ANALISIS PENGARUH MODEL FAMA AND FRENCH THREE FACTOR MODEL DAN MOMENTUM TERHADAP RETURN DI BURSA EFEK INDONESIA PERIODE 2010-2014

Abstrak – Penelitian ini bertujuan untuk menguji keberadaan dan pengaruh Fama and French Three Factor Model dan Momentumterhadap return pada perusahaanperusahaan yang terdaftar di BEI periode 2010-2014.Temuan penelitian menunjukkan bahwa market return berpengaruh positif signifikan terhadap return baik secara simultan maupun terhadap return masing-masing portofolio. Size berpengaruh negatif signifikan terhadap return secara simultan, kemudian terhadap return masing-masing portofolio, size juga memiliki pengaruh negatif signifikan dimana return portofolio dengan size kecil lebih besar dibandingkan return portofolio dengan size besar. Book-to-market equity berpengaruh negatif tidak signifikan terhadap return secara simultan. Sedangkan terhadap masingmasing portofolio, book-to-market equity berpengaruh positif signifikan hanya pada portofolio dengan size kecil saja. Faktor momentum tidak berpengaruh secara signifikan terhadap return baik secara simultan maupun terhadap masing-masing portofolio. Kata kunci:Fama and French Three Factor Model, Momentum, Size Effect, Value Effect Abstract - The objective of this study is to examine the presence and effect of Fama and Franch Three Factor Model and momentum to the return on companies listed in IDX period 2010-2014. The study findings show that market returns has significant positive effect on return both simultaneously or on return of each portofolio. Size has significant negative effect on return simultaneously, size also has a significant negative effect where the return of portofolio with small size is greater than the return of portofolio with large size. Book-to-market equity has insignificant negative effect on the return simultaneously. As against each portofolio, book-to-market equity has significant positive effect only on the portofolio with a small size. Momentum factor did not significantly affect return either simultaneously or to each of portofolio. Keywords: Fama and French Three Factor Model, Momentum, Size Effect, Value Effec