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All Journal Equilibrium Logika : Jurnal Penelitian Universitas Kuningan Al-Amwal : Jurnal Ekonomi dan Perbankan Syari\'ah Jurnal Akuntansi dan Pajak Widya Cipta : Jurnal Sekretari dan Manajemen Perspektif : Jurnal Ekonomi dan Manajemen Universitas Bina Sarana Informatika IJBE (Integrated Journal of Business and Economics) Indonesian Journal of Strategic Management Jurnal Riset Keuangan dan Akuntansi (JRKA) ABDIMAS SILIWANGI JURISMA: Jurnal Riset Bisnis & Manajemen JIKA: Jurnal Ilmu Keuangan dan Perbankan Indonesian Journal Of Business And Economics JESI (Jurnal Ekonomi Syariah Indonesia) AKURASI: Jurnal Riset Akuntansi dan Keuangan EconBank : Journal Economics and Banking International Journal of Economics, Business and Accounting Research (IJEBAR) Jurnal Manajemen dan Bisnis Baja (JUMANIS BAJA) Reswara: Jurnal Pengabdian Kepada Masyarakat BERNAS: Jurnal Pengabdian Kepada Masyarakat Bisnis Net : Jurnal Ekonomi dan Bisnis Jurnal Riset Ilmu Ekonomi Jurnal Abdimas Bina Bangsa Asian Management and Business Review Journal Of Human And Education (JAHE) Jurnal Manajemen dan Kewirausahaan International Journal Administration, Business & Organization Worksheet : Jurnal Akuntansi Eastasouth Journal of Positive Community Services Jurnal Bisnis dan Manajemen West Science E-Prosiding Seminar Nasional Manajemen dan Akuntansi STIE Semarang (SENMAS) Bhinneka Tunggal Ika: Jurnal Pengabdian Kepada Masyarakat Jurnal Kajian Ekonomi dan Perbankan Syariah Akurasi Widya Cipta : Jurnal Sekretari dan Manajemen
Yasir Maulana
Universitas Kuningan
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Fama-French Five Factor Model: Systematic Literature Review Maulana, Yasir; Komarudin, Munir Nur; Tsuraya, Irma
JURISMA : Jurnal Riset Bisnis & Manajemen Vol. 15 No. 1: April 2025
Publisher : Program Studi Manajemen, Fakultas Ekonomi dan Bisnis, Universitas Komputer Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.34010/jurisma.v15i1.14909

Abstract

This inquiry is to find out, analyze, and integrate existing findings regarding the application and effectiveness of the Fama-French Five Factor Model in various market contexts through a systematic literature review approach. This research methodology uses a qualitative approach through a systematic literature review and bibliometric analysis through VosViewer software, obtained from 27 articles. Based on the literature review results, the Fama-French Five Factor Model has been shown to be superior in explaining asset price anomalies in several markets, such as Australia and South Africa, compared to previous models. However, its effectiveness varies depending on market characteristics, with less consistent results in emerging markets such as Asia, where profitability and investment factors are not always significant. In the context of the Indonesian market, research shows that FF5FM does not always outperform the three-factor model, suggesting that the addition of new factors may not always be relevant in all markets. Keywords: Fama-French Five Factor; Portfolio; Investment; Asset pricing; SLR  
PREDIKTOR KINERJA IHSG DENGAN PENDEKATAN ERROR CORRECTION MODEL Lesmana, Arief Surya; Wiharno, Herma; Maulana, Yasir; Supriatna, Odang; Rahmantya, Yanneri Elfa Kiswara
Equilibrium: Jurnal Penelitian Pendidikan dan Ekonomi Vol. 21 No. 01 (2024): Equilibrium: Jurnal Penelitian Pendidikan dan Ekonomi
Publisher : Universitas Kuningan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25134/equi.v21i01.7778

Abstract

AbstrakPasar modal merupakan salah satu sarana investasi yang dapat memberikan keuntungan dengan risiko tertentu. Untuk memperoleh keuntungan yang optimal, diperlukan informasi mengenai faktor-faktor yang dapat mempengaruhi kinerja pasar modal. Objek dalam penelitian ini adalah Indeks Harga Saham Gabungan (IHSG). Tujuan penelitian ini adalah untuk menguji secara empiris pengaruh inflasi, tingkat suku bunga, nilai tukar, jumlah uang beredar, harga minyak dunia, dan Indeks Dow Jones terhadap kinerja IHSG dalam jangka panjang dan jangka pendek. Penelitian ini menggunakan teknik Error Correction Model (ECM) untuk menganalisis data pada periode Januari 2017 sampai Desember 2021. Hasil analisis menunjukkan bahwa dalam jangka panjang kinerja Indeks Harga Saham Gabungan (IHSG) dipengaruhi secara signifikan oleh inflasi, tingkat suku bunga, nilai tukar USD/IDR, harga minyak dunia, dan Indeks Dow Jones. Sedangkan dalam jangka pendek kinerja IHSG hanya dipengaruhi secara signifikan oleh nilai tukar USD/IDR, harga minyak dunia, dan Indeks Dow Jones. Berdasarkan temuan dalam penelitian ini, penting bagi pemerintah untuk focus dalam menjaga stabilitas perekonomian nasional dan sigap dalam mengantisipasi pengaruh factor eksternal agar kinjera HISG tetap terjaga. Kata Kunci: IHSG; Makroekonomi; ECM AbstractA capital market is an investment place that can provide returns with certain risks. In order to obtain optimal returns, information on the factors that can affect the performance of the capital market is needed. The object of this research is Jakarta Composite Index (JCI) This study empirically examined the effect of inflation, interest rates, exchange rates, money supply, world oil prices, and the Dow Jones Index on JCI performance in the long and short term. This study uses the Error Correction Model (ECM) technique to analyze data for the period from January 2017 to December 2021. The results of the analysis show that in the long term, the JCI performance is significantly affected by inflation, interest rates, USD/IDR exchange rates, world oil prices, and the Dow Jones Index. Meanwhile, in the short term, the JCI’s performance was only significantly affected by the USD/IDR exchange rates, world oil prices, and the Dow Jones Index. Based on the findings in this study, it is important for the government to focus on maintaining the stability of the national economy and be alert in anticipating the influence of external factors so that the HISG is maintained. Keywords: IHSG; Macroeconomics; ECM
The Impact of Fintech, Sustainability Banking, and Natural Resources on Environmental Sustainability Maulana, Yasir; Nugraha, Nugraha; Disman, Disman; Sari, Maya; Jahidah, Nurul Siti
Jurnal Riset Ilmu Ekonomi Vol. 5 No. 1 (2025): Jurnal Riset Ilmu Ekonomi (JRIE) Edisi April 2025
Publisher : Universitas Pasundan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.23969/jrie.v5i1.261

Abstract

This study aims to analyze the role of FinTech, sustainable banking, and natural resource revenues collectively influencing environmental outcomes in the ASEAN Plus Three region is still scarce. This study uses panel data regression analysis covering nine ASEAN Plus Three countries over the period 2017 to 2021. The findings provide evidence of the significant influence of FinTech, Sustainable Banking, and natural resource revenues derived from sustainable environmental development activities in Plus Three economies. FinTech has a very negative effect on environmental outcomes. In contrast, sustainable banking does not show a statistically significant effect. Natural resource revenues are positively related to environmental degradation. These results highlight the importance of implementing low-carbon technologies to meet carbon neutrality targets in ASEAN Plus Three countries. The findings offer empirical insights for policymakers to prioritize green technologies, reassess fintech's environmental footprint, and strengthen the sustainable banking framework.
Analisis Portofolio Saham dengan Model Black Litterman-CAPM Lesmana, Arief Surya; Maulana, Yasir
Worksheet : Jurnal Akuntansi Vol 4, No 2 (2025)
Publisher : UNIVERSITAS DHARMAWANGSA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46576/wjs.v4i2.6275

Abstract

Dalam menghadapi fenomena perubahan kondisi pasar, investor perlu membentuk portofolio yang berbeda agar menghasilkan return dan risiko yang optimal. Tujuan dari penelitian ini adalah untuk membentuk portofolio optimal pada kondisi pasar modal Indonesia yang berbeda. Proksi untuk indeks pasar adalah IHSG dan proksi untuk aset bebas risiko adalah Tingkat suku bunga Sertifikat Bank Indonesia. Sampel dalam penelitian ini adalah 20 perusahaan yang dipilih secara purposive berdasarkan  kapitalisasi pasarnya. Pembentukan portofolio optimal dilakukan melalui model Black Litterman-CAPM. Portofolio optimal terdiri dari 5 saham, yaitu PT Telkom Indonesia (Persero) Tbk sebesar 43,47%, PT Elang Mahkota Teknologi Tbk sebesar 21,22%, PT Bank Central Asia Tbk sebesar 14,29%, PT Mayora Indah Tbk sebesar 12,59%, dan PT Chandra Asri Pacific Tbk sebesar 8,43% dengan return portofolio sebesar 8,05% dan risiko 2,65%. Sedangkan untuk menghadapi kondisi bearish, portofolio optimal terdiri dari 6 saham, yaitu PT Telkom Indonesia (Persero) Tbk sebesar 43,13%, PT Elang Mahkota Teknologi Tbk sebesar 21,25%, PT. United Tractors Tbk sebesar 16,68%, PT Bank Central Asia Tbk sebesar 13,59%, PT Mayora Indah Tbk sebesar 4,17%, dan PT Charoen Pokphand Indonesia Tbk sebesar 1,18% dengan return portofolio sebesar 8,01% dan risiko 5,20%
The Effect of Stock Trading Volume, Leverage, and Dividend Policy on Stock Price Volatility Maulana, Yasir; Rismawati, Dede; Disman; Dodi
International Journal Administration, Business & Organization Vol 6 No 2 (2025): IJABO
Publisher : Asosiasi Ahli Administrasi Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.61242/ijabo.25.556

Abstract

This paper intends to explore how trading volume, financial leverage, and dividend distribution strategies influence fluctuations in stock prices. The study utilized a quantitative approach, incorporating both descriptive and verification analyses. Out of 44 listed companies, a purposive sampling technique yielded a sample of 12 firms observed over a five-year timeframe. Findings reveal that trading volume, leverage, and dividend policy collectively contribute to stock price variability. Moreover, each of these variables individually exerts a positive and statistically significant impact. These insights may serve as a reference for prospective investors considering equity investments, highlighting the importance of understanding price volatility to anticipate market trends. Recognizing these fluctuation patterns enables more informed and strategic investment decisions, while also helping investors to manage potential financial risks effectively.
Peramalan Harga Saham dengan Brownian Motion Maulana, Yasir; Wiharno, Herma
Indonesian Journal of Strategic Management Vol. 7 No. 1 (2024): Indonesian Journal of Strategic Management
Publisher : Universitas Kuningan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25134/ijsm.v7i1.9529

Abstract

In financial markets modelling, especially stock markets, Brownian Motion plays an important role in building a statistical model. One of the most important concepts in building such financial models is to understand geometric Brownian motion, which is a special case of the Brownian Motion Process. PT. Petrindo Jaya Kreasi, Tbk (CUAN) is a holding company whose business is in the mineral mining and energy sectors. The share prices in this study are based on daily data on the Closing Price of PT shares. Petrindo Jaya Kreasi, Tbk for the period 15 January 2024 to 29 February 2024. The Brown Motion parameter estimation model with P0 = 13,425 obtained µ = -0.021116964, the value of σ = 0.07803483 and σ² = 0.006089435. Based on the model formed, it is necessary to calculate the level of accuracy using the Mean Absolute Percentage Error (MAPE). From the calculation results, the MAPE value is found to be in the range of 21%-50%, namely 22.3%. So it can be concluded that the resulting average error deviation shows the usual level of forecasting accuracy.
The Effect of Profitability, Leverage and Inflation on Stock Returns Maulana, Yasir; Nurhumaira, Nadhifa; Hidayat, Yusuf Murtadlo
Indonesian Journal of Strategic Management Vol. 8 No. 1 (2025): Indonesian Journal of Strategic Management
Publisher : Universitas Kuningan

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.25134/ijsm.v8i1.11346

Abstract

This research was conducted at Building Construction Sub-Sector Companies Listed on the Indonesia Stock Exchange for the 2017-2021 period. The purpose of this study was to determine the effect of profitability, leverage and inflation on stock returns. The sample in this study were 8 Building Construction Sub-Sector Companies Listed on the Indonesia Stock Exchange (IDX) for the 2017-2021 period, this research method uses descriptive and verification methods. Profitability, leverage and inflation variables as independent variables and stock returns as the dependent variable. Data were analyzed using Eviews 9.0. Based on the results of the F test, profitability, leverage and inflation simultaneously affect stock returns. The results of the t test show that profitability (ROA) has a positive and significant effect on stock returns, leverage (DER) has an insignificant positive effect on stock returns, inflation has a negative and insignificant effect on stock returns
ANALISIS BIBLIOMETRIK INTEGRASI FAKTOR KEBERLANJUTAN DALAM MODEL FAMA-FRENCH Maulana, Yasir
Worksheet : Jurnal Akuntansi Vol 5, No 1 (2025)
Publisher : UNIVERSITAS DHARMAWANGSA

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46576/wjs.v5i1.7725

Abstract

The Fama-French model has long served as a fundamental framework for explaining variations in stock returns through market risk, firm size, and book-to-market ratio factors, later expanded to include profitability and investment components. However, the growing urgency of sustainability issues in the global financial system calls for the adaptation of asset pricing models to reflect environmental, social, and governance (ESG) dimensions. This study aims to map the scientific development of sustainability integration within the Fama–French model using a bibliometric approach. Data were collected from the Scopus database using the keywords “Fama–French” and “Sustainability/ESG” for the 2000–2024 publication period. The analysis was conducted using VOSviewer and Biblioshiny to identify publication trends, author collaboration, influential journals, and thematic clusters. The findings indicate a significant increase in publications since 2016, with dominant themes including sustainable asset pricing, ESG performance, and risk-adjusted returns. Integrating ESG factors enhances the multifactor model by incorporating non-financial risk dimensions that influence long-term returns. This study contributes to strengthening the body of knowledge in sustainable finance and provides direction for future research on developing asset pricing models that are more inclusive, resilient, and responsive to global sustainability challenges.
Evaluating the Predictive Power of the Fama-French Three-Factor Model in Islamic Capital Markets: Evidence from JII70 Stocks Yasir Maulana; Munir Nur Komarudin; Nurul Siti Jahidah; Herma Wiharno
JESI (Jurnal Ekonomi Syariah Indonesia) Vol. 15 No. 3 (2025)
Publisher : Universitas Alma Ata

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21927/jesi.2025.15(3).260-276

Abstract

Introduction: Stock returns are a crucial aspect on forming portfolio investing. For investors, they serve as an indicator for measuring the level of profit or loss generated from an investment over a specific period. The purpose is to examine the applicability of the Fama-French Three-Factor Model in predicting excess returns for Jakarta Islamic Index (JII70) stocks within a Sharia-compliant equity universe.Method: We analyze JII70 stocks for the period 2019-2023. The Factors included are market risk premium, firm size proxied by SMB, and book-to-market proxied by HML. Building a portfolio, SMB, and HML, and analyzing it with data panel regression. After the portfolio was built, the factor analysis was conducted by ordinary least squares regression using risk, size, and book-to-market factors on Fama-French Model.Results: The results reveal that only the book-to-market factor (HML) consistently and significantly influences excess stock returns. In contrast, the market risk premium and size factor do not show meaningful effects across the sample. These findings indicate that value-related characteristics still play a role in Islamic stock pricing, whereas risk and size dimensions may behave differently due to Sharia screening.Conclusion: The model's predictive power is weak in Islamic markets, implying the need for additional factors. Suggests refinement of Islamic asset pricing frameworks. Investors and portfolio managers in Indonesia's Islamic capital market should integrate additional factors such as momentum, liquidity, or ESG to enhance predictive accuracy. The unique characteristics of Sharia-compliant stocks necessitate tailored asset pricing models, while regulators can use these insights to refine Sharia index methodologies.
Menumbuhkan Ekonomi Kerakyatan dari Desa: Strategi Pemasaran Digital UMKM Babatan Melalui Landing Page Whatsapp Nurul Siti Jahidah; Yasir Maulana; Fauziyah Adzimatinur
Eastasouth Journal of Positive Community Services Vol 4 No 02 (2026): Eastasouth Journal of Positive Community Services (EJPCS)
Publisher : Eastasouth Institute

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.58812/ejpcs.v4i02.534

Abstract

Pengabdian masyarakat ini berfokus pada penguatan kapasitas pemasaran pelaku UMKM di Desa Babatan, Kabupaten Kuningan, sebagai bagian dari upaya mendukung ekonomi kerakyatan berbasis desa. Permasalahan utama yang di hadapi UMKM adalah keterbatasan akses pasar dan rendahnya literasi digital. Tujuan pengabdian ini adalah meningkatkan literasi digital, mendorong transformasi pemasaran dari pola konvensional ke digital, serta meningkatkan kemandirian UMKM melalui landing page whatsapp. Pendekatan yang digunakan yaitu Participatory Action Research (PAR) dengan metode observasi, diskusi kelompok, pelatihan berbasis praktik, serta pendampingan intensif. Hasil pengabdian menunjukkan adanya peningkatan pada pengetahuan, keterampilan, dan perilaku pemasaran digital UMKM. Pelaku UMKM mampu membuat dan mengelola landing page Whatsapp secara mandiri, memperluas jangkauan promosi, serta memperkuat jejaring usaha lokal. Pengabdian ini berkontribusi pada penguatan ekonomi kerakyatan berbasis digital yang inklusif dan berkelanjutan.
Co-Authors A.A. Ketut Agung Cahyawan W Adzimatinur, Fauziyah Agustin, Afni Alifia Alfiana Andini Nurhaeni Anggi Yuliani Ani Rakhmanita Arief Surya Lesmana Ayus ahmad Yusuf Ayus Ahmad Yusuf Ayus Ahmad Yusuf Aziz, Muhhammad Nur Bunga Azzarri Christine Riani Elisabeth Dadang Suhardi Dede Djuniardi DENI SETIAWAN Desi Sriwahyuni Disman Disman, Disman Dodi Elda Mesyani Erlan Darmawan Erwina Kartika Devi Euis Euis Fauziyah Adzimatinur Fildzah Karamina Putri, Siti Harjadi, Dikdik Harun, Muhammad Fiqri Herdiansyah, Muhamad Ferdi Herma Wiharno Herma Wiharno Heru Budianto Hidayat, Yusuf Murtadlo In Min Iqbal Arraniri Irma Tsuraya Choirinnida Irwan Moridu ISKANDAR Iskandar Iskandar Jahidah, Nurul Siti Kartikasari, Dea Komarudin*, Munir Nur Komarudin, Munir Nur Lia Kurniasih Lies Diana Damayanti Lisa Lismawati Marliani, Ana Marlina Agustia Maya Sari Maya Sari Meilaniy, Windy Dwi Meilany, Windy Dwi Mirza Abdi Khairusy Muhammad Musyfiq Muflih Munir Nur Komarudin Munir Nur Komarudin Novi Satria Pradja Nugraha Nugraha Nugraha Nugraha Nurhumaira, Nadhifa Nurul Siti Jahidah Nurul Siti Jahidah Oding Syafrudin Pitriani Pitriani PUJI LESTARI Puspo Dewi Dirgantari Rahmantya, Yanneri Elfa Kiswara Rahmawati , Aulia Nur Ratih Hurriyati Rifa Siti Nurfajriyah Rina Masruroh RIO ANDRIYAT KRISDIAWAN Rismawati, Dede Robi Awaluddin Santikawati, Lita Siti Fildzah Karamina Putri Supriatna, Odang Syafrudin, Oding Wachjuni Wachjuni Wely Hadi Gunawan Yuliani, Anggi