[ABSTRAK
Studi ini menguji empiris faktor risiko saham perbankan ASEAN-5periode 2003 ? 2013. Faktor risiko yang diuji adalah faktor risiko pasar (market),size dan value melalui model penilaian aset Capital Asset Pricing Model (CAPM)dan model tiga faktor Fama dan French (1993). Selain tiga faktor standar tersebut(Schuermann & Stiroh, 2006), faktor risiko tambahan yang diuji adalah faktorrisiko spesifik bank yaitu term structure.Hasil penelitian menunjukkan faktor risiko pasar, size dan valuemenjelaskan excess return yang mengindikasikan terdapat premi risiko pasar, sizepremium dan value premium pada saham perbankan ASEAN-5. Faktor risiko termstructure hanya signifikan pada portofolio saham small size-value stocks serta bigsize?growth stocks. Nilai koefisien positif menandakan tingkat eksposur terhadapperubahan tingkat suku bunga yang tidak diduga adalah positif danmengindikasikan minimnya penggunaan instrumen derivatif atau hedging dalamaktifitas bank ASEAN-5.Lebih lanjut, studi ini juga membandingkan model penilaian aset.Menggunakan pedoman adjusted-R2, model tiga faktor Fama dan French memilikikemampuan lebih baik dalam menjelaskan excess return saham perbankanASEAN-5 dari model Capital Asset Pricing Model (CAPM). Pada portofoliosmall size?value stocks dan big size?growth stocks, penambahan faktor risikoterm structure tidak menjadikan model tiga faktor Fama dan French lebih baikdalam menjelaskan excess return saham perbankan ASEAN-5. Hasil studi iniserupa dengan penelitian Fama dan French bahwa faktor risiko term structuretidak menjelaskan lebih baik saham perbankan dibandingkan dengan model tigafaktor Fama dan French.;This study tested empirically risk factors on banking stocks in ASEAN-5.
ABSTRACT
The risk factors are market, size and value risk factors by using asset pricingmodel of Capital Asset Pricing Model (CAPM) and three factor Fama and French(1993) model. As additional risk factor is bank-specific risk factor, the termstructure.The result showed market, size and value risk factors explain excessreturn, indicating there are market risk premium, size and value premium onbanking stocks in ASEAN-5. Term structure factor is significant only on smallsize-value stocks and big size-growth stocks portfolios. Positive factor loadingson both portfolios showed banks? exposure level to the unexpected interest ratechanges is positive, indicating minimum use of derivative or hedging instruments.This study also comparing asset pricing models. Based on adjusted-R2score, three factor model of Fama and French explains better than Capital AssetPricing Model (CAPM). Adding bank-specific risk factor, the term structure,doesn?t help three factor Fama and French model explain better of excess returnon banking stocks in ASEAN-5 for portfolio of small size-value stocks and bigsize-growth stocks. The result is similar to Fama and French?s that adding termstructure risk factor doesn?t help to explain excess return better than three factormodel of Fama and French, This study tested empirically risk factors on banking stocks in ASEAN-5.The risk factors are market, size and value risk factors by using asset pricingmodel of Capital Asset Pricing Model (CAPM) and three factor Fama and French(1993) model. As additional risk factor is bank-specific risk factor, the termstructure.The result showed market, size and value risk factors explain excessreturn, indicating there are market risk premium, size and value premium onbanking stocks in ASEAN-5. Term structure factor is significant only on smallsize-value stocks and big size-growth stocks portfolios. Positive factor loadingson both portfolios showed banks’ exposure level to the unexpected interest ratechanges is positive, indicating minimum use of derivative or hedging instruments.This study also comparing asset pricing models. Based on adjusted-R2score, three factor model of Fama and French explains better than Capital AssetPricing Model (CAPM). Adding bank-specific risk factor, the term structure,doesn’t help three factor Fama and French model explain better of excess returnon banking stocks in ASEAN-5 for portfolio of small size-value stocks and bigsize-growth stocks. The result is similar to Fama and French’s that adding termstructure risk factor doesn’t help to explain excess return better than three factormodel of Fama and French] |
T27387-Sheila Yovita.pdf :: Unduh