IMPACT OF CARHART FOUR FACTOR MODEL TO THE RETURN OF COMPANY IN INDONESIA FIXED INCOME MUTUAL FUND 2005-2011

Junus, Edwin (2013) IMPACT OF CARHART FOUR FACTOR MODEL TO THE RETURN OF COMPANY IN INDONESIA FIXED INCOME MUTUAL FUND 2005-2011. S1 thesis, UAJY.

Preview	Text (Title Page) 0EMI17210.pdf Download (1MB) | Preview
Preview	Text (Chapter I) 1EMI17210.pdf Download (82kB) | Preview
Preview	Text (Chapter II) 2EMI17210.pdf Download (137kB) | Preview
	Text (Chapter III) 3EMI17210.pdf Restricted to Registered users only Download (109kB)
	Text (Chapter IV) 4EMI17210.pdf Restricted to Registered users only Download (157kB)
Preview	Text (Chapter V) 5EMI17210.pdf Download (72kB) | Preview

Abstract

This study used the sample of seven mutual fund that categorize as fixed income mutual fund during the period of 2005-2011. The purposes of this study are to know and examine the level of beta, firm size, book to market effect, and momentum factor to the return in the Indonesia fixed income mutual fund. Secondary data was analyzed by using four factor model of Carhart (1997). With return as the dependent variable and beta, firm size, book to market, and momentum factor as independent variable. The result of this study shows that Beta or EXMKT (X1) and UMD (X4) simultaneously have a significant effect to the return in the 1% significance level. SMB (X2) have a weak impact to the return that states with 10% significance level. HML (X3) don't have any impact to the return. With contribution of beta, firm size, book to market, and momentum factor that explained the level of return share by 24.8 percent. Beta and SMB variable have a positive effect to the return . On the other hand, UMD has negative effect to the return.

Actions (login required)

View Item