LAMPIRAN 1. Estimasi Regresi CAPM pada 23 Perusahaan Perbankan
Terbuka
Bank Artha Graha Internasional
Dependent Variable: ARTHAGRAHA Method: Least Squares
Date: 03/16/14 Time: 21:33 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.003299 0.011835 -0.278728 0.7813
RMRF 0.734865 0.164115 4.477756 0.0000
R-squared 0.222657 Mean dependent var -0.000105 Adjusted R-squared 0.211552 S.D. dependent var 0.112886 S.E. of regression 0.100237 Akaike info criterion -1.735177 Sum squared resid 0.703320 Schwarz criterion -1.671936 Log likelihood 64.46638 F-statistic 20.05030 Durbin-Watson stat 2.272269 Prob(F-statistic) 0.000029
Bank Central Asia
Dependent Variable: BCA Method: Least Squares Date: 03/16/14 Time: 21:34 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.009952 0.008359 1.190556 0.2378
RMRF 0.738672 0.115925 6.371999 0.0000
Bank Negara Indonesia
Dependent Variable: BNI Method: Least Squares Date: 03/16/14 Time: 21:35 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.011376 0.010691 1.064053 0.2910
RMRF 1.615518 0.148263 10.89627 0.0000
R-squared 0.629097 Mean dependent var 0.018397 Adjusted R-squared 0.623799 S.D. dependent var 0.147640 S.E. of regression 0.090555 Akaike info criterion -1.938325 Sum squared resid 0.574020 Schwarz criterion -1.875084 Log likelihood 71.77970 F-statistic 118.7287 Durbin-Watson stat 2.111603 Prob(F-statistic) 0.000000
Bank Rakyat Indonesia
Dependent Variable: BRI Method: Least Squares Date: 03/16/14 Time: 21:35 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.009048 0.008385 1.079008 0.2843
RMRF 1.292524 0.116282 11.11541 0.0000
Lanjutan LAMPIRAN 1
Bank Bukopin
Dependent Variable: BUKOPIN Method: Least Squares
Date: 03/16/14 Time: 21:35 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.002240 0.009934 0.225531 0.8222
RMRF 1.393291 0.137753 10.11444 0.0000
R-squared 0.593736 Mean dependent var 0.008295 Adjusted R-squared 0.587933 S.D. dependent var 0.131068 S.E. of regression 0.084136 Akaike info criterion -2.085386 Sum squared resid 0.495518 Schwarz criterion -2.022145 Log likelihood 77.07389 F-statistic 102.3019 Durbin-Watson stat 2.235810 Prob(F-statistic) 0.000000
Bank Bumi Arta
Dependent Variable: BUMIARTA Method: Least Squares
Date: 03/16/14 Time: 21:36 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.006784 0.013461 -0.503953 0.6159
RMRF 1.353734 0.186676 7.251772 0.0000
Bank Capital Indonesia
Dependent Variable: CAPITAL Method: Least Squares Date: 03/16/14 Time: 21:36 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.000488 0.015096 0.032297 0.9743
RMRF 0.147273 0.209344 0.703495 0.4841
R-squared 0.007020 Mean dependent var 0.001128 Adjusted R-squared -0.007165 S.D. dependent var 0.127406 S.E. of regression 0.127862 Akaike info criterion -1.248345 Sum squared resid 1.144409 Schwarz criterion -1.185105 Log likelihood 46.94043 F-statistic 0.494906 Durbin-Watson stat 2.267624 Prob(F-statistic) 0.484081
Bank CIMB Niaga
Dependent Variable: CIMB Method: Least Squares Date: 03/16/14 Time: 21:36 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.000276 0.010534 -0.026232 0.9791
RMRF 1.239190 0.146074 8.483289 0.0000
Lanjutan LAMPIRAN 1.
Bank Danamon Indonesia
Dependent Variable: DANAMON Method: Least Squares
Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.009473 0.010934 -0.866361 0.3893
RMRF 1.018317 0.151633 6.715685 0.0000
R-squared 0.391835 Mean dependent var -0.005048 Adjusted R-squared 0.383147 S.D. dependent var 0.117919 S.E. of regression 0.092613 Akaike info criterion -1.893385 Sum squared resid 0.600404 Schwarz criterion -1.830145 Log likelihood 70.16187 F-statistic 45.10042 Durbin-Watson stat 2.429938 Prob(F-statistic) 0.000000
Bank Ekonomi Raharja
Dependent Variable: EKONOMI Method: Least Squares
Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.010180 0.020287 0.501796 0.6174
RMRF -0.007589 0.281333 -0.026974 0.9786
Bank ICB Bumi Putra
Dependent Variable: ICB Method: Least Squares Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.013088 0.023496 0.557006 0.5793
RMRF 0.166534 0.325833 0.511104 0.6109
R-squared 0.003718 Mean dependent var 0.013811 Adjusted R-squared -0.010515 S.D. dependent var 0.197972 S.E. of regression 0.199010 Akaike info criterion -0.363539 Sum squared resid 2.772349 Schwarz criterion -0.300298 Log likelihood 15.08739 F-statistic 0.261227 Durbin-Watson stat 2.335077 Prob(F-statistic) 0.610886
Bank QNB Kesawan
Dependent Variable: KESAWAN Method: Least Squares
Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.003650 0.011788 -0.309667 0.7577
RMRF -0.078039 0.163468 -0.477397 0.6346
Lanjutan LAMPIRAN 1.
Bank Mandiri
Dependent Variable: MANDIRI Method: Least Squares Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.009908 0.007756 1.277494 0.2056
RMRF 1.394726 0.107552 12.96791 0.0000
R-squared 0.706088 Mean dependent var 0.015969 Adjusted R-squared 0.701889 S.D. dependent var 0.120312 S.E. of regression 0.065690 Akaike info criterion -2.580355 Sum squared resid 0.302062 Schwarz criterion -2.517114 Log likelihood 94.89278 F-statistic 168.1666 Durbin-Watson stat 2.388551 Prob(F-statistic) 0.000000
Bank Mayapada Internasional
Dependent Variable: MAYA Method: Least Squares Date: 03/16/14 Time: 21:38 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.018587 0.025853 0.718974 0.4746
RMRF 0.155391 0.358508 0.433439 0.6660
Bank Mutiara
Dependent Variable: MUTIARA Method: Least Squares
Date: 03/16/14 Time: 21:38 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.009548 0.005698 -1.675752 0.0982
RMRF 0.155034 0.079010 1.962201 0.0537
R-squared 0.052136 Mean dependent var -0.008874 Adjusted R-squared 0.038595 S.D. dependent var 0.049216 S.E. of regression 0.048257 Akaike info criterion -3.197151 Sum squared resid 0.163014 Schwarz criterion -3.133911 Log likelihood 117.0974 F-statistic 3.850231 Durbin-Watson stat 2.529536 Prob(F-statistic) 0.053716
Bank OCBC NISP
Dependent Variable: NISP Method: Least Squares Date: 03/16/14 Time: 21:38 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.006652 0.017680 0.376261 0.7079
RMRF 0.186517 0.245174 0.760753 0.4494
Lanjutan LAMPIRAN 1.
Bank Nusantara Parahyangan
Dependent Variable: NUSANTARA Method: Least Squares
Date: 03/16/14 Time: 21:38 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.005885 0.004281 -1.374745 0.1736
RMRF 0.029717 0.059362 0.500605 0.6182
R-squared 0.003567 Mean dependent var -0.005756 Adjusted R-squared -0.010667 S.D. dependent var 0.036065 S.E. of regression 0.036256 Akaike info criterion -3.769013 Sum squared resid 0.092017 Schwarz criterion -3.705772 Log likelihood 137.6845 F-statistic 0.250606 Durbin-Watson stat 2.309320 Prob(F-statistic) 0.618219
Bank PAN Indonesia
Dependent Variable: PAN Method: Least Squares Date: 03/16/14 Time: 21:39 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.001178 0.011616 -0.101402 0.9195
RMRF 0.980608 0.161079 6.087753 0.0000
Bank Permata
Dependent Variable: PERMATA Method: Least Squares
Date: 03/16/14 Time: 21:39 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.001737 0.010654 0.163038 0.8710
RMRF 1.036133 0.147744 7.013030 0.0000
R-squared 0.412666 Mean dependent var 0.006240 Adjusted R-squared 0.404275 S.D. dependent var 0.116914 S.E. of regression 0.090238 Akaike info criterion -1.945345 Sum squared resid 0.570004 Schwarz criterion -1.882104 Log likelihood 72.03241 F-statistic 49.18259 Durbin-Watson stat 2.046656 Prob(F-statistic) 0.000000
Bank Himpunan Saudara 1906
Dependent Variable: SAUDARA Method: Least Squares
Date: 03/16/14 Time: 21:39 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.034919 0.025140 1.388956 0.1692
RMRF 1.296933 0.348630 3.720083 0.0004
Lanjutan LAMPIRAN 1.
Bank of India Indonesia
Dependent Variable: SWADESI Method: Least Squares
Date: 03/16/14 Time: 21:40 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.011934 0.021090 0.565847 0.5733
RMRF 0.172193 0.292462 0.588768 0.5579
R-squared 0.004928 Mean dependent var 0.012682 Adjusted R-squared -0.009288 S.D. dependent var 0.177805 S.E. of regression 0.178628 Akaike info criterion -0.579634 Sum squared resid 2.233566 Schwarz criterion -0.516393 Log likelihood 22.86683 F-statistic 0.346648 Durbin-Watson stat 1.819661 Prob(F-statistic) 0.557912
Bank Victoria Internasional
Dependent Variable: VICTORIA Method: Least Squares
Date: 03/16/14 Time: 21:40 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.003040 0.014102 -0.215565 0.8300
RMRF 0.639364 0.195554 3.269497 0.0017
Bank Windu Kentjana Internasional
Dependent Variable: WINDU Method: Least Squares Date: 03/16/14 Time: 21:40 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.002773 0.019795 0.140087 0.8890
RMRF 0.433029 0.274506 1.577482 0.1192
R-squared 0.034329 Mean dependent var 0.004655 Adjusted R-squared 0.020534 S.D. dependent var 0.169410 S.E. of regression 0.167661 Akaike info criterion -0.706357 Sum squared resid 1.967723 Schwarz criterion -0.643116 Log likelihood 27.42884 F-statistic 2.488449 Durbin-Watson stat 2.068951 Prob(F-statistic) 0.119193
market beta excess return
Ekonomi Raharja -0.007589 0.010147135
ICB 0.166534 0.0138113
Capital Indonesia 0.147273 0.001127582
BCA 0.738672 0.013162597
Bumi Arta 1.353734 -0.000900862
CIMB 1.23919 0.005108991
Permata 1.036133 0.006239869
Swadesi 0.172193 0.01268196
Victoria 0.639364 -0.000261261
Artha Graha 0.734865 -0.000105023
Maya 0.155391 0.019262601
Windu 0.433029 0.004654899
NISP 0.186517 0.007462808
PAN 0.980608 0.003083709
LAMPIRAN 2. Daftar Perusahaan Berdasarkan Kriteria
No
Kode
Saham
Nama Perusahaan
Kriteria
Memenuhi
Tidak
Memenuhi
1. AGRO PT Bank Rakyat Indonesia Agro
Niaga, Tbk
√
8. BBNI PT Bank Negara Indonesia
(Persero), Tbk
√
9. BBNP
PT Bank Nusantara Parahyangan,
Tbk
√
10.
BBRI PT Bank Rakyat Indonesia
(Persero), Tbk
√
11.
BBTN PT Bank Tabungan Negara
(Persero), Tbk
√
12. BCIC
PT Bank Mutiara, Tbk
√
13. BDMN PT Bank Danamon Indonesia, Tbk
√
14. BEKS
PT Bank Pundi Indonesia, Tbk
√
15. BJBR
PT Bank Jabar Banten, Tbk
√
16. BJTM PT Bank Pembangunan Daerah
Jawa Timur, Tbk
√
22. BNII
PT Bank Internasional Indonesia,
Tbk
√
23. BNLI
PT Bank Permata, Tbk
√
24. BSIM
PT Bank Sinar Mas, Tbk
√
25. BSWD
PT Bank of India Indonesia, Tbk
√
26. BTPN PT Bank Tabungan Pensiunan
Nasional, Tbk
√
27. BVIC
PT Bank Victoria Internasional,
Tbk
√
28.
INPC PT Bank Artha Graha
Internasional, Tbk
√
29. MAYA PT Bank Mayapada Internasional,
30.
MCOR PT Bank Windu Kentjana
Internasional, Tbk
√
31. MEGA
PT Bank Mega, Tbk
√
32. NAGA
PT Bank Mitraniaga, Tbk
√
33. NISP
PT Bank OCBC NISP, Tbk
√
34. NOBU
PT Bank National Nobu, Tbk
√
35. PNBN
PT Bank PAN Indonesia, Tbk
√
36. PNBS
PT Bank PAN Indonesia Syariah,
Tbk
√
37. SDRA
PT Bank Himpunan Saudara 1906,
LAMPIRAN 3. Jumlah Perusahaan pada Tiap Portofolio
Tahun S/L
S/H
B/L
B/H
2008
3 8 8 3
2009
4 7 7 4
2010
3 8 8 3
2011
1 10
10
1
2012
4 7 7 4
2013
4 7 7 4
Ukuran dan Nilai Book-to-Market Perusahaan
Bulan, Tahun S/L S/H B/L B/H
Feb 1, 2008 0.019231 -0.03003 0.039439 0.001519
Mar 3, 2008 0.030303 -0.10486 -0.0618 -0.07207
Apr 1, 2008 -0.04653 -0.0671 -0.05899 -0.10071
May 2, 2008 0.06734 0.02202 0.02327 0.033739
Jun 2, 2008 -0.08889 -0.07144 -0.03218 0.073128
Jul 1, 2008 0 -0.03931 0.128965 0.136791
Aug 29, 2008 -0.15591 0.117714 0.055445 -0.04521
Sep 1, 2008 0.147768 -0.20182 -0.11892 -0.16032
Oct 6, 2008 0.119048 -0.15508 -0.15498 -0.39825
Nov 3, 2008 -0.06222 0.011549 -0.0079 0.014549
Dec 1, 2008 0.02886 0.086002 0.124806 0.229578
Jan 5, 2009 -0.03635 -0.0698 -0.06917 -0.00867
Feb 2, 2009 -0.04212 0.012444 -0.0332 -0.11839
Mar 2, 2009 -0.03788 0.079678 0.117808 0.133598
Apr 1, 2009 0.034371 0.200586 0.135133 0.358931
May 1, 2009 0.140381 0.065251 0.054041 0.104744
Jun 1, 2009 -0.0038 0.091181 0.036552 0.061184
Jul 1, 2009 -0.01502 0.148667 0.040099 0.126177
Aug 3, 2009 -0.00965 -0.02749 0.040374 0.059762
Sep 1, 2009 -0.02303 0.264469 0.040122 0.180288
Oct 1, 2009 0.014605 0.022796 -0.01407 -0.10431
Nov 2, 2009 0.002551 0.132607 0.025517 0.008535
Dec 1, 2009 -0.01515 -0.13344 -0.06017 0.015247
Jan 4, 2010 0.02365 0.084436 0.065642 0.094556
Feb 1, 2010 -0.08798 -0.03797 -0.00405 -0.02602
Mar 1, 2010 0.1291 0.044929 0.150272 0.093583
Apr 1, 2010 0.001639 0.103649 0.084327 0.145043
May 3, 2010 -0.04076 -0.06556 -0.04979 -0.0198
Jun 1, 2010 0.025703 -0.01315 0.027285 0.014965
Jul 1, 2010 0.014392 0.030735 0.021788 0.184292
Aug 2, 2010 -0.02003 0.008394 0.010615 0.088681
Sep 1, 2010 0.006171 0.135373 0.103988 0.309302
Oct 1, 2010 0.044697 0.109957 -0.00079 -0.02925
Nov 1, 2010 0.005196 -0.05464 -0.05362 0.08231
Dec 1, 2010 0.063752 0.020643 0.010725 0.050113
Jan 3, 2011 -0.33654 -0.06483 -0.09133 -0.07692
Feb 1, 2011 0.014493 -0.02438 0.043637 -0.06667
Mar 1, 2011 -0.01429 0.031246 0.093325 0.214303
Apr 1, 2011 0.043478 -0.01523 0.004472 0.058811
May 2, 2011 0.027778 0.059644 -0.05244 0.02778
Jun 1, 2011 -0.04054 -0.01486 -0.00315 -0.04386
Jul 1, 2011 0.028169 -0.00664 0.036201 0.217397
Aug 1, 2011 -0.06849 0.026774 -0.07397 -0.17858
Lanjutan LAMPIRAN 4.
Oct 3, 2011 0.029412 0.057901 0.072421 0.214295
Nov 1, 2011 -0.01429 0.092057 -0.04815 -0.11765
Dec 1, 2011 0.028986 -0.01244 0.013588 -0.03334
Jan 2, 2012 0.115244 0.058546 0.06315 0.043351
Feb 1, 2012 0.139 0.021388 0.026035 0.024504
Mar 1, 2012 0.155172 0.008817 0.054721 -0.00772
Apr 2, 2012 0.049651 0.053832 0.024771 0.06665
May 1, 2012 0.103656 -0.05623 -0.04591 -0.08057
Jun 1, 2012 -0.01501 -0.02848 0.043566 -0.0133
Jul 2, 2012 -0.08363 0.010995 0.036133 0.001899
Aug 1, 2012 -0.04428 -0.00476 -0.03484 -0.02553
Sep 3, 2012 -0.00657 0.011832 0.04343 0.010514
Oct 1, 2012 0.015901 -0.00172 0.07754 0.013194
Nov 1, 2012 0.034986 0.008638 -0.02212 -0.04431
Dec 3, 2012 -0.01143 -0.00188 0.019225 -0.03488
Jan 1, 2013 0.007288 0.1056 0.125805 0.075668
Feb 1, 2013 -0.01567 -0.03061 0.064758 0.180749
Mar 1, 2013 0.078887 0.053693 -0.05276 0.046179
Apr 1, 2013 0.137895 0.008104 -0.01526 0.008493
May 1, 2013 -0.05461 0.11313 -0.06066 -0.00347
Jun 3, 2013 -0.11345 -0.0546 -0.05625 -0.12965
Jul 1, 2013 -0.10897 -0.03301 0.024204 -0.0532
Aug 1, 2013 -0.05929 -0.04296 -0.17395 -0.12152
Sep 2, 2013 -0.0071 -0.0179 0.124492 0.058853
Oct 1, 2013 -0.07444 0.086674 0.109693 0.046867
Nov 1, 2013 0.012051 -0.0175 -0.07813 -0.07512
Dec 2, 2013 0.019444 -0.02879 0.06839 -0.00165
Jan 1, 2014 0.152324 -0.01987 0.029399 0.004969
MARKET Skewness -1.120754 Kurtosis 7.798704
Jarque-Bera 84.15575 Probability 0.000000
Sum 0.313520 Probability 0.000298
Sum -0.181512 Probability 0.000000
Sum 0.002458
Sum Sq. Dev. 0.644475
LAMPIRAN 6. Statistik Deskriprif Portofolio Pembentuk Variabel Bebas
Skewness -0.159569 Kurtosis 5.631187Jarque-Bera 21.07498 Probability 0.000027
Sum 0.819102 Probability 0.000000
Sum 0.537533 Probability 0.012540
Sum 0.914909
Sum Sq. Dev. 0.527123
IND_BM Probability 0.701683
Sum 1.304843 Skewness -0.435091 Kurtosis 4.029826
Jarque-Bera 5.453278 Probability 0.065439
Sum 0.801065 Probability 0.000000
Sum 0.710173
Sum Sq. Dev. 1.243332
LAMPIRAN 7. Hasil Estimasi CAPM Berdasarkan Portofolio
Dependent Variable: S_L Method: Least Squares Date: 07/05/14 Time: 18:02 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.001357 0.009195 -0.147567 0.8831
MARKET 0.145880 0.127510 1.144060 0.2565
R-squared 0.018355 Mean dependent var -0.000722 Adjusted R-squared 0.004331 S.D. dependent var 0.078050 S.E. of regression 0.077881 Akaike info criterion -2.239885 Sum squared resid 0.424581 Schwarz criterion -2.176644 Log likelihood 82.63586 F-statistic 1.308874 Durbin-Watson stat 1.828376 Prob(F-statistic) 0.256496
Dependent Variable: S_H Method: Least Squares Date: 07/05/14 Time: 18:02 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.004997 0.007012 0.712606 0.4785
MARKET 0.705254 0.097232 7.253349 0.0000
Dependent Variable: B_L Method: Least Squares Date: 07/05/14 Time: 18:03 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.003788 0.005488 0.690184 0.4924
MARKET 0.721577 0.076109 9.480874 0.0000
R-squared 0.562191 Mean dependent var 0.006930 Adjusted R-squared 0.555936 S.D. dependent var 0.069759 S.E. of regression 0.046486 Akaike info criterion -3.271955 Sum squared resid 0.151265 Schwarz criterion -3.208714 Log likelihood 119.7904 F-statistic 89.88697 Durbin-Watson stat 1.988063 Prob(F-statistic) 0.000000
Dependent Variable: B_H Method: Least Squares Date: 07/05/14 Time: 18:04 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.009580 0.007699 1.244326 0.2175
MARKET 1.388696 0.106761 13.00750 0.0000
LAMPIRAN 8. Uji Normalitas CAPM
Median -0.001090
Maximum 0.164998
Minimum -0.328214
Std. Dev. 0.077331
Skewness -0.599261
Kurtosis 6.541282
Jarque-Bera 41.93140 Median -0.014248 Maximum 0.219911 Minimum -0.174628 Std. Dev. 0.058968 Skewness 0.749138 Kurtosis 5.450348
B_L CAPM
-0.10 -0.05 -0.00 0.05 0.10
Series: Residuals
Sample 2008M02 2014M01 Observations 72
Mean -1.42e-18 Median -0.004205 Maximum 0.136844 Minimum -0.114249 Std. Dev. 0.046157 Skewness 0.367616 Kurtosis 3.658753
Jarque-Bera 2.923560
-0.10 -0.05 -0.00 0.05 0.10 0.15
Series: Residuals
Sample 2008M02 2014M01 Observations 72
Mean -3.47e-18 Median -0.004885 Maximum 0.156405 Minimum -0.098986 Std. Dev. 0.064747 Skewness 0.493600 Kurtosis 2.355366
LAMPIRAN 9. Hasil Estimasi Model Fama-French
Dependent Variable: S_L Method: Least Squares Date: 07/05/14 Time: 18:03 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C -0.002641 0.006399 -0.412692 0.6811
MARKET 0.720581 0.113464 6.350718 0.0000
SMB 0.477222 0.118945 4.012119 0.0002
HML -0.452781 0.083648 -5.412919 0.0000
R-squared 0.538651 Mean dependent var -0.000722 Adjusted R-squared 0.518297 S.D. dependent var 0.078050 S.E. of regression 0.054171 Akaike info criterion -2.939404 Sum squared resid 0.199543 Schwarz criterion -2.812923 Log likelihood 109.8186 F-statistic 26.46461 Durbin-Watson stat 1.692857 Prob(F-statistic) 0.000000
Dependent Variable: S_H Method: Least Squares Date: 07/05/14 Time: 18:03 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.006194 0.004759 1.301491 0.1975
MARKET 0.791631 0.084384 9.381314 0.0000
SMB 0.631055 0.088460 7.133818 0.0000
HML 0.510541 0.062209 8.206834 0.0000
Dependent Variable: B_L Method: Least Squares Date: 07/05/14 Time: 18:03 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.003306 0.004779 0.691874 0.4914
MARKET 0.595738 0.084732 7.030849 0.0000
SMB -0.411411 0.088825 -4.631721 0.0000
HML -0.218345 0.062466 -3.495417 0.0008
R-squared 0.677924 Mean dependent var 0.006930 Adjusted R-squared 0.663715 S.D. dependent var 0.069759 S.E. of regression 0.040453 Akaike info criterion -3.523396 Sum squared resid 0.111279 Schwarz criterion -3.396915 Log likelihood 130.8423 F-statistic 47.71020 Durbin-Watson stat 2.239422 Prob(F-statistic) 0.000000
Dependent Variable: B_H Method: Least Squares Date: 07/05/14 Time: 18:03 Sample: 2008M02 2014M01 Included observations: 72
Variable Coefficient Std. Error t-Statistic Prob.
C 0.009448 0.007181 1.315773 0.1927
MARKET 1.149291 0.127319 9.026830 0.0000
SMB -0.467055 0.133469 -3.499346 0.0008
HML -0.088880 0.093862 -0.946920 0.3470
LAMPIRAN 10. Korelasi antar Variabel Bebas
MARKET SMB HML
MARKET 1.000000 -0.608215 0.461990
SMB -0.608215 1.000000 -0.573528
Portofolio S/L
Median -0.001282 Maximum 0.164470 Minimum -0.146095 Std. Dev. 0.053014 Skewness 0.476161 Kurtosis 4.257648Jarque-Bera 7.465790
-0.10 -0.05 -0.00 0.05 0.10
Series: Residuals
Sample 2008M02 2014M01 Observations 72
Mean -4.76e-19 Median -0.003892 Maximum 0.110768 Minimum -0.131495 Std. Dev. 0.039426 Skewness 0.143141 Kurtosis 4.874261
Lanjutan LAMPIRAN 11.
-0.10 -0.05 -0.00 0.05 0.10
Series: Residuals
Sample 2008M02 2014M01 Observations 72
Mean 3.85e-19 Median -0.002168 Maximum 0.111771 Minimum -0.123166 Std. Dev. 0.039589 Skewness 0.140931 Kurtosis 3.891318
Jarque-Bera 2.621684
-0.10 -0.05 -0.00 0.05 0.10
Series: Residuals
Sample 2008M02 2014M01 Observations 72
Mean -2.31e-18
Median -0.007787
Maximum 0.129900
Minimum -0.111405
Std. Dev. 0.059487
Skewness 0.397728
Kurtosis 2.397651
Jarque-Bera 2.986722
Premium, SMB (Small Minus Big) dan HML (High
Minus Low)
Bulan, Tahun
Excess Return Market Risk Premium
SMB HML S/L S/H B/L B/H
Feb 1,
2008 0.012564 -0.03669 0.032772 -0.00515 0.029375 -0.01324 -0.084421459 Mar 3,
2008 0.023636 -0.11153 -0.06847 -0.07873 -0.10757 0.045293 -0.114408879 Apr 1,
2008 -0.0532 -0.07377 -0.06566 -0.10737 -0.06501 0.052911 -0.072429786 May 2,
2008 0.060465 0.015145 0.016395 0.026864 0.053801 0.017139 -0.057709287 Jun 2,
2008 -0.09597 -0.07853 -0.03926 0.066045 -0.04605 -0.06655 0.040260939 Jul 1,
2008 -0.00729 -0.0466 0.121674 0.129499 -0.02627 -0.17154 0.021432102 Aug
29,
2008 -0.16341 0.110214 0.047945 -0.05271 -0.06763 0.00458 0.114304284 Sep 1,
2008 0.14006 -0.20953 -0.12663 -0.16803 -0.16165 0.132895 -0.311984415 Oct 6,
2008 0.111132 -0.163 -0.1629 -0.40617 -0.32214 0.272662 -0.287670307 Nov 3,
2008 -0.07014 0.003633 -0.01581 0.006633 -0.01998 -0.05371 0.107733534 Dec 1,
2008 0.021152 0.078294 0.117097 0.22187 0.084008 -0.11483 0.053056318 Jan 5,
2009 -0.04364 -0.0771 -0.07646 -0.01596 -0.02407 -0.05255 0.071465815 Feb 2,
2009 -0.049 0.005569 -0.04008 -0.12526 -0.04229 0.049569 -0.004646504 Mar 2,
2009 -0.04434 0.073219 0.11135 0.127139 0.109133 -0.08999 0.002272299 Apr 1,
2009 0.028121 0.194336 0.128883 0.352681 0.195065 -0.22704 0.366445315 May 1,
2009 0.134339 0.059209 0.048 0.098702 0.106603 -0.03467 0.158297888 Jun 1,
2009 -0.00963 0.085347 0.030719 0.055351 0.051527 -0.01933 0.108310178 Jul 1,
2009 -0.02065 0.143042 0.034474 0.120552 0.140646 -0.01964 0.100183279 Aug 3,
2009 -0.01506 -0.0329 0.034957 0.054346 0.00246 -0.05807 -0.025942029 Sep 1,
2009 -0.02844 0.259053 0.034706 0.174872 0.048415 0.005754 0.196129208 Oct 1,
2009 0.009189 0.017379 -0.01949 -0.10972 -0.0459 0.086277 -0.03533377 Nov 2,
Lanjutan LAMPIRAN 12.
Jan 4,
2010 0.018233 0.079019 0.060225 0.089139 0.024745 0.01435 -0.038964724 Feb 1,
2010 -0.0934 -0.04339 -0.00946 -0.03144 -0.02908 -0.05046 0.013266298 Mar 1,
2010 0.123683 0.039512 0.144855 0.088166 0.084135 -0.01995 -0.070177521 Apr 1,
2010 -0.00378 0.098232 0.07891 0.139626 0.064417 -0.03362 0.042367332 May 3,
2010 -0.04617 -0.07097 -0.05521 -0.02521 -0.06408 -0.01858 -0.002181958 Jun 1,
2010 0.020286 -0.01857 0.021868 0.009548 0.036314 -0.00227 -0.049911099 Jul 1,
2010 0.008975 0.025318 0.016371 0.178875 0.047987 -0.02438 -0.01023432 Aug 2,
2010 -0.02545 0.002977 0.005198 0.083264 -0.00131 -0.03244 0.01808509 Sep 1,
2010 0.000754 0.129956 0.098571 0.303885 0.130676 -0.05558 0.016528105 Oct 1,
2010 0.039281 0.10454 -0.00621 -0.03466 0.032861 0.063596 0.066175408 Nov 1,
2010 -0.00022 -0.06005 -0.05903 0.076893 -0.03406 0.011189 -0.053442801 Dec 1,
2010 0.058336 0.015226 0.005308 0.044696 0.043377 0.049074 -0.074488302 Jan 3,
2011 -0.34196 -0.07024 -0.09675 -0.08234 -0.08489 -0.10268 0.183416271 Feb 1,
2011 0.008868 -0.03001 0.038012 -0.0723 0.012321 -0.02803 -0.027091774 Mar 1,
2011 -0.01991 0.025621 0.0877 0.208678 0.054404 -0.0574 -0.033421417 Apr 1,
2011 0.037853 -0.02085 -0.00115 0.053186 0.03269 0.001091 -0.042703535 May 2,
2011 0.022153 0.054019 -0.05806 0.022155 -0.00108 0.065914 0.042625136 Jun 1,
2011 -0.04617 -0.02048 -0.00878 -0.04949 0.007823 -0.0185 0.007866291 Jul 1,
2011 0.022544 -0.01227 0.030576 0.211772 0.056668 -0.03141 -0.023253471 Aug 1,
2011 -0.07412 0.021149 -0.0796 -0.1842 -0.0756 0.046685 0.086777955 Sep 5,
2011 -0.00563 -0.06771 -0.10265 -0.19403 -0.08181 0.028519 0.023478086 Oct 3,
2011 0.023995 0.052484 0.067005 0.208879 0.06272 0.006202 -0.053119982 Nov 1,
2011 -0.01929 0.087057 -0.05315 -0.12265 -0.02499 0.145619 0.023104819 Dec 1,
2011 0.023986 -0.01744 0.008588 -0.03834 0.023777 -0.01877 -0.005961753 Jan 2,
2012 0.110244 0.053546 0.05815 0.038351 0.026319 0.012567 0.026388206 Feb 1,
Mar 1,
2012 0.15038 0.004025 0.049929 -0.01251 0.02942 0.0802 -0.173982104 Apr 2,
2012 0.04486 0.04904 0.01998 0.061859 0.009567 0.018444 -0.011084198 May 1,
2012 0.098865 -0.06102 -0.0507 -0.08536 -0.08801 0.09229 -0.109857193 Jun 1,
2012 -0.0198 -0.03327 0.038775 -0.01809 0.027237 -0.04803 -0.004840943 Jul 2,
2012 -0.08843 0.006203 0.031342 -0.00289 0.042423 -0.04528 -0.000148109 Aug 1,
2012 -0.04907 -0.00955 -0.03963 -0.03032 -0.02459 0.006763 0.022834628 Sep 3,
2012 -0.01136 0.007041 0.038638 0.005722 0.045015 -0.02625 -0.000951072 Oct 1,
2012 0.011109 -0.00651 0.072748 0.008403 0.01579 -0.03979 -0.04004999 Nov 1,
2012 0.030195 0.003846 -0.02692 -0.0491 -0.02184 0.054905 -0.024536285 Dec 3,
2012 -0.01622 -0.00667 0.014433 -0.03967 0.004691 -0.00028 -0.017305096 Jan 1,
2013 0.002497 0.100809 0.121013 0.070876 0.026948 -0.01268 -0.030333929 Feb 1,
2013 -0.02046 -0.0354 0.059966 0.175958 0.072019 -0.15482 0.0485126 Mar 1,
2013 0.074096 0.048902 -0.05755 0.041387 0.025485 0.068657 -0.008792119 Apr 1,
2013 0.133103 0.003313 -0.02005 0.003701 0.014047 0.068664 -0.042645851 May 1,
2013 -0.0594 0.108339 -0.06546 -0.00826 0.002074 0.09237 0.043896701 Jun 3,
2013 -0.11845 -0.0596 -0.06125 -0.13465 -0.05427 0.011717 0.002654378 Jul 1,
2013 -0.11439 -0.03842 0.018787 -0.05862 -0.04869 -0.05612 0.041068122 Aug 1,
2013 -0.06471 -0.04838 -0.17937 -0.12693 -0.09549 0.103278 0.042010852 Sep 2,
2013 -0.01314 -0.02394 0.118451 0.052811 0.022823 -0.10285 -0.011072225 Oct 1,
2013 -0.08048 0.080632 0.103651 0.040825 0.03901 -0.07614 0.071428071 Nov 1,
2013 0.005801 -0.02375 -0.08438 -0.08137 -0.0626 0.074333 -0.019577652 Dec 2,
2013 0.013194 -0.03504 0.06214 -0.0079 -0.00208 -0.03746 -0.033426802 Jan 1,
