Analisis Three Factor Fama and French Model terhadap Return pada Indeks Saham Syariah Indonesia (ISSI) Periode 2011-2014

3FF is a better model than CAPM. But this model is still new, so it still needs empirical evidence. Then this model still needs to be proven in Indonesia. ISSI consists of all Indonesian sharia shares listed on the IDX and DES. So the purpose of this study was to analyze the three FF factors on return on ISSI. The sampling technique is purposive sampling so that 142 issuers are obtained. This research method is an associative quantitative study using panel data regression in data processing. The research results partially market returns affect the return, while firm size and BE / ME do not affect the return. However simultaneously the three FF factors can influence the return. This shows that the three FF factors can estimate return on ISSI. So that suggestions for companies that are sampled always improve the company's financial performance in order to increase the value of the company so that stock prices are high. Keywords: Three Factor Fama and French Model Abstrak: 3FF merupakan model yang lebih baik dibandingkan CAPM. Tetapi model ini masih baru, sehingga masih perlu bukt-bukti empiris. Kemudian model ini masih perlu dibuktikan di Indonesia. ISSI terdiri dari seluruh saham syariah Indonesia yang tercatat di BEI dan DES. Sehingga Tujuan penelitian ini adalah untuk menganalisis ketiga factor FF terhadap return pada ISSI. Teknik pengambilan sampelnya yaitu purposive sampling sehingga diperoleh 142 emiten. Metode penelitian ini adalah penelitian kuantitatif asosiatif dengan mengunakan regresi data panel dalam pengolahan datanya. Hasil penelitian secara parsial return market berpengaruh terhadap return, sedangkan firm size dan BE/ME tidak berpengaruh terhadap return. Walaupun demikian secara simultan ketiga factor FF dapat berpengaruh terhadap return. Hal tersebut menunjukan bahwa tiga factor FF dapat mengestimasi return di ISSI. Sehingga saran bagi perusahaan yang dijadikan sampel selalu meningkatkan kinerja keuangan perusahaan agar dapat meningkatkan nilai perusahaan sehingga harga saham tinggi. Katakunci: Model Tiga Faktor Fama and French

Three-Factor and Five-Factor Models: Implementation of Fama and French Model on Market Overreaction Conditions

Objective - Previous research by this author has stated that the market overreaction phenomenon occurs in the Indonesian capital market and the CAPM (Capital Asset Pricing Model) is able to explain portfolio returns. However, CAPM is still debated along with the emergence of the other asset pricing models, such as the multifactor model proposed by Fama and French. The aim of this research is to test the ability of that model to explain the returns of portfolios formed under market overreaction conditions. Methodology/Technique - The data used in this study is the same as that of the previous research, which includes winner and loser portfolio data formed in market overreaction conditions, particularly on the Indonesian Stock Exchange, between July 2005 and December 2015. The multifactor models used include a three-factor model consisting of the factors of market, firm size, firm value, and a five-factor model with the added factors of profitability and investment. To obtain more accurate results, GARCH econometric models were also used in addition to standard test models for obtaining unbiased results. Findings - This research concludes that market factors (Rm-Rf), firm size (SMB), and firm value (HML), are able to explain the winner and loser portfolio returns well. However, when the factors of profitability (RMW) and investment (CMA) are added into the three-factor model, the RMW and CMA explained the returns negatively and inconsistently when the GARCH model is implemented. Novelty – These results imply that the three-factor model is more accurate than the five-factor model, contrary to the previous findings of Fama and French. Type of Paper - Empirical. Keywords: Fama and French Model; Five-factor Model; Market Overreaction; Three-factor Model; Portfolio. JEL Classification: G11, G12, G14

Long-run Accounting Conservatism and subsequent equity returns

This paper investigates the impact of long-run accounting conservatism on subsequent equity returns. The accounting conservatism proxy used is based on prior research and considered for different possible specifications. In contrast to prior research, this study compensates for the impact of momentum and the accrual anomaly by using five-year subsequent buy and hold total returns. A three-factor Fama and French model finds that accounting conservatism does not have a significant impact on subsequent equity returns for a sample of US firms. Stratifying the sample into pre-crisis and crisis periods does not affect results. However, this study also reveals that firms within certain industries do benefit from increased accounting conservatism, during both pre-crisis and crisis sample periods.