Five-Factor Asset Pricing Model Fama and French dalam Memahami Excess Return Saham Syariah sebelum dan sesudah Diumumkan Covid-19 di Indonesia

Abstract: This study aims to examine and analyze the effect of the Five Factor Asset Pricing Model Fama and French (risk premium, size, book-to-market ratio, profitability, and investment) on the excess return of Islamic stocks in Indonesia, as well as to test whether there is a difference between excess return before and after the announcement of Covid-19 in Indonesia. The sample in this study was taken from 279 companies listed on the Indonesian Sharia Stock Index (ISSI). The type of data used is time series daily. The research method used is multiple linear regression analysis. Based on the results of the study, it shows that the risk premium variable has a significant effect on the excess return of the Islamic stock portfolio registered at ISSI before and after the announcement of Covid-19 in Indonesia. Meanwhile, the variables of size, profitability, and investment have no effect on excess return, both before and after the announcement of Covid-19. Meanwhile, the book-to-market ratio has no effect on excess return before the announcement of Covid-19 and has a significant effect on excess return after the announcement of Covid-19. Abstrak: Penelitian ini bertujuan untuk menguji dan menganalisis pengaruh Five Factor Asset Pricing Model Fama dan French (premi risiko, size, book-to-market ratio, profitability, dan investment) terhadap excess return saham syariah di Indonesia, serta menguji apakah terdapat perbedaan antara excess return sebelum dengan sesudah diumumkan Covid-19 di Indonesia. Sampel dalam penelitian ini diambil dari perusahaan yang terdaftar di Indeks Saham Syariah Indonesia (ISSI) sejumlah 279 perusahaan. Jenis data yang digunakan adalah data time series harian. Metode penelitian yang digunakan adalah analisis regresi linear berganda. Berdasarkan hasil penelitian menunjukkan bahwa variabel premi risiko berpengaruh signifikan terhadap excess return portofolio saham syariah yang terdaftar di ISSI sebelum dan sesudah diumumkan Covid-19 di Indonesia. Sedangkan, variabel size, profitability, dan investment tidak berpengaruh terhadap excess return, baik sebelum maupun sesudah diumumkan Covid-19. Sementara itu, untuk variabel book-to-market ratio tidak berpengaruh terhadap excess return sebelum diumumkan Covid-19 dan berpengaruh signifikan terhadap excess return sesudah diumumkan Covid-19.