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- W2931775013 abstract "ABSTRACT In investing investors need to estimate returns, it is intended that the desired actual return is in accordance with the expected return. CAPM and TFMFF are models that can estimate stock returns. This study aims to determine whether (1) in the CAPM beta model as market risk affects the return. (2) on TFMFF excess return, firm size and BE / ME have an effect on return. As well as (3) CAPM or TFMFF which can estimate return better. The sample of this research is JII stocks for the period 2014-2016. Data analysis used is simple regression for CAPM and panel data regression for TFMFF. The results of this study state that, (1) beta does not affect return. (2) excess return and firm size affect return while BE / ME does not affect return. (3) TFMFF is better than CAPM in estimating the return of JII for the period 2014-2016.Keywords: CAPM; TFMFF ABSTRAKDalam melakukan investasi investor perlu mengestimasi return, hal tersebut bertujuan agar return aktual yang diinginkan sesuai dengan return yang diharapkan. CAPM dan TFMFF merupakan model yang dapat mengestimasi return saham. Penelitian ini bertujuan untuk mengetahui apakah (1) pada model CAPM beta sebagai risiko pasar berperpengaruh terhadap return. (2) pada TFMFF excess return, firm size dan BE/ME berperpengaruh terhadap return.Serta (3) CAPM atau TFMFF yang dapat mengestimasi return lebih baik.Sampel penelitian ini adalah saham-saham JII periode 2014-2016. Analisis data yang digunakan adalah regresi sederhana untuk CAPM dan regresi data panel untuk TFMFF. Hasil penelitian ini menyatakan bahwa, (1) beta tidak berpengaruh terhadap return. (2) excess return dan firm size berpengaruh terhadap return sedangkan BE/ME tidak berpengaruh terhadap return.(3) TFMFF lebih baik dibandingkan CAPM dalam mengestimasi return JII periode 2014-2016.Kata Kunci: CAPM; TFMFF" @default.
- W2931775013 created "2019-04-11" @default.
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- W2931775013 date "2019-03-28" @default.
- W2931775013 modified "2023-09-25" @default.
- W2931775013 title "ANALISIS PERBANDINGAN CAPM DENGAN TFMFF DALAM MENGESTIMASI RETURN SAHAM PADA JII PERIODE 2014-2016" @default.
- W2931775013 doi "https://doi.org/10.17509/manajerial.v18i1.16297" @default.
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