Page 24 - Informasi_Anomali_Akrual_dalam_Pembentuk

Jurnal Akuntansi dan Bisnis

Vol.10, No. 1, Februari 2010: 25-42

Tabel 3. 2 Hasil Uji Model Dua Faktor - HML
Panel A. Model HML
Portofolio Predictor α β h Sig.t-α Sig.t-Rm Sig.h Sig.F Adj.R²
S/L Acc-Rf Rm-Rf 4.90% 1.15 0.00 0.2554 0.0126 0.9943 0.0316 10.42%
B/L Acc-Rf HML 4.79% 1.28 -0.14 0.1886 0.0013 0.0572 0.0039 18.34%
S/H Acc-Rf 18.00% 2.42 -0.04 0.0007 0.0000 0.7077 0.0001 31.19%
B/H Acc-Rf 14.85% 2.21 -0.48 0.0001 0.0000 0.0000 0.0000 57.81%
S/L-Rf 6.73% 1.49 -0.18 0.0673 0.0002 0.0180 0.0006 24.95%
B/L-Rf 15.72% 2.16 -0.54 0.0007 0.0000 0.0000 0.0000 48.88%
S/H-Rf 19.07% 2.39 0.25 0.0002 0.0000 0.0129 0.0000 45.89%
B/H-Rf 3.38% 1.26 0.02 0.0926 0.0000 0.6057 0.0000 47.69%

Panel B. Model Perluasan HML
Portofolio Predictor α β h c Sig.t-α Sig.t-Rm Sig.h Sig.c Sig.F Adj.R²
S/L Acc-Rf Rm-Rf 11.54% 1.78 -0.11 0.57 0.0085 0.0001 0.2002 0.0007 0.0003 29.72%
B/L Acc-Rf HML 7.92% 1.57 -0.19 0.27 0.0473 0.0003 0.0150 0.0699 0.0025 22.56%
S/H Acc-Rf CMA 9.42% 1.60 0.10 -0.74 0.0508 0.0018 0.2877 0.0001 0.0000 49.84%
B/H Acc-Rf 10.04% 1.75 -0.40 -0.42 0.0052 0.0000 0.0000 0.0022 0.0000 65.19%
S/L-Rf 6.27% 1.45 -0.17 -0.04 0.1261 0.0010 0.0345 0.7969 0.0020 23.36%
B/L-Rf 13.54% 1.95 -0.51 -0.19 0.0070 0.0003 0.0000 0.3002 0.0000 48.99%
S/H-Rf 15.96% 2.09 0.30 -0.27 0.0038 0.0003 0.0053 0.1777 0.0000 46.93%
B/H-Rf 3.85% 1.31 0.01 0.04 0.0870 0.0000 0.7608 0.6215 0.0000 46.80%

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