Jurnal Manajemen (Jun 2022)

Pengujian Fama & French Three Factor terhadap Return Saham Perusahaan Jasa yang Terdaftar di Indeks IDX80 Saat Pandemi Covid-19

  • Sheilla Putri Agustin,
  • Sulaeman Rahman Nidar,
  • Meinanda Kurniawan

DOI
https://doi.org/10.32832/jm-uika.v13i2.6723
Journal volume & issue
Vol. 13, no. 2
pp. 239 – 250

Abstract

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This study shows the Fama & French Three Factors of weekly stock returns during the pandemic. Of the three variables, only the market variable has a significant effect on returns and has the strongest influence. Meanwhile, the variable size, book to market and the number of Covid-19 cases are not significant to the return. Simultaneously, market variables, size, book to market and the number of Covid-19 cases together or simultaneously have an influence on returns. The magnitude of the simultaneous influence of these variables is 31.02%.

Keywords