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All Journal Journal of Accounting Science Jambura Economic Education Journal Jurnal Akuntansi Keuangan dan Bisnis NUSANTARA: Jurnal Pengabdian Kepada Masyarakat Jurnal Pengabdian dan Pengembangan Masyarakat Indonesia Melati: Jurnal Media Komunikasi Ilmu Ekonomi Proceeding Maritime Business Management Conference
Arfiana Dewi
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Agriculture, Biological Sciences & Forestry Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Health Professions Languange, Linguistic, Communication & Media Medicine & Pharmacology Nursing Public Health Social Sciences

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Journal : Jambura Economic Education Journal

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ANALYSIS OF SHARE PERFORMANCE USING THREE FACTORS MODEL FAMA AND FRENCH (TFMFF) IN ILQ-45 STOCK PERIOD 2017-2020 Rendra Arief Hidayat; Bayu Rama Laksono; Arfiana Dewi; Rizky Aditya Nugraha
Jambura Economic Education Journal Vol 5, No 2 (2023): JULY 2023
Publisher : Gorontalo State University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.37479/jeej.v5i2.18813

Abstract

Research conducted by Fama and French in 1996 showed that there were factors other than the beta that were significantly able to predict stock returns. However, several subsequent studies showed inconsistent results. The discrepancy between the results of previous studies prompted this research to be carried out. In this study, the researchers selected the stocks used based on the criteria for company profits and return on equity (ROE) offered by Warren Buffett. This study uses Buffett's criteria in selecting stocks that are used to analize TFMFF in estimating the return of stocks grouped into the Fama French portfolio. The method used is quantitative. The secondary data used are quarterly close price data, mining company equity value, Bank Indonesia interest rate (risk-free rate), and number of outstanding shares (number of shares outstanding). The results show that the TFMFF is accurate in predicting stock returns.
Co-Authors Annisa Syafitri Aurellia Berliana Bayu Rama Laksono Darianto Darianto Dwi Kartikasari, Evi Dwi Pratiwi Elliv Hidayatul Lailiyah Fikry, Izzul Gusma Hamdana Putra Mesra Berlyn Haskim Ninin Nike Pebriyati Ponti Almas Karamina Pratama Yuli Arianto Putri Ayu Anggraini Rekha Wahyusyah Rendra Arief Hidayat Ristanti Akseptori Rita Nataliawati Syafiuddin Syafiuddin Tazkia Nilnal Muna Yuliana Tri Ratnasari Yuniati, R.A. Norromadani