO PADA NEGARA BERKEMBANG DI ASEAN

NURKHOLIK, ADAM (2019) PENGUJIAN TIGA ASSET PRICING MODEL TERHADAP EXCESS RETURN PORTOFOLIO PADA NEGARA BERKEMBANG DI ASEAN. S2 thesis, Fakultas Ekonomi.

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Abstract

The purpose of this study is to confirm the existence of market effects, size effects, value effects and momentum effects in the portfolio excess return and test how well the three asset pricing models predict portfolio excess returns for emerging countries in ASEAN. The unit of analysis in this study is a unit of securities instruments formed into a stock portfolio of several ASEAN emerging countries. The research method uses exposfacto with a correlational approach. The data analysis technique used in this study is multiple regression analysis with three Asset Pricing Models, namely Capital Asset Pricing Model (CAPM), ThreeFactor Model (3FM), Four-Factor Model (4FM). Portfolio construction is formed based on size and value (size-B/M) and based on size and momentum (sizemomentum). The research hypothesis test results show: 1) The market excess return (RM-RF) factor has a positive and significant effect on portfolio excess returns in Thailand, Malaysia and Indonesia, both in the size-B/M portfolio and size-momentum portfolio, so that the market effect occurs in these three countries; 2) The size factor (Small Minus Big/SMB) has a positive and significant effect on portfolio excess returns only in Malaysia, both in the size-B/M portfolio and the size-momentum portfolio. Therefore, the size effect only occurs in Malaysia; 3) The value factor (High Minus Low/HML) has a positive and significant effect on portfolio excess return only in Malaysia and only on the size-B/M portfolio, the value effect only occurs in Malaysia; 4) The momentum factor (Winner Minus Losser/WML) has a positive and significant effect on portfolio excess returns in Thailand and Malaysia, both in size-B/M portfolios and size-momentum portfolios, and concluded that momentum effects occur in Thailand and Malaysia; 5) Four-Factor Model (4FM) is the best and most accurate estimation model in estimating portfolio excess returns compared to Three Factors Model (3FM) and CAPM in Thailand, Malaysia and Indonesia both in the size-B/M portfolio and size-momentum portfolio. Keywords: Asset Pricing Model, Capital Asset Pricing Model (CAPM), Three- Factor Model (3FM), Four-Factor Model (4FM), Market Excess Return (RM-RF), Size (Small Minus Big/SMB), Value (High Minus Low/HML), Momentum (Winner Minus Losser/WML), Excess Return, Portfolio.

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