PENGARUH KEBIJAKAN MONETER TERHADAP HUBUNGAN MODEL TIGA FAKTOR DENGAN RETURN SAHAM

Abstract

This research is intended to know how the effect of monetary policy (as moderating variable)
toward the relationship between three factors model and stock return. The analysis in this research used
pooled regressions. Data used in this regression analysis are return, beta, size, and book-to-market
equity of monthly portfolio. Data of stock of enterprise was taken from Indonesian Capital Market
Directory (ICMD) from 1995 until 2002. The result of research shows that before we intake
monetary policy, three factors model could not explain stock return variation in cross section data. Three
factors model along with monetary policy (as moderating variable) add explaining in stock return
variation in cross section data, but variable of Book-to-Market Equity individually was not significant
in explaining stock return variation. Then we exclude this variable of book-to-market equity to look at
is three factors model can explain stock return variation without this variable? The evidence shows that the result was not different and even better than before. This is can be seen from value of adjusted Rsquared that increasingly better, namely from 0.036550 to 0.039196
.