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Abstrak :
Penelitian ini bertujuan untuk mengetahui pengaruh faktor pasar (market), ukuran (size), nilai (value), dan momentum pada Carhart Four Factor Model terhadap excess return portofolio menggunakan metode value weighted dan equally weighted, mengetahui kemampuan Carhart Four Factor Model dalam menjelaskan variasi rata-rata imbal hasil (the variation of average return) pada Bursa Efek Indonesia, dan mengetahui pengaruh variabel momentum di Bursa Efek Indonesia. Dengan menggunakan metode value weighted, hanya faktor pasar (market) dan faktor nilai (value) yang memiliki pengaruh signifikan terhadap excess return portofolio. Dengan menggunakan metode equally weighted, hanya faktor pasar (market), faktor ukuran (size), dan faktor nilai (value) yang memiliki pengaruh signifikan terhadap excess return portofolio. Carhart Four Factor Model mampu menjelaskan variasi rata-rata imbal hasil (the variation of average return) pada Bursa Efek Indonesia bila menggunakan metode equally weighted. Variabel momentum tidak berpengaruh secara signifikan di Bursa Efek Indonesia. ......This research aims to determine the effect of market factor, size factor, value factor, and momentum factor on Carhart Four Factor Model towards portfolio excess return using value weighted and equally weighted method, to determine the power of Carhart Four Factor Model to capture the variation of average return at the Indonesia Stock Exchange, and to determine the effect of momentum variable at the Indonesia Stock Exchange. Using value weighted method, only market factor and value factor which have a significant effect towards portfolio excess return. Using equally weighted method, only market factor, size factor, and value factor which have a significant effect towards portfolio excess return. Carhart Four Factor Model is able to capture the variation of average return at the Indonesia Stock Exchange when using equally weighted method. Momentum variable does not have a significant effect at the Indonesia Stock Exchange.

Abstrak :
Tesis ini membahas mengenai analisis kinerja saham berdasarkan perbedaan komposisi Index LQ45 menggunakan metode empat faktor Carhart. Penelitian dilakukan terhadap ketiga jenis saham, yaitu saham yang secara konsisten berada dalam indeks (saham inti), dikeluarkan dari indeks, dan menjadi saham pengganti dari saham yang keluar indeks LQ45 selama Tahun 2009-2014. Analisis kinerja saham dilakukan menggunakan metode empat faktor Carhart, antara lain konstanta intercept, market premium, faktor SMB (kapitalisasi pasar), faktor HML (nilai buku terhadap nilai pasar), dan faktor WML (momentum). Menggunakan metode empat faktor Carhart, hanya saham inti yang memiliki excess return positif, yang ditunjukkan oleh konstanta intercept positif. Variabel dependen saham inti dapat dijelaskan oleh nilai konstanta intercept dan HML (rasio nilai buku terhadap nilai pasar). Variabel dependen saham yang dikeluarkan dari indeks LQ45 dapat dijelaskan oleh faktor SMB (nilai kapitalisasi pasar). Sedangkan variabel dependen saham yang masuk sebagai pengganti di indeks LQ45 dapat dijelaskan oleh faktor rm-rf, HML (rasio nilai buku terhadap nilai pasar), dan faktor WML (momentum). Bila dibandingkan dengan hasil penelitian sebelumnya yang telah dilakukan oleh Chan et al (2013), menggunakan periode 1962-2003 dengan 788 saham yang masuk ke dalam indeks S&P 500 dan 244 saham yang dikeluarkan dari indeks S&P 500, Chan et al memiliki kesimpulan kedua jenis saham dipengaruhi secara signifikan oleh nilai konstanta intercept, faktor SMB (kapitalisasi pasar), dan faktor HML (nilai buku terhadap nilai pasar).

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The objective of this research is to analyze the stock performance based on differences in the composition of the LQ45 Index using the Carhart four-factor. This research is conducted on three types of stocks, which are stocks that consistently remain in the index, being removed from the index, and become substitution of the stock that comes out from LQ45 index during the year of 2009-2014. The analysis of the stock performance uses Carhart four factors method, which are the intercept constant value, market premium, SMB factor (market capitalization), HML factor (book value to market value), and WML factor (momentum). Using the method of Carhart four factors, only stocks that consistently remain in the index LQ45 have positive excess return, while also demonstrating positive intercept constants. These intercept constants value and HML factor (ratio of book value to market value) explain dependent variable of stocks that consistently remain in the index LQ45. SMB factor (market capitalization) explain dependent variable of stocks that are removed from LQ45 index. While market premium, HML factor (ratio of book value to market value) and WML factor (momentum) explain dependent variable stocks that is being substitution of the stock that comes out from LQ45 index. In comparation to the results of previous studies by Chan et al (2013), using period of 1962-2003 with 788 of shares join into the S&P 500 and removal 244 of shares from S&P 500, Chan et al conclude that intercept constants value, SMB factor and HML factor influence both types of stock significantly.

Abstrak :
Tesis ini membahas kinerja reksa dana syariah dan non-syariah berdasarkan Jensen Alpha dan Market Timing pada periode 2007-2013. Perhitungan kinerja Jensen Alpha dan Market Timing menggunakan model multifaktor Carhart. Setelah dihitung kinerja masing-masing reksa dana, dilakukan uji beda dua mean untuk melihat apakah terdapat perbedaan terhadap kinerja reksa dana syariah dan non-syariah, serta melihat apakah kinerja reksa dana syariah lebih baik daripada reksa dana non-syariah. Hasil penelitian menunjukan pada periode 2007-2013, terdapat 2 reksa dana syariah dan 18 reksa dana non-syariah yang memiliki superior selection skill, berdasarkan Jensen Alpha. Sedangkan, berdasarkan kinerja market timing, terdapat 7 reksa dana non-syariah yang memiliki kemampuan market timing pad a periode 2007-2013. Berdasarkan uji beda dua mean, terdapat perbedaan kinerja reksa dana syariah dan non-syariah berdasarkan Jensen Alpha pada periode 2007-2013. Selain itu, kinerja reksa dana non-syariah secara signifikan, lebih baik dibandingka reksa dana syariah. Berdasarkan uji beda dua mean, tidak terdapat perbedaan kinerja reksa dana syariah dan non-syariah berdasarkan Market timing pada periode 2007-2013.

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The objective of this thesis is to analyze the performance of Islamic mutual fund and non-islamic mutual fund using Jensen Alpha and Market Timing ability in 2007-2013. Jensen Alpha and Market Timing ability are calculated using Carhart multifactor model. Two mean difference test is being used to analyze the difference between the performance of Islamic mutual fund and non-islamic mutual fund. This thesis finds that, there are 2 islamic mutual funds and 16 nonislamic mutual funds that have superior selection skill, based on Jensen Alpha. Meanwhile, there are 7 non-islamic mutual funds that have market timing ability in 2007-2013. Using the two mean difference test, on Jensen Alpha, there?s significance difference between islamic and non-islamic mutual fund performance in 2007-2013. In addition, non-islamic mutual fund performance, is significantly, better than Islamic mutual fund based on Jensen Alpha. Based on two mean difference test, on Market Timing ability, there?s no difference between islamic and non-islamic mutual fund performance in 2007-2013.

Abstrak :
[ABSTRAK
Penelitian ini bertujuan untuk menguji apakah strategi pemilihan aset dalam portofolio yang didasarkan pada informasi pertumbuhan pendapatan historis (4Q, 8Q, dan 12Q terakhir) mampu menghasilkan abnormal return atau tidak. Setiap portofolio yang dibentuk kemudian di-hold dengan masa kepemilikkan 1M, 3M, 6M, 9M, dan 12M. Gross return dari setiap portofolio kemudian dievaluasi dengan model fama-french three factors, carhart four factors, dan fama-french five factors. Hasilnya, diperoleh nilai abnormal return yang negatif dan konsisten dari saham-saham yang mencatatkan pertumbuhan pendapatan rendah pada ketiga periode pengamatan dan terkoreksi dalam 9M hingga 12M. Sedangkan saham yang mencatatkan pertumbuhan pendapatan tinggi hanya mencatatkan nilai abnormal return yang negatif dari periode pengamatan jangka menengah (8Q) dan terkoreksi dalam 1M hingga 12M.

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ABSTRACT
This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period., This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.]

Abstrak :
Penelitian ini bertujuan untuk melihat hubungan yang ada antara biaya reksa dana dengan kinerja dalam industri reksa dana saham di Indonesia. Secara khusus penelitian ini membahas kinerja reksa dana dengan menggunakan metode 4 faktor milik Carhart yang dipengaruhi oleh market portofolio, size, book to market, dan momentum. Metode Carhat akan menghasilkan nilai konstanta intercept ( ) yang akan menjelaskan apakah sebuah reksa dana menghasilkan (tidak menghasilkan) excess return. Nilai konstanta intercept ( ) ini yang dipakai untuk melihat hubungan yang ada antara biaya dengan kinerja pada reksa dana saham. Penelitian ini menggunakan 27 produk reksa dana saham yang terdaftar di BAPEPAM selama periode 2009-2013. Berdasarkan data analisis, penelitian ini menemukan adanya hubungan negatif antara biaya reksa dana dengan kinerja yang dihasilkan oleh masing-masing reksa dana saham. Hubungan negatif antara biaya dengan kinerja pada reksa dana dapat dijadikan referensi bagi para investor dalam memilih produk reksa dana untuk berinvestasi berdasarkan biayanya.

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The objective of this research is to study the relation between fee and performance in Indonesia?s equity mutual fund industry. In particular this research examines how to investigate mutual fund performance using four factors Carhart method influenced by market portfolio, size, book to market and momentum. This method generates the intercept () which explain whether the value of () will generate (or not generate) the excess return in a mutual funds. The value of intercept () will be used to correlate the relation between fee and performance in equity mutual funds. This research uses 27 equity mutual funds listed in BAPEPAM from 2009-2013. Based on analysis, this study found there is a negative relation between fee and performance of each equity mutual funds. The negative relation between fee and performance in mutual fund can be used as reference for investors to choose which mutual fund product for investment based on their fee.

Abstrak :
ABSTRAK Penelitian ini bertujuan untuk menguji pengaruh dari ukuran perusahaan, book to market, dan momentum dalam Fama-French Three Factor Model dan Carhart Four Factor Model terhadap imbal hasil saham pada perusahaan yang terdaftar di Bursa Efek Indonesia periode 2007-2016. Variabel dependen yang digunakan dalam penelitian ini adalah imbal hasil portofolio saham. Variabel independen yang digunakan dalam penelitian ini adalah variabel dalam Fama-French Three Factor Model dan Carhart Four Factor Model, yaitu beta, SMB, HML, dan WML. Pengujian hipotesis dalam penelitian ini menggunakan analisis regresi linear berganda menggunakan Fama-French Three Factor Model dan Carhart Four Factor Model. Data yang digunakan dalam penelitian ini merupakan data bulanan. Hasil dari penelitian ini menunjukkan bahwa: 1 Variabel dalam Fama-French Three Factor Model berpengaruh terhadap imbal hasil saham, 2 Variabel dalam Carhart Four Factor Model berpengaruh terhadap imbal hasil saham dengan performa signifikansi variabel HML yang lebih baik, 3 Carhart Four Factor Model mampu menjelaskan variasi imbal hasil saham lebih baik dari Fama-French Three Factor Model dengan nilai koefisien determinasi yang lebih tinggi walaupun perbedaannya tidak signifikan.

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ABSTRACT This study aims to investigate the effect of firm size, book to market, and momentum in Fama French Three Factor Model and Carhart Four Factor Model to the stock return on listed companies during 2007 to 2016. The dependent variable used in this study is portfolio stock returns. The independent variables used in this study are variables on Fama French Three Factor Model and Carhart Four Factor Model that are beta, SMB, HML, and WML. The hypothesis testing was performed using multiple regression analysis of Fama French Three Factor Model and Carhart Four Factor Model. The data used in this study are monthy data. The results indicate that 1 There is an effect of variables on Fama French Three Factor Model to the stock return, 2 There is an effect of variables on Carhart Four Factor Model to the stock return with HML variable performs better in significance, 3 Carhart Four Factor Model provide better explanation to the variation in stocks rates of return than Fama French Three Factor Model with higher coefficient of determination although the difference is not significant.

Abstrak :
ABSTRAK
Penelitian ini bertujuan untuk menguji apakah strategi pemilihan aset dalam portofolio yang didasarkan pada likuiditas turnover ratio dan Amihud Illiquidity mampu menghasilkan abnormal return atau tidak. Setiap portofolio yang dibentuk kemudian di-hold dengan masa kepemilikan selama 6 bulan (6M) dan 12 bulan (12M). Excess return dari setiap portofolio kemudian dievaluasi dengan model CAPM, Fama-French Three Factors, dan Carhart Four Factors. Hasilnya, diperoleh nilai abnormal return yang positif dan signifikan pada portofolio least ? most liquid strategi 6 ? 6M yang disusun berdasarkan turnover ratio.

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ABSTRACT
This paper aimed to test whether stock selection strategy based on liquidity namely turnover ratio and Amihud Illiquidity could generate abnormal return or not. Holding periods for every formed portfolio are 6 months (6M) and 12 month (12M). Each portfolio excess return then evaluated with CAPM, Fama- French Three Factors Model, and Carhart Four Factors Model. The results show that positive alpha consistently generated from least ? most liquid portofolio with formation and holding strategy 6 ? 6M which arranged by turnover ratio.

Abstrak :
ABSTRAK
Penelitian ini bertujuan untuk menguji apakah strategi pemilihan aset dalam portofolio yang didasarkan pada likuiditas turnover ratio dan Amihud Illiquidity mampu menghasilkan abnormal return atau tidak. Setiap portofolio yang dibentuk kemudian di-hold dengan masa kepemilikan selama 6 bulan (6M) dan 12 bulan (12M). Excess return dari setiap portofolio kemudian dievaluasi dengan model CAPM, Fama-French Three Factors, dan Carhart Four Factors. Hasilnya, diperoleh nilai abnormal return yang positif dan signifikan pada portofolio least ? most liquid strategi 6 ? 6M yang disusun berdasarkan turnover ratio.

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ABSTRACT
This paper aimed to test whether stock selection strategy based on liquidity namely turnover ratio and Amihud Illiquidity could generate abnormal return or not. Holding periods for every formed portfolio are 6 months (6M) and 12 month (12M). Each portfolio excess return then evaluated with CAPM, Fama- French Three Factors Model, and Carhart Four Factors Model. The results show that positive alpha consistently generated from least ? most liquid portofolio with formation and holding strategy 6 ? 6M which arranged by turnover ratio

Abstrak :
Penelitian ini bertujuan untuk menganalisis pengaruh volume perdagangan dan turnover dalam menginvestigasi kinerja portofolio saham dari berbagai investment styles. Investment styles tersebut antara lain adalah value vs growth price to book ratio , small vs large market cap dan winner vs loser momentum by the previous 6-month return . Penelitian menggunakan sampel perusahaan yang tercatat dalam Indeks Kompas 100 dan Largest 200 IHSG periode 2008 ndash; 2015. Berdasarkan metode purposive sampling, jumlah perusahaan yang dijadikan sampel dalam penelitian ini adalah 76 perusahaan dari Indeks Kompas 100 dan 96 perusahaan dari Largest 200 IHSG. Variabel dependen yang digunakan adalah return portofolio saham. Variabel Independen yang digunakan adalah volume perdagangan dan turnover. Pengujian hipotesis dalam penelitian ini menggunakan analisis regresi linear berganda, dengan model regresi CAPM, Fama French Three Factors, dan Carhart Four Factor. Data yang digunakan dalam penelitian ini merupakan data harian. Hasil regresi menunjukkan bahwa; 1 Portofolio saham heavily traded stocks memiliki kinerja yang lebih baik dibandingkan less heavily traded stocks, 2 Volume perdagangan dan turnover dapat dijadikan proksi untuk kinerja portofolio saham.

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This study aims to analyze the effect of trading volume and turnover measurement to investigate stock portfolios performance of various investment styles. The investment styles include value vs growth price to book ratio , small vs large market capitalization, and winner vs loser momentum by the previous 6 month returns. This study uses data of listed firms in KOMPAS 100 Index and Largest 200 IHSG for the period of 2008 ndash 2015. Based on purposive sampling method, the number of companies used as the sample in this study is 76 companies from Kompas 100 Index and 96 companies from Largest 200 IHSG. The dependent variable used in this study is stock portfolio returns. The independent variables used in this study are trading volume and turnover. The hypothesis testing was performed using multiple regression analysis, such as CAPM, Fama French three factor, and Carhart Four Factor regression model. The data used in this study are daily data. The regression results indicate that 1 The heavily traded stock portfolios have better performance than the less heavily traded stock portfolios, 2 Trading volume and turnover can be used as a proxy to determine the performance of stock portfolios.