Sentimen Investor Dan Three-Factor Asset Pricing Model (Studi Empirik Di Bursa Efek Indonesia)

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William Wendy Ary


Penelitian ini menginvestigasi peranan sentimen investor terhadap return industri beserta implikasinya pada three-factor asset pricing model. Peranan sentimen investor pada penelitian ini diukur menggunakan proksi indeks keyakinan konsumen (IKK). Penelitian ini menggunakan data bulanan dari Januari 2013 sampai Desember 2017. Hasil penelitian ini membuktikan bahwa sentimen investor berpengaruh negatif terhadap return industri terutama pada sektor properti, real estate, dan konstruksi bangunan dan sektor keuangan, serta membuktikan pengaruh sentiment investor yang signifikan pada model asset pricing, khususnya three-factor asset pricing model. Secara garis besar, peranan sentimen investor yang signifikan tersebut menunjukkan adanya fenomena mispricing dalam melakukan penilaian harga aset di Pasar Modal Indonesia.

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How to Cite
Wendy Ary, W. (2019). Sentimen Investor Dan Three-Factor Asset Pricing Model (Studi Empirik Di Bursa Efek Indonesia). Jurnal Manajemen Dan Keuangan, 8(2), 221-237.


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