PENGARUH FOUR FACTOR MODEL CARHART TERHADAP RETURN PADA REKSA DANA TOP FIVE STAR DAN TOP FOUR STAR PERIODE 2008-2012

Triani, Ima (2013) PENGARUH FOUR FACTOR MODEL CARHART TERHADAP RETURN PADA REKSA DANA TOP FIVE STAR DAN TOP FOUR STAR PERIODE 2008-2012. S2 thesis, UAJY.

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Abstract

This study aims to identify and analyze Effect Carhart Four Factor Model of the return on mutual funds Top Five Star and Top Four Star period 2008-2012. The data used are secondary data . Secondary data were sourced from the Capital Market Supervisory Agency and Financial Institution ( Bapepam - LK ) . The analysis model is the Four Factor Model Carhart (1997), using SPSS analysis tools . Carhart adds a variable that momentum into a Three- Factor Model of Fama and French , according to Carhart that affect the return on investment is four variables: market risk (EXMKT), Book to Market Ratio ( HML ), and Momentum ( WML ). Based on the results of studies using samples of eight types of mutual funds that belong to the category of the Top Five Star and Top Four Star 2008-2012 study period that affect the rate of return is different, but the three variables Market Risk ( EXMKT ) , Book to Market ratio ( HML ), and Momentum ( WML ) is the main variable that should be considered by investors before investing. This is because the results of the study authors suggest that these variables have a strong influence on the rate of return.

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