PENGARUH MARKET RISK PREMIUM, SMB, HML, RMW, DAN CMA TERHADAP EXCESS RETURN SAHAM PERUSAHAAN INDEKS LQ45 PERIODE 2022–2025

Indra Manggala Dwi Darmawan; Shofwan Afif Khoiruddin; Istiono

doi:10.69957/grjb.v6i02.2814

Authors

Indra Manggala Dwi Darmawan Universitas 17 Agustus 1945 Surabaya
Shofwan Afif Khoiruddin Universitas 17 Agustus 1945 Surabaya
Istiono Universitas 17 Agustus 1945 Surabaya

DOI:

https://doi.org/10.69957/grjb.v6i02.2814

Keywords:

Fama-French Five Factor Model, Excess Return, LQ45, Market Risk Premium

Abstract

Penelitian ini bertujuan untuk menguji pengaruh faktor-faktor dalam Fama-French Five Factor Model (FF5F), yaitu Market Risk Premium (MKT), Small Minus Big (SMB), High Minus Low (HML), Robust Minus Weak (RMW), dan Conservative Minus Aggressive (CMA) terhadap excess return saham perusahaan yang terdaftar secara konsisten dalam Indeks LQ45 Bursa Efek Indonesia selama periode Januari 2022 hingga Desember 2025. Sampel penelitian terdiri dari 25 perusahaan dengan 1.200 observasi (25 perusahaan × 48 bulan). Metode analisis yang digunakan adalah regresi linear berganda dengan data panel. Hasil penelitian menunjukkan bahwa Market Risk Premium (MKT) dan Small Minus Big (SMB) berpengaruh positif dan signifikan terhadap excess return saham, sedangkan High Minus Low (HML), Robust Minus Weak (RMW), dan Conservative Minus Aggressive (CMA) tidak berpengaruh signifikan. Uji F menunjukkan model signifikan secara keseluruhan dengan nilai Adjusted R Square sebesar 13,7%. Temuan ini mengimplikasikan bahwa pada konteks saham berkapitalisasi besar di Indonesia, risiko pasar dan efek ukuran perusahaan merupakan determinan utama excess return, sementara faktor nilai, profitabilitas, dan investasi belum terbukti relevan secara statistis.

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