The main purpose of this study is to evaluate and compare the performances of the Fama-French three-(FF3) and five-factor (FF5) models in the Indonesia stock market. This study also examines whether book-to-market factor (HML) is redundant in explaining the portfolio excess returns in Indonesia. This study employs asset pricing factor of the 2 x 3 sorts and excess returns of 25 Size-B/M, 25 Size-OP, dan 25 Size-Inv portfolios as dependent variables. This study employs Ordinary Least Square (OLS) with monthly time-series data from 2000 to 2015. Based on the average adjusted R 2 from the two models, FF5 explains portfolio excess return variations better than FF3, although the profitability and investment factors only display weak effect on the excess returns. If we refer to Merton's (1973) zero-intercept criterion, the both modelsare not valid in Indonesia, because most intercepts are significant in each set of 25 portfolios. We also find that book-to-market factor is redundant in describing the variation of returns in Indonesia. The test of intercept difference between Indonesia and The US indicates that there are differences of abnormal return and market efficiency in both countries.

ABSTRAK ABSTRAKPenelitian ini bertujuan untuk menganalisis determinan manajemen laba baik secara parsial maupun bersama-sama dengan CGPI, kualitas audit, ukuran perusahaan, dan leverage sebagai variabel bebas. Metode penelitian yang digunakan adalah analisis regresi data panel. Dengan menggunakan metode purposive sampling diperoleh sampel sebanyak enam perusahaan yang tercatat di Bursa Efek Indonesia dan konsisten mengikuti program corporate governance perception index (CGPI) berturut-turut sejak 2010-2015. Hasil penelitian menunjukkan bahwa secara parsial CGPI berpengaruh negatif signifikan, kualitas audit berpengaruh negatif tidak signifikan, ukuran perusahaan berpengaruh negatif signifikan, dan leverage berpengaruh positif signifikan, terhadap manajemen laba. Secara bersama-sama, CGPI, kualitas audit, ukuran perusahaan, dan leverage berpengaruh signifikan terhadap manajemen laba. Kata kunci : corporate governance perception index, kualitas audit, ukuran perusahaan, leverage, manajemen laba.

No abstract

This study aims to examine the effect of macroeconomic variables on sectoral indices in the Indonesian Stock Exchange. The difference in sensitiveness among sectors is an interesting issue to investigate this relationship in an emerging market, such as Indonesia. This study employs ordinary least square (OLS) as an estimation method with monthly time-series data from January 2005 to December 2014. The results document that the interest rate, inflation rate, and exchange rate simultaneously have a significant effect on sectoral indices in Indonesia. The interest rate partially shows a significant negative influence on all sectors except basic industry and chemical, finance, infrastructure, utilities, and transportation, and miscellaneous industry sectors. The inflation rate partially has no significant effect on all sectors. The exchange rate partially has a significant negative impact on all industries.DOI: 10.15408/etk.v16i1.4323

A lot of prior studies examined the determinants of banks' profitability, both in developed and developing countries. This paper aims to investigate factors affecting the profitability of 30 commercial banks listed on the Indonesia Stock Exchange (IDX) from 2012 to 2016. This study employs panel regression with annual data. The results reveal that the capital adequacy ratio, net interest margin, and gross domestic product have the positive and significant effect on return on assets. Operating expenses to operating revenues have the negative and significant impact on return on assets. The non-performing loan, loan to deposit ratio, and inflation do not affect return on assets.