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Abstrak :
ABSTRAK Penelitian ini memiliki dua tujuan. Pertama, untuk menganalisis keberadaan anomali Monday effect di Bursa Efek Indonesia. Kedua, untuk membuktikan bahwa anomali Monday effect secara signifikan dapat dijelaskan dengan menggunakan model tiga faktor Fama-French. Variabel dependen dari penelitian ini adalah excess return harian serta memasukkan variabel dummy dan conditional variance sebagai variabel independen dalam regresi nya. Untuk memenuhi tujuan penelitian kedua, faktor risiko yaitu return pasar dan size premium dimasukkan ke dalam model regresi. Metode analisis yang digunakan untuk mengukur volatilitas return adalah metode autoregressive conditional heteroskedasticity ARCH dan generalized autoregressive conditional heteroskedasticity GARCH . Hasil penelitian menemukan bahwa adanya anomali Monday effect di Bursa Efek Indonesia. Anomali Monday effect tersebut dapat dijelaskan oleh faktor risiko yaitu return pasar dan ukuran perusahaan.

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ABSTRACT There are two purposes in this study. First to analyze whether anomaly of Monday effect exist in Indonesia Stock Exchange. Second, to examine whether Monday effect can be explained by Fama French rsquo s three factor model. Dependent variable of this study is daily axcess return which includes dummy variable and conditional variance as independent variables in its regression. To fulfil the second purposes, market return and size premium are included in the regression model. Autoregressive conditional heteroskedasticity ARCH and generalized autoregressive conditional heteroskedasticity GARCH were used as analytical methods to measure return volatility. The results in the study show that anomaly of Monday effect exist in Indonseia Stock Exchange. Furthermore, anomaly of Monday effect are explained by market return and the size of the firms.

Abstrak :
[ABSTRAK
Tujuan dari penelitian ini adalah untuk mengetahui dari kedua model pendugaan return yaitu: Model Indeks Tunggal, dan Model Tiga Faktor Fama-French, manakah yang paling valid untuk menduga return portofolio industri di Bursa Efek Indonesia (BEI). Penelitian ini dilakukan dengan menggunakan data return bulanan mulai Januari 2010 sampai dengan Desember 2010. Enam portofolio dibentuk dengan menggunakan model Fama-French sebagai dasar. Keenam portofolio tersebut adalah portofolio S/L, S/M, S/H, B/L, B/M, B/H. Excess return Portofolio yang terbentuk menjadi variabel dependen dalam penelitian, sedangkan variabel independen dalam penelitian ini sesuai dengan model indeks tunggal dan model Fama French, yaitu market risk, size factor (SMB), dan value factor (HML). Hasil penelitian menunjukan bahwa model indeks tunggal signifikan pada hampir seluruh portfolio, namun tidak signifikan pada portofolio S/H. Sedangkan model tiga faktor Fama-French tidak signifikan pada portofolio B/M, dan B/H. Penambahan dua faktor Fama-French meningkatkan kekuatan dalam menjelaskan return. ABSTRACT
The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010. Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML). The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns. ;The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010. Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML). The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns. ;The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010. Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML). The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns. ;The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010. Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML). The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns. , The aim of this study was to determine the return of both estimation models are: Single Index Model, and Fama-French Three Factor Model, which is the most valid to infer the industrial portfolio return in the Indonesia Stock Exchange (BEI). This research was conducted using the monthly return data from January 2010 to December 2010. Six portfolios formed by the Fama-French model as a basis. Sixth portfolio is a portfolio of S/L, S/M, S/H, B/L, B/M, B/H. Excess return portfolio that is formed into a dependent variable in the study, while the independent variable in this study is consistent with the single index model and the model of Fama French, is market risk, size factor (SMB), and the value factor (HML). The results showed that a single index model significant in almost all portfolios, but not significant in the portfolio of S/H. While the model of Fama-French three-factor is not significant in the portfolio of B/M and B/H. The addition of two Fama-French factors increase the strength in explaining returns. ]

Abstrak :
Penelitian ini mengembangkan model tiga faktor Fama dan French dengan menambahkan faktor likuiditas yaitu Amihud illiquidity. Dalam segi penelitian empiris, penelitian ini mengisi bukti empiris lain mengenai efek dari beta pasar, size, value, dan likuiditas terhadap excess return saham di Indonesia. Penelitian ini menggunakan regresi OLS dengan data bulanan time-series selama 10 tahun dan menggunkaan dummy untuk membedakan periode non-krisis dan periode krisis. Hasil penelitian menyatakan bahwa beta pasar (excess market return) secara konsisten bernilai positif dan signifikan di seluruh portofolio, baik yang disortir berdasarkan size-illiquidity maupun yang berdasarkan book-to-market (BM)-illiquidity. SMB dapat menjelaskan ILLIQ begitupula sebaliknya, dan secara umum hipotesa yang diangkat dalam penelitian ini dapat diterima juga terdapat konsistensi pada SMB yang disortir berdasarkan size-illiquidity maupun BM-illiquidity yaitu dua dari enam bernilai tidak signifikan. Krisis subprime mortgage secara statistic tidak berpengaruh di duabelas portofolio yang dibentuk. Hasil penelitian mendukung penelitian Fama dan French (1992, 1993) dan penelitian Lam dan Tam (2011). ......This research explores Fama French three factor model by adding liquidity factor Amihud illiquidity. In the empirical side, this research filled the evidence about the effect from market beta, size, value, and liquidity to the stock excess return in Indonesia. This research uses OLS regression with monthly time series data over 10 years and use dummy variable to make difference in non-crisis period and crisis period. The results showed that market beta (excess market return) consistently positive and significant in each portfolios, when sorted by sizeilliquidity and book-to-market (BM)-illiquidity. SMB could explain ILLIQ and vice versa, and in general the hypothesis in this research are accepted, also there are consistency in SMB when sorted by size-illiquidity and also BM-illiquidity which are 2 out of six are not significant. Subprime mortgage crisis statistically has no effect in twelve portfolios built. The results supported Fama dan French (1992, 1993) and the results of Lam dan Tam (2011).

Abstrak :
ABSTRAK
Penelitian ini dilakukan untuk menganalisis value versus growth stock menggunakan price to earning ratio dan earnings growth dalam berinvestasi. Penelitian ini dilakukan dengan sampel penelitian emiten yang terdaftar pada Bursa Efek pada periode 2006 sampai dengan 2016 dan jumlah sampel 2.102. Variabel dependen pada penelitian ini adalah return saham, variabel independen adalah market free risk, small minus big SMB , high minus low HML dengan variabel kontrol price to earning ratio dan earnings growth rate. Terdapat dua model yang digunakan dalam penelitian ini, yaitu: Capital Asset Pricing Model CAPM dan Fama French Three Factors. Hasil; 1 Price to Earning Ratio tidak dapat digunakan dalam menentukan strategi investasi antara growth stock dan value stock, 2 Price to Earning Ratio dan earnings growth tidak dapat digunakan dalam menentukan investasi antara undervalued value stock dan overvalued growth stock. Walaupun tidak terdapat strategi investasi jika dilihat dari invidiual stock, investor dapat melakukan investasi dengan portofolio undervalued value stock.

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ABSTRACT
The purpose of this research is to analyze value versus growth stock using price to earning ratio and earnings growth in the course of investing. This research was conducted with research sample of listed companies in Stock Exchange in period 2006 until 2016 and sample number 2,102. The dependent variable in this research is stocks returns and the independent variable are market free risk, small minus big SMB , high minus low HML with the control variable are price to earning ratio and earnings growth rate. There are two models used in this research, that are Capital Asset Pricing Model CAPM and Fama French Three Factors. Result 1 Price to Earning Ratio can not be used to determine investment strategy between value stock and growth stock, 2 Price to Earning Ratio and earnings growth can not be used to determine invesment strategy between undervalued value stock and overvalued growth stock. On the other side, investor can make undervalued value stock as investing strategy.

Abstrak :
[ABSTRAK
Penelitian ini bertujuan untuk mengetahui keberadaan volatility effect di Bursa Efek Indonesia tahun 2011-2013. Metode yang digunakan dalam penelitian ini mengacu pada penelitian Ang, Hodrick, Zing, dan Zhang (2006) dengan membandingkan return dan alpha (CAPM dan model tiga faktor Fama-French) antara portofolio high volatility dengan low volatility. Hasil penelitian menunjukkan bahwa tidak terdapat volatility effect di Bursa Efek Indonesia. Walaupun demikian, penelitian ini menemukan adanya return premium pada low volatility stock. Adanya return premium pada low volatility stock tersebut terjadi sebagai akibat dari premium atas kinerja perusahaan dan limit to arbitrage.

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ABSTRACT
The objective of this study is to show the volatility effect in Indonesia Stock Exchange for the period 2011-2013. This study is using the method from Ang, Hodrick, Zing, and Zhang (2006) by comparing return and alpha (CAPM and Fama-French three factors model) between high and low volatility portfolio. The results do not find volatility effect in Indonesia Stock Exchange. Nevertheless, this study shows that low volatility stock has a return premium. The return premium on low volatility stock is the result of premium on firm?s performance and limit to arbitrage.;The objective of this study is to show the volatility effect in Indonesia Stock Exchange for the period 2011-2013. This study is using the method from Ang, Hodrick, Zing, and Zhang (2006) by comparing return and alpha (CAPM and Fama-French three factors model) between high and low volatility portfolio. The results do not find volatility effect in Indonesia Stock Exchange. Nevertheless, this study shows that low volatility stock has a return premium. The return premium on low volatility stock is the result of premium on firm?s performance and limit to arbitrage., The objective of this study is to show the volatility effect in Indonesia Stock Exchange for the period 2011-2013. This study is using the method from Ang, Hodrick, Zing, and Zhang (2006) by comparing return and alpha (CAPM and Fama-French three factors model) between high and low volatility portfolio. The results do not find volatility effect in Indonesia Stock Exchange. Nevertheless, this study shows that low volatility stock has a return premium. The return premium on low volatility stock is the result of premium on firm?s performance and limit to arbitrage.]

Abstrak :
Penelitian ini bertujuan untuk menguji dua model yang paling sering digunakan dalam menduga expected return portofolio yaitu Fama-French Three Factors model dan CAPM Capital Asset Pricing Model, manakah yang lebih lebih baik dalam menduga expected return portofolio industri non-keuangan yang terdaftar di Bursa Efek Indonesia BEI . Penelitian dilakukan dengan menggunakan sampel return bulanan dari tahun 2013 hingga 2017. Hasil penelitian menunjukan dari kedua model yang digunakan, model tiga faktor Fama-French adalah model yanglebih baik dalam menjelaskan expected return jika dibandingkan dengan model CAPM Capital Asset Pricing Model. ......The study aims to examine the two most commonly used models for estimating portfolio expected returns, Fama French 3 Factors model and CAPM Capital Asset Pricing Model , which one is the better model in estimating the expected return of non financial industry portfolio listed on the Indonesia Stock Exchange BEI. The study was conducted using monthly return samples from 2013 to 2017. The results show that from the two models used, the Fama French three factor model is a better model in explaining the expected return compared to the Capital Asste Pricing Model CAPM.