Bank Artha Graha Internasional

LAMPIRAN 1. Estimasi Regresi CAPM pada 23 Perusahaan Perbankan

Terbuka

Bank Artha Graha Internasional

Dependent Variable: ARTHAGRAHA Method: Least Squares Date: 03/16/14 Time: 21:33 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.003299 0.011835 -0.278728 0.7813 RMRF 0.734865 0.164115 4.477756 0.0000

R-squared 0.222657 Mean dependent var -0.000105 Adjusted R-squared 0.211552 S.D. dependent var 0.112886 S.E. of regression 0.100237 Akaike info criterion -1.735177 Sum squared resid 0.703320 Schwarz criterion -1.671936 Log likelihood 64.46638 F-statistic 20.05030 Durbin-Watson stat 2.272269 Prob(F-statistic) 0.000029

Bank Central Asia

Dependent Variable: BCA Method: Least Squares Date: 03/16/14 Time: 21:34 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.009952 0.008359 1.190556 0.2378 RMRF 0.738672 0.115925 6.371999 0.0000 R-squared 0.367102 Mean dependent var 0.013163 Adjusted R-squared 0.358061 S.D. dependent var 0.088371 S.E. of regression 0.070804 Akaike info criterion -2.430424 Sum squared resid 0.350922 Schwarz criterion -2.367184 Log likelihood 89.49527 F-statistic 40.60237 Durbin-Watson stat 2.105923 Prob(F-statistic) 0.000000

Lanjutan LAMPIRAN 1

Bank Negara Indonesia

Dependent Variable: BNI Method: Least Squares Date: 03/16/14 Time: 21:35 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.011376 0.010691 1.064053 0.2910 RMRF 1.615518 0.148263 10.89627 0.0000 R-squared 0.629097 Mean dependent var 0.018397 Adjusted R-squared 0.623799 S.D. dependent var 0.147640 S.E. of regression 0.090555 Akaike info criterion -1.938325 Sum squared resid 0.574020 Schwarz criterion -1.875084 Log likelihood 71.77970 F-statistic 118.7287 Durbin-Watson stat 2.111603 Prob(F-statistic) 0.000000

Bank Rakyat Indonesia

Dependent Variable: BRI Method: Least Squares Date: 03/16/14 Time: 21:35 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.009048 0.008385 1.079008 0.2843 RMRF 1.292524 0.116282 11.11541 0.0000 R-squared 0.638341 Mean dependent var 0.014665 Adjusted R-squared 0.633174 S.D. dependent var 0.117264 S.E. of regression 0.071022 Akaike info criterion -2.424266 Sum squared resid 0.353090 Schwarz criterion -2.361026 Log likelihood 89.27359 F-statistic 123.5523 Durbin-Watson stat 2.120347 Prob(F-statistic) 0.000000

Lanjutan LAMPIRAN 1

Bank Bukopin

Dependent Variable: BUKOPIN Method: Least Squares Date: 03/16/14 Time: 21:35 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.002240 0.009934 0.225531 0.8222 RMRF 1.393291 0.137753 10.11444 0.0000 R-squared 0.593736 Mean dependent var 0.008295 Adjusted R-squared 0.587933 S.D. dependent var 0.131068 S.E. of regression 0.084136 Akaike info criterion -2.085386 Sum squared resid 0.495518 Schwarz criterion -2.022145 Log likelihood 77.07389 F-statistic 102.3019 Durbin-Watson stat 2.235810 Prob(F-statistic) 0.000000

Bank Bumi Arta

Dependent Variable: BUMIARTA Method: Least Squares Date: 03/16/14 Time: 21:36 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.006784 0.013461 -0.503953 0.6159 RMRF 1.353734 0.186676 7.251772 0.0000

R-squared 0.428983 Mean dependent var -0.000901 Adjusted R-squared 0.420825 S.D. dependent var 0.149818 S.E. of regression 0.114017 Akaike info criterion -1.477554 Sum squared resid 0.909991 Schwarz criterion -1.414314 Log likelihood 55.19195 F-statistic 52.58820 Durbin-Watson stat 2.290205 Prob(F-statistic) 0.000000

Lanjutan LAMPIRAN 1

Bank Capital Indonesia

Dependent Variable: CAPITAL Method: Least Squares Date: 03/16/14 Time: 21:36 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.000488 0.015096 0.032297 0.9743 RMRF 0.147273 0.209344 0.703495 0.4841 R-squared 0.007020 Mean dependent var 0.001128 Adjusted R-squared -0.007165 S.D. dependent var 0.127406 S.E. of regression 0.127862 Akaike info criterion -1.248345 Sum squared resid 1.144409 Schwarz criterion -1.185105 Log likelihood 46.94043 F-statistic 0.494906 Durbin-Watson stat 2.267624 Prob(F-statistic) 0.484081

Bank CIMB Niaga

Dependent Variable: CIMB Method: Least Squares Date: 03/16/14 Time: 21:36 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.000276 0.010534 -0.026232 0.9791 RMRF 1.239190 0.146074 8.483289 0.0000

R-squared 0.506925 Mean dependent var 0.005109 Adjusted R-squared 0.499881 S.D. dependent var 0.126159 S.E. of regression 0.089218 Akaike info criterion -1.968076 Sum squared resid 0.557193 Schwarz criterion -1.904836 Log likelihood 72.85075 F-statistic 71.96619 Durbin-Watson stat 1.925571 Prob(F-statistic) 0.000000

Lanjutan LAMPIRAN 1

Bank Danamon Indonesia

Dependent Variable: DANAMON Method: Least Squares Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.009473 0.010934 -0.866361 0.3893 RMRF 1.018317 0.151633 6.715685 0.0000

R-squared 0.391835 Mean dependent var -0.005048 Adjusted R-squared 0.383147 S.D. dependent var 0.117919 S.E. of regression 0.092613 Akaike info criterion -1.893385 Sum squared resid 0.600404 Schwarz criterion -1.830145 Log likelihood 70.16187 F-statistic 45.10042 Durbin-Watson stat 2.429938 Prob(F-statistic) 0.000000

Bank Ekonomi Raharja

Dependent Variable: EKONOMI Method: Least Squares Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.010180 0.020287 0.501796 0.6174 RMRF -0.007589 0.281333 -0.026974 0.9786

R-squared 0.000010 Mean dependent var 0.010147 Adjusted R-squared -0.014275 S.D. dependent var 0.170618 S.E. of regression 0.171831 Akaike info criterion -0.657224 Sum squared resid 2.066816 Schwarz criterion -0.593984 Log likelihood 25.66008 F-statistic 0.000728 Durbin-Watson stat 2.279081 Prob(F-statistic) 0.978557

Lanjutan LAMPIRAN 1

Bank ICB Bumi Putra

Dependent Variable: ICB Method: Least Squares Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.013088 0.023496 0.557006 0.5793 RMRF 0.166534 0.325833 0.511104 0.6109 R-squared 0.003718 Mean dependent var 0.013811 Adjusted R-squared -0.010515 S.D. dependent var 0.197972 S.E. of regression 0.199010 Akaike info criterion -0.363539 Sum squared resid 2.772349 Schwarz criterion -0.300298 Log likelihood 15.08739 F-statistic 0.261227 Durbin-Watson stat 2.335077 Prob(F-statistic) 0.610886

Bank QNB Kesawan

Dependent Variable: KESAWAN Method: Least Squares Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.003650 0.011788 -0.309667 0.7577 RMRF -0.078039 0.163468 -0.477397 0.6346

R-squared 0.003245 Mean dependent var -0.003989 Adjusted R-squared -0.010994 S.D. dependent var 0.099298 S.E. of regression 0.099842 Akaike info criterion -1.743066 Sum squared resid 0.697793 Schwarz criterion -1.679826 Log likelihood 64.75039 F-statistic 0.227908 Durbin-Watson stat 2.433682 Prob(F-statistic) 0.634566

Lanjutan LAMPIRAN 1

Bank Mandiri

Dependent Variable: MANDIRI Method: Least Squares Date: 03/16/14 Time: 21:37 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.009908 0.007756 1.277494 0.2056 RMRF 1.394726 0.107552 12.96791 0.0000 R-squared 0.706088 Mean dependent var 0.015969 Adjusted R-squared 0.701889 S.D. dependent var 0.120312 S.E. of regression 0.065690 Akaike info criterion -2.580355 Sum squared resid 0.302062 Schwarz criterion -2.517114 Log likelihood 94.89278 F-statistic 168.1666 Durbin-Watson stat 2.388551 Prob(F-statistic) 0.000000

Bank Mayapada Internasional

Dependent Variable: MAYA Method: Least Squares Date: 03/16/14 Time: 21:38 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.018587 0.025853 0.718974 0.4746 RMRF 0.155391 0.358508 0.433439 0.6660 R-squared 0.002677 Mean dependent var 0.019263 Adjusted R-squared -0.011571 S.D. dependent var 0.217711 S.E. of regression 0.218967 Akaike info criterion -0.172404 Sum squared resid 3.356269 Schwarz criterion -0.109163 Log likelihood 8.206529 F-statistic 0.187869 Durbin-Watson stat 2.031804 Prob(F-statistic) 0.666029

Lanjutan LAMPIRAN 1

Bank Mutiara

Dependent Variable: MUTIARA Method: Least Squares Date: 03/16/14 Time: 21:38 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.009548 0.005698 -1.675752 0.0982 RMRF 0.155034 0.079010 1.962201 0.0537

R-squared 0.052136 Mean dependent var -0.008874 Adjusted R-squared 0.038595 S.D. dependent var 0.049216 S.E. of regression 0.048257 Akaike info criterion -3.197151 Sum squared resid 0.163014 Schwarz criterion -3.133911 Log likelihood 117.0974 F-statistic 3.850231 Durbin-Watson stat 2.529536 Prob(F-statistic) 0.053716

Bank OCBC NISP

Dependent Variable: NISP Method: Least Squares Date: 03/16/14 Time: 21:38 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.006652 0.017680 0.376261 0.7079 RMRF 0.186517 0.245174 0.760753 0.4494 R-squared 0.008200 Mean dependent var 0.007463 Adjusted R-squared -0.005969 S.D. dependent var 0.149301 S.E. of regression 0.149746 Akaike info criterion -0.932372 Sum squared resid 1.569664 Schwarz criterion -0.869131 Log likelihood 35.56539 F-statistic 0.578745 Durbin-Watson stat 2.658210 Prob(F-statistic) 0.449360

Lanjutan LAMPIRAN 1

Bank Nusantara Parahyangan

Dependent Variable: NUSANTARA Method: Least Squares Date: 03/16/14 Time: 21:38 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.005885 0.004281 -1.374745 0.1736 RMRF 0.029717 0.059362 0.500605 0.6182

R-squared 0.003567 Mean dependent var -0.005756 Adjusted R-squared -0.010667 S.D. dependent var 0.036065 S.E. of regression 0.036256 Akaike info criterion -3.769013 Sum squared resid 0.092017 Schwarz criterion -3.705772 Log likelihood 137.6845 F-statistic 0.250606 Durbin-Watson stat 2.309320 Prob(F-statistic) 0.618219

Bank PAN Indonesia

Dependent Variable: PAN Method: Least Squares Date: 03/16/14 Time: 21:39 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.001178 0.011616 -0.101402 0.9195 RMRF 0.980608 0.161079 6.087753 0.0000

R-squared 0.346166 Mean dependent var 0.003084 Adjusted R-squared 0.336825 S.D. dependent var 0.120811 S.E. of regression 0.098383 Akaike info criterion -1.772518 Sum squared resid 0.677542 Schwarz criterion -1.709277 Log likelihood 65.81064 F-statistic 37.06074 Durbin-Watson stat 1.805267 Prob(F-statistic) 0.000000

Lanjutan LAMPIRAN 1

Bank Permata

Dependent Variable: PERMATA Method: Least Squares Date: 03/16/14 Time: 21:39 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.001737 0.010654 0.163038 0.8710 RMRF 1.036133 0.147744 7.013030 0.0000 R-squared 0.412666 Mean dependent var 0.006240 Adjusted R-squared 0.404275 S.D. dependent var 0.116914 S.E. of regression 0.090238 Akaike info criterion -1.945345 Sum squared resid 0.570004 Schwarz criterion -1.882104 Log likelihood 72.03241 F-statistic 49.18259 Durbin-Watson stat 2.046656 Prob(F-statistic) 0.000000

Bank Himpunan Saudara 1906

Dependent Variable: SAUDARA Method: Least Squares Date: 03/16/14 Time: 21:39 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.034919 0.025140 1.388956 0.1692 RMRF 1.296933 0.348630 3.720083 0.0004 R-squared 0.165067 Mean dependent var 0.040555 Adjusted R-squared 0.153139 S.D. dependent var 0.231387 S.E. of regression 0.212934 Akaike info criterion -0.228283 Sum squared resid 3.173865 Schwarz criterion -0.165043 Log likelihood 10.21820 F-statistic 13.83902 Durbin-Watson stat 2.007468 Prob(F-statistic) 0.000398

Lanjutan LAMPIRAN 1

Bank of India Indonesia

Dependent Variable: SWADESI Method: Least Squares Date: 03/16/14 Time: 21:40 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.011934 0.021090 0.565847 0.5733 RMRF 0.172193 0.292462 0.588768 0.5579 R-squared 0.004928 Mean dependent var 0.012682 Adjusted R-squared -0.009288 S.D. dependent var 0.177805 S.E. of regression 0.178628 Akaike info criterion -0.579634 Sum squared resid 2.233566 Schwarz criterion -0.516393 Log likelihood 22.86683 F-statistic 0.346648 Durbin-Watson stat 1.819661 Prob(F-statistic) 0.557912

Bank Victoria Internasional

Dependent Variable: VICTORIA Method: Least Squares Date: 03/16/14 Time: 21:40 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.003040 0.014102 -0.215565 0.8300 RMRF 0.639364 0.195554 3.269497 0.0017

R-squared 0.132478 Mean dependent var -0.000261 Adjusted R-squared 0.120085 S.D. dependent var 0.127329 S.E. of regression 0.119439 Akaike info criterion -1.384632 Sum squared resid 0.998603 Schwarz criterion -1.321391 Log likelihood 51.84675 F-statistic 10.68961 Durbin-Watson stat 2.489031 Prob(F-statistic) 0.001673

Lanjutan LAMPIRAN 1

Bank Windu Kentjana Internasional

Dependent Variable: WINDU Method: Least Squares Date: 03/16/14 Time: 21:40 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.002773 0.019795 0.140087 0.8890 RMRF 0.433029 0.274506 1.577482 0.1192 R-squared 0.034329 Mean dependent var 0.004655 Adjusted R-squared 0.020534 S.D. dependent var 0.169410 S.E. of regression 0.167661 Akaike info criterion -0.706357 Sum squared resid 1.967723 Schwarz criterion -0.643116 Log likelihood 27.42884 F-statistic 2.488449 Durbin-Watson stat 2.068951 Prob(F-statistic) 0.119193

market beta excess return

Ekonomi Raharja -0.007589 0.010147135

ICB 0.166534 0.0138113 Capital Indonesia 0.147273 0.001127582 BCA 0.738672 0.013162597 Bukopin 1.393291 0.008295334 BNI 1.615518 0.018397082 Nusantara 0.029717 -0.005755655 BRI 1.292524 0.014664879 Mutiara 0.155034 -0.008873918 Danamon 1.018317 -0.005047739 Kesawan -0.078039 -0.003989479 Mandiri 1.394726 0.015969157 Bumi Arta 1.353734 -0.000900862 CIMB 1.23919 0.005108991 Permata 1.036133 0.006239869 Swadesi 0.172193 0.01268196 Victoria 0.639364 -0.000261261 Artha Graha 0.734865 -0.000105023 Maya 0.155391 0.019262601 Windu 0.433029 0.004654899 NISP 0.186517 0.007462808 PAN 0.980608 0.003083709 SAUDARA 1.296933 0.04055492

LAMPIRAN 2. Daftar Perusahaan Berdasarkan Kriteria No Kode Saham Nama Perusahaan Kriteria Memenuhi Tidak Memenuhi

16. BJTM PT Bank Pembangunan Daerah Jawa Timur, Tbk √

29. MAYA PT Bank Mayapada Internasional, Tbk √

INPC PT Bank Artha Graha Internasional, Tbk √

27. BVIC PT Bank Victoria Internasional, Tbk √ 28.

26. BTPN PT Bank Tabungan Pensiunan Nasional, Tbk √

25. BSWD PT Bank of India Indonesia, Tbk √

24. BSIM PT Bank Sinar Mas, Tbk √

23. BNLI PT Bank Permata, Tbk √

22. BNII PT Bank Internasional Indonesia, Tbk √

21. BNGA PT Bank CIMB Niaga, Tbk √

20. BNBA PT Bank Bumi Arta, Tbk √

19. BMRI PT Bank Mandiri (Persero), Tbk √

18. BMAS PT Bank Maspion Indonesia, Tbk √

17. BKSW PT Bank QNB Kesawan, Tbk √

1. AGRO PT Bank Rakyat Indonesia Agro Niaga, Tbk √

14. BEKS PT Bank Pundi Indonesia, Tbk √

13. BDMN PT Bank Danamon Indonesia, Tbk √

12. BCIC PT Bank Mutiara, Tbk √

11. BBTN PT Bank Tabungan Negara (Persero), Tbk √

10. BBRI PT Bank Rakyat Indonesia (Persero), Tbk √

9. BBNP PT Bank Nusantara Parahyangan, Tbk √

8. BBNI PT Bank Negara Indonesia (Persero), Tbk √

7. BBMD PT Bank Mestika Dharma, Tbk √

6. BBKP PT Bank Bukopin, Tbk √

5. BBCA PT Bank Central Asia, Tbk √

4. BAEK PT Bank Ekonomi Raharja, Tbk √

3. BACA PT Bank Capital Indonesia, Tbk √

2. BABP PT Bank ICB Bumiputera, Tbk √

15. BJBR PT Bank Jabar Banten, Tbk √

Lanjutan LAMPIRAN 2.

30. MCOR PT Bank Windu Kentjana Internasional, Tbk √

31. MEGA PT Bank Mega, Tbk √

32. NAGA PT Bank Mitraniaga, Tbk √

33. NISP PT Bank OCBC NISP, Tbk √

34. NOBU PT Bank National Nobu, Tbk √

35. PNBN PT Bank PAN Indonesia, Tbk √

36. PNBS PT Bank PAN Indonesia Syariah, Tbk √

37. SDRA PT Bank Himpunan Saudara 1906, Tbk √

LAMPIRAN 3. Jumlah Perusahaan pada Tiap Portofolio Tahun S/L S/H B/L B/H

2008 3 8 8 3

2009 4 7 7 4

2010 3 8 8 3

2011 1 10

2012 4 7 7 4

2013 4 7 7 4

Rata-rata 3,167 7,833 7,833 3,167

LAMPIRAN 4. Average Monthly Returns pada Portofolio Berdasarkan Ukuran dan Nilai Book-to-Market Perusahaan Bulan, Tahun S/L S/H B/L B/H

Mar 1, 2010 0.1291 0.044929 0.150272 0.093583 Apr 1, 2010 0.001639 0.103649 0.084327 0.145043

Sep 5, 2011 -0.06209 -0.09703 -0.18841

Jul 1, 2011 0.028169 -0.00664 0.036201 0.217397 Aug 1, 2011 -0.06849 0.026774 -0.07397 -0.17858

May 2, 2011 0.027778 0.059644 -0.05244 0.02778 Jun 1, 2011 -0.04054 -0.01486 -0.00315 -0.04386

Mar 1, 2011 -0.01429 0.031246 0.093325 0.214303 Apr 1, 2011 0.043478 -0.01523 0.004472 0.058811

Jan 3, 2011 -0.33654 -0.06483 -0.09133 -0.07692 Feb 1, 2011 0.014493 -0.02438 0.043637 -0.06667

Nov 1, 2010 0.005196 -0.05464 -0.05362 0.08231 Dec 1, 2010 0.063752 0.020643 0.010725 0.050113

Sep 1, 2010 0.006171 0.135373 0.103988 0.309302 Oct 1, 2010 0.044697 0.109957 -0.00079 -0.02925

Jul 1, 2010 0.014392 0.030735 0.021788 0.184292 Aug 2, 2010 -0.02003 0.008394 0.010615 0.088681

May 3, 2010 -0.04076 -0.06556 -0.04979 -0.0198 Jun 1, 2010 0.025703 -0.01315 0.027285 0.014965

Feb 1, 2008 0.019231 -0.03003 0.039439 0.001519 Mar 3, 2008 0.030303 -0.10486 -0.0618 -0.07207

Nov 2, 2009 0.002551 0.132607 0.025517 0.008535 Dec 1, 2009 -0.01515 -0.13344 -0.06017 0.015247

Sep 1, 2009 -0.02303 0.264469 0.040122 0.180288 Oct 1, 2009 0.014605 0.022796 -0.01407 -0.10431

Jul 1, 2009 -0.01502 0.148667 0.040099 0.126177 Aug 3, 2009 -0.00965 -0.02749 0.040374 0.059762

May 1, 2009 0.140381 0.065251 0.054041 0.104744 Jun 1, 2009 -0.0038 0.091181 0.036552 0.061184

Mar 2, 2009 -0.03788 0.079678 0.117808 0.133598 Apr 1, 2009 0.034371 0.200586 0.135133 0.358931

Jan 5, 2009 -0.03635 -0.0698 -0.06917 -0.00867 Feb 2, 2009 -0.04212 0.012444 -0.0332 -0.11839

Nov 3, 2008 -0.06222 0.011549 -0.0079 0.014549 Dec 1, 2008 0.02886 0.086002 0.124806 0.229578

Aug 29, 2008 -0.15591 0.117714 0.055445 -0.04521 Sep 1, 2008 0.147768 -0.20182 -0.11892 -0.16032 Oct 6, 2008 0.119048 -0.15508 -0.15498 -0.39825

Jun 2, 2008 -0.08889 -0.07144 -0.03218 0.073128 Jul 1, 2008 -0.03931 0.128965 0.136791

Apr 1, 2008 -0.04653 -0.0671 -0.05899 -0.10071 May 2, 2008 0.06734 0.02202 0.02327 0.033739

Jan 4, 2010 0.02365 0.084436 0.065642 0.094556 Feb 1, 2010 -0.08798 -0.03797 -0.00405 -0.02602

Lanjutan LAMPIRAN 4.

Oct 3, 2011 0.029412 0.057901 0.072421 0.214295 Nov 1, 2011 -0.01429 0.092057 -0.04815 -0.11765

Dec 1, 2011 0.028986 -0.01244 0.013588 -0.03334 Jan 2, 2012 0.115244 0.058546 0.06315 0.043351

Feb 1, 2012 0.139 0.021388 0.026035 0.024504 Mar 1, 2012 0.155172 0.008817 0.054721 -0.00772

Apr 2, 2012 0.049651 0.053832 0.024771 0.06665 May 1, 2012 0.103656 -0.05623 -0.04591 -0.08057

Jun 1, 2012 -0.01501 -0.02848 0.043566 -0.0133 Jul 2, 2012 -0.08363 0.010995 0.036133 0.001899

Aug 1, 2012 -0.04428 -0.00476 -0.03484 -0.02553 Sep 3, 2012 -0.00657 0.011832 0.04343 0.010514 Oct 1, 2012 0.015901 -0.00172 0.07754 0.013194

Nov 1, 2012 0.034986 0.008638 -0.02212 -0.04431 Dec 3, 2012 -0.01143 -0.00188 0.019225 -0.03488

Jan 1, 2013 0.007288 0.1056 0.125805 0.075668 Feb 1, 2013 -0.01567 -0.03061 0.064758 0.180749

Mar 1, 2013 0.078887 0.053693 -0.05276 0.046179 Apr 1, 2013 0.137895 0.008104 -0.01526 0.008493

May 1, 2013 -0.05461 0.11313 -0.06066 -0.00347 Jun 3, 2013 -0.11345 -0.0546 -0.05625 -0.12965

Jul 1, 2013 -0.10897 -0.03301 0.024204 -0.0532 Aug 1, 2013 -0.05929 -0.04296 -0.17395 -0.12152

Sep 2, 2013 -0.0071 -0.0179 0.124492 0.058853 Oct 1, 2013 -0.07444 0.086674 0.109693 0.046867

Nov 1, 2013 0.012051 -0.0175 -0.07813 -0.07512 Dec 2, 2013 0.019444 -0.02879 0.06839 -0.00165

Jan 1, 2014 0.152324 -0.01987 0.029399 0.004969 Rata-rata 0.004981 0.013771 0.012633 0.02133

LAMPIRAN 5. Statistik Deskriptif Variabel Bebas

MARKET HML Mean 0.004354 Mean

3.41E-05 Median 0.014481 Median -0.004744 Maximum 0.195065 Maximum 0.366445 Minimum -0.322136 Minimum -0.311984 Std. Dev. 0.072486

Std. Dev. 0.095274 Skewness -1.120754

Skewness 0.105371 Kurtosis 7.798704

Kurtosis 6.999472 Jarque-Bera 84.15575

Jarque-Bera 48.12057 Probability 0.000000

Probability 0.000000 Sum 0.313520

Sum 0.002458 Sum Sq. Dev. 0.373054

Sum Sq. Dev. 0.644475 Observations

72 Observations

72 SMB Mean -0.002521 Median -0.007475 Maximum 0.272662 Minimum -0.227041 Std. Dev. 0.074861 Skewness 0.261610 Kurtosis 5.267006 Jarque-Bera 16.23922 Probability 0.000298 Sum -0.181512 Sum Sq. Dev. 0.397896 Observations

LAMPIRAN 6. Statistik Deskriprif Portofolio Pembentuk Variabel Bebas

IND_SL

IND_SH Mean 0.011376

Mean 0.012707 Median 0.001313

Median 0.001711 Maximum 0.288043

Maximum 0.308548 Minimum -0.336538

Minimum -0.239776 Std. Dev. 0.095907

Std. Dev. 0.086164 Skewness -0.159569

Skewness 0.296584 Kurtosis 5.631187

Kurtosis 4.602297 Jarque-Bera 21.07498

Jarque-Bera 8.757612 Probability 0.000027

Probability 0.012540 Sum 0.819102

Sum 0.914909 Sum Sq. Dev. 0.653063

Sum Sq. Dev. 0.527123 Observations

72 Observations

72 IND_SM Mean 0.007466 Median -0.004339 Maximum 0.370372 Minimum -0.155305 Std. Dev. 0.080721 Skewness 1.966010 Kurtosis 8.846081 Jarque-Bera 148.9123 Probability 0.000000 Sum 0.537533 Sum Sq. Dev. 0.462630 Observations

Lanjutan LAMPIRAN 6

IND_BL

IND_BH Mean 0.011126 Mean 0.009864

Median 0.000000 Median 0.011481

Maximum 0.736116 Maximum 0.196951

Minimum -0.474225 Minimum -0.264116

Std. Dev. 0.132332 Std. Dev. 0.079553

Skewness 1.691614 Skewness -0.435091

Kurtosis 16.21599 Kurtosis 4.029826 Jarque-Bera 5.453278 Jarque-Bera 558.3261 Probability 0.065439 Probability 0.000000

Sum 0.710173 Sum 0.801065

Sum Sq. Dev. 1.243332 Sum Sq. Dev. 0.449333

Observations

72 Observations

72 IND_BM Mean 0.018123 Median 0.014461 Maximum 0.205975 Minimum -0.165544 Std. Dev. 0.080152 Skewness 0.041869 Kurtosis 2.521283 Jarque-Bera 0.708546 Probability 0.701683 Sum 1.304843 Sum Sq. Dev. 0.456129 Observations

LAMPIRAN 7. Hasil Estimasi CAPM Berdasarkan Portofolio

Dependent Variable: S_L Method: Least Squares Date: 07/05/14 Time: 18:02 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.001357 0.009195 -0.147567 0.8831 MARKET 0.145880 0.127510 1.144060 0.2565

R-squared 0.018355 Mean dependent var -0.000722 Adjusted R-squared 0.004331 S.D. dependent var 0.078050 S.E. of regression 0.077881 Akaike info criterion -2.239885 Sum squared resid 0.424581 Schwarz criterion -2.176644 Log likelihood 82.63586 F-statistic 1.308874 Durbin-Watson stat 1.828376 Prob(F-statistic) 0.256496 Dependent Variable: S_H Method: Least Squares Date: 07/05/14 Time: 18:02 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.004997 0.007012 0.712606 0.4785 MARKET 0.705254 0.097232 7.253349 0.0000 R-squared 0.429089 Mean dependent var 0.008068 Adjusted R-squared 0.420933 S.D. dependent var 0.078042 S.E. of regression 0.059387 Akaike info criterion -2.782091 Sum squared resid 0.246879 Schwarz criterion -2.718850 Log likelihood 102.1553 F-statistic 52.61107 Durbin-Watson stat 2.547522 Prob(F-statistic) 0.000000

Lanjutan LAMPIRAN 7

Dependent Variable: B_L Method: Least Squares Date: 07/05/14 Time: 18:03 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.003788 0.005488 0.690184 0.4924 MARKET 0.721577 0.076109 9.480874 0.0000 R-squared 0.562191 Mean dependent var 0.006930 Adjusted R-squared 0.555936 S.D. dependent var 0.069759 S.E. of regression 0.046486 Akaike info criterion -3.271955 Sum squared resid 0.151265 Schwarz criterion -3.208714 Log likelihood 119.7904 F-statistic 89.88697 Durbin-Watson stat 1.988063 Prob(F-statistic) 0.000000 Dependent Variable: B_H Method: Least Squares Date: 07/05/14 Time: 18:04 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.009580 0.007699 1.244326 0.2175 MARKET 1.388696 0.106761 13.00750 0.0000 R-squared 0.707352 Mean dependent var 0.015627 Adjusted R-squared 0.703171 S.D. dependent var 0.119687 S.E. of regression 0.065208 Akaike info criterion -2.595092 Sum squared resid 0.297644 Schwarz criterion -2.531851 Log likelihood 95.42332 F-statistic 169.1950 Durbin-Watson stat 2.191512 Prob(F-statistic) 0.000000

LAMPIRAN 8. Uji Normalitas CAPM

0.3 -0.2 -0.1 -0.0
0.1 -0.0

0.1

0.2 Series: Residuals Sample 2008M02 2014M01 Observations 72 Mean 3.85e-19 Median -0.014248 Maximum 0.219911 Minimum -0.174628 Std. Dev. 0.058968 Skewness 0.749138 Kurtosis 5.450348 Jarque-Bera 24.74712 Probability 0.000004

0.1 Series: Residuals Sample 2008M02 2014M01 Observations 72 Mean -7.71e-19 Median -0.001090 Maximum 0.164998 Minimum -0.328214 Std. Dev. 0.077331 Skewness -0.599261 Kurtosis 6.541282 Jarque-Bera 41.93140 Probability 0.000000

0.15 Series: Residuals Sample 2008M02 2014M01 Observations 72 Mean -3.47e-18 Median -0.004885 Maximum 0.156405 Minimum -0.098986 Std. Dev. 0.064747 Skewness 0.493600 Kurtosis 2.355366 Jarque-Bera 4.170347 Probability 0.124286

0.05

0.10

0.05

0.10

Series: Residuals Sample 2008M02 2014M01 Observations 72 Mean -1.42e-18 Median -0.004205 Maximum 0.136844 Minimum -0.114249 Std. Dev. 0.046157 Skewness 0.367616 Kurtosis 3.658753 Jarque-Bera 2.923560 Probability 0.231823

Lanjutan LAMPIRAN 8.

0.10 -0.05 -0.00
0.10 -0.05 -0.00

LAMPIRAN 9. Hasil Estimasi Model Fama-French

Dependent Variable: S_L Method: Least Squares Date: 07/05/14 Time: 18:03 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C -0.002641 0.006399 -0.412692 0.6811 MARKET 0.720581 0.113464 6.350718 0.0000 SMB 0.477222 0.118945 4.012119 0.0002

HML -0.452781 0.083648 -5.412919 0.0000 R-squared 0.538651 Mean dependent var -0.000722 Adjusted R-squared 0.518297 S.D. dependent var 0.078050 S.E. of regression 0.054171 Akaike info criterion -2.939404 Sum squared resid 0.199543 Schwarz criterion -2.812923 Log likelihood 109.8186 F-statistic 26.46461 Durbin-Watson stat 1.692857 Prob(F-statistic) 0.000000 Dependent Variable: S_H Method: Least Squares Date: 07/05/14 Time: 18:03 Sample: 2008M02 2014M01 Included observations: 72 Variable Coefficient Std. Error t-Statistic Prob.

C 0.006194 0.004759 1.301491 0.1975 MARKET 0.791631 0.084384 9.381314 0.0000 SMB 0.631055 0.088460 7.133818 0.0000 HML 0.510541 0.062209 8.206834 0.0000 R-squared 0.744778 Mean dependent var 0.008068 Adjusted R-squared 0.733518 S.D. dependent var 0.078042 S.E. of regression 0.040287 Akaike info criterion -3.531633 Sum squared resid 0.110366 Schwarz criterion -3.405152 Log likelihood 131.1388 F-statistic 66.14479 Durbin-Watson stat 2.284060 Prob(F-statistic) 0.000000

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