PENGUJIAN FIVE FACTOR MODEL FAMA DAN FRENCH PADA PERUSAHAAN MANUFAKTUR TERDAFTAR DI BEI PERIODE 2011-2015

Sigit Ardhianto, 2018; Testing of Five Factor Model Fama and French on Manufacturing Company Listed by Indonesia Stock Exchange Period 2011-2015. Thesis, Jakarta: Financial Concentration, Study Program of Management, Faculty of Economics, State University of Jakarta. This study aims to test the five factors model Fama and French on manufacturing companies listed by Indonesia Stock Exchange period 2011-2015 with 70 research samples. Independent variables used are market return, firm size, book to market equity, profitability and investment. Dependent variable used is the excess return portfolio. This study uses multiple regression analysis to process and analyze the results of research. The results shows that market return, firm size, book to market equity, profitability, and investment have an effect on excess return portfolio, with the weakest explanatory power owned by profitability, and investment. Keywords: Five Factor Model, Market Return, Firm Size, Book to Market Equity, Profitability, Investmen