Three Factor Model Dan Kepemilikan Asing Terhadap Tingkat Return

Abstract

Indonesian government issued various regulations and policies of market liberalization and provide the widest opportunities both local and foreign investors to trade. Stock market liberalization should improve market efficiency is similar to the stock markets of developed countries. Intensive research conducted by Fama and French succeeded in explaining the performance of stocks in developed countries with three factors model approach. This study tried to model the stock markets of Indonesia and the added factor of foreign ownership is considered by some to dominate price movements. This study used a sample of 269 firms from 2008 to 2011 period. The study uses panel data regression. The results showed the market factor, size and book-to-market has a positive effect on returns while foreign ownership factors do not affect significantly.

Analisis Kinerja Perusahaan Dimiliki Asing dan Dimiliki Dalam Negeri (Study Kasus Perusahaan Pertambangan Terdaftar di Bursa Efek Indonesia Periode 2016-2020)

“…Perusahaan dalam negeri di pasar modal berperan menetralisir dan menjaga pasar tetap stabil, apabila investor asing menarik keluar investasinya sewaktuwaktu (Yoyo Arifardhani, 2020). Irawan dan Murhadi (2012) berpendapat bahwa para investor dalam negeri memiliki "kedekatan" dengan para emiten (perusahaan), sehingga para investor dalam negeri memiliki informasi lebih dari para investor luar negeri, faktor kedekatan dan informasi ini lah yang mendorong investor dalam negeri berkeinginan berinvestasi (Irawan & Murhadi, 2012).…”