Page 27 - Informasi_Anomali_Akrual_dalam_Pembentuk

Jurnal Akuntansi dan Bisnis

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

Tabel 4. Hasil Uji Model Tiga Faktor

Panel A. Model Tiga Faktor
Portofolio Predictor α β s h Sig.t-α Sig.t-Rm Sig.t-s Sig.t-h Sig.F Adj.R²
S/L Acc-Rf Rm-Rf 4.90% 1.20 0.21 -0.14 0.2109 0.0045 0.0021 0.1286 0.0009 26.24%
B/L Acc-Rf SMB 4.79% 1.23 -0.19 -0.02 0.1431 0.0006 0.0011 0.7855 0.0001 34.58%
S/H Acc-Rf HML 18.00% 2.47 0.22 -0.19 0.0003 0.0000 0.0055 0.0890 0.0000 41.06%
B/H Acc-Rf 14.85% 2.17 -0.18 -0.36 0.0000 0.0000 0.0011 0.0000 0.0000 66.17%
S/L-Rf 6.73% 1.56 0.27 -0.36 0.0146 0.0000 0.0000 0.0000 0.0000 59.20%
B/L-Rf 15.72% 2.10 -0.23 -0.39 0.0002 0.0000 0.0008 0.0001 0.0000 59.55%
S/H-Rf 19.07% 2.42 0.13 0.17 0.0002 0.0000 0.1038 0.1300 0.0000 47.93%
B/H-Rf 3.38% 1.24 -0.08 0.08 0.0726 0.0000 0.0085 0.0801 0.0000 54.37%

Panel B. Perluasan Model Tiga Faktor
Portofolio Predictor α β s h c Sig.t-α Sig.t-Rm Sig.t-s Sig.t-h Sig.t-c Sig.F Adj.R²
S/L Acc-Rf Rm-Rf 11.73% 1.85 0.22 -0.25 0.59 0.0023 0.0000 0.0002 0.0029 0.0001 0.0000 47.59%
B/L Acc-Rf SMB 7.76% 1.51 -0.18 -0.07 0.26 0.0298 0.0001 0.0010 0.3640 0.0541 0.0000 38.65%
S/H Acc-Rf HML 9.61% 1.67 0.21 -0.04 -0.72 0.0278 0.0004 0.0015 0.6360 0.0000 0.0000 59.47%
B/H Acc-Rf CMA 9.88% 1.69 -0.18 -0.28 -0.43 0.0016 0.0000 0.0002 0.0001 0.0003 0.0000 74.47%
S/L-Rf 6.51% 1.54 0.27 -0.36 -0.02 0.0337 0.0000 0.0000 0.0000 0.8685 0.0000 58.28%
B/L-Rf 13.34% 1.87 -0.23 -0.35 -0.21 0.0029 0.0001 0.0007 0.0005 0.2021 0.0000 60.16%
S/H-Rf 16.07% 2.13 0.13 0.22 -0.26 0.0031 0.0002 0.1093 0.0625 0.1853 0.0000 48.87%
B/H-Rf 3.78% 1.28 -0.08 0.07 0.03 0.0730 0.0000 0.0095 0.1336 0.6546 0.0000 53.52%

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