Analysis of the Fama French Five Factors Model on SRI-KEHATI Stock Return During the Pre Pandemic, Pandemic, and Post-Pandemic Periods
DOI:
https://doi.org/10.66755/belacoss.v2i2.190Keywords:
Market Risk Premium, Size (SMB), Book to Market Equity (HML), Profitability (RMW), Investment (CMA)Abstract
The appearance of the COVID-19 pandemic at the edge of 2019 created uncertainty and economic pressure in all countries, including Indonesia. The stock market was afflicted by COVID-19, as shown by the dynamics of the stock market before, during, also after the pandemic. The long-term performance of the IDX Composite Index from 2018 to 2024 grew positively by 13%, while the SRI-KEHATI index grew negatively by 3,46%. The performance of the SRI-KEHATI index shows a discrepancy with the investment objective, which is to obtain profits in the future. This study goals to govern whether stock returns of issuers drafted on the SRI-KEHATI index amidst the pre-pandemic, pandemic, also post-pandemic periods are impacted by the market risk premium, size (SMB), book to market equity (HML), profitability (RMW), also investment (CMA) factors. The research used all issuers written on the SRI-KEHATI index from the total population as samples using purposive sampling techniques. The data were inspected utilizing the Fama-MacBeth Regression method with the assistance of StataMP 7. The study’s outcomes reveal that there is no effect from the market risk premium, SMB, HML, and RMW factors on stock returns across the three research periods. Meanwhile, the CMA factor has no significant effect at the pre-pandemic and pandemic periods, but possesses a positive and significant effect at the post-pandemic period.
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