Analisis risiko melalui momen imbal hasil pasar dan Fama-French Three Factor Model periode 2002-2012

Deskripsi

This study analyzes moments of market return in Indonesia, they are volatility, skewness and kurtosis and which one of them is able to capture exposure of risk. There are two approaches in this study. The first one is by looking at the movement of the portolio return that has been prepared based on the coefficient of delta volatility, delta skewness and delta kurtosis and the second one is by looking at the movement of Jensen?s alpha that has been calculated using Fama-French Three Factor Model. There are four period used in this study, those are 2002- 2012, before crisis period, crisis period, and after crisis period.Ada tabel