[ABSTRAK
Penelitian ini bertujuan untuk menguji aplikasi strategi pembentukan portofoliosaham berdasarkan model penilaian aset Fama-French three-factors, Carhartfour-factors dan Fama-French five-factors yang didasarkan pada pertumbuhanEarning Per Share /EPS, Momentum dan pertumbuhan pendapatan dari sahamLQ45. Setiap portofolio yang dibentuk selanjutnuya di-hold selama 1 bulan, 3bulan dan 6 bulan dengan mencari strategi manakah yang memberikan abnormalreturn positif. Hasilnya diperoleh abnormal return positif dengan menggunakanEPS Growth dan Revenue Growth. Sedangkan berdasarkan momentum tidakdiperoleh abnormal return yang positif.
ABSTRACT
The study aims to examine the application of stock portfolio constructionstrategies based on the asset valuation models Fama-French three-factors,Carhart four-factors and Fama-French five-factors focus on variables EPSgrowth, momentum and earnings growth of LQ45. Each constructed portfolio isheld for 1 month, 3 months and 6 months to find strategy that produce a positiveabnormal return. The result found positive abnormal return using EPS growthand revenue growth, while based on momentum is not obtained positiveabnormal return., The study aims to examine the application of stock portfolio constructionstrategies based on the asset valuation models Fama-French three-factors,Carhart four-factors and Fama-French five-factors focus on variables EPSgrowth, momentum and earnings growth of LQ45. Each constructed portfolio isheld for 1 month, 3 months and 6 months to find strategy that produce a positiveabnormal return. The result found positive abnormal return using EPS growthand revenue growth, while based on momentum is not obtained positiveabnormal return.] |
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