Team project 2017 Dony Pratidana S. Hum Bima Agus Setyawan S. IIP

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1 Hak cipta dan penggunaan kembali: Lisensi ini mengizinkan setiap orang untuk menggubah, memperbaiki, dan membuat ciptaan turunan bukan untuk kepentingan komersial, selama anda mencantumkan nama penulis dan melisensikan ciptaan turunan dengan syarat yang serupa dengan ciptaan asli. Copyright and reuse: This license lets you remix, tweak, and build upon work non-commercially, as long as you credit the origin creator and license it on your new creations under the identical terms. Team project 2017 Dony Pratidana S. Hum Bima Agus Setyawan S. IIP

2 Daftar nama sampel perusahaan: LAMPIRAN No KODE Nama Perusahaan 1 AALI PT Astra Agro Lestari Tbk 2 ADHI PT Adhi Karya (Persero) Tbk 3 ADMG PT Polychem Indonesia Tbk 4 AIMS PT Akbar Indo Makmur Stimec Tbk 5 AISA PT Tiga Pilar Sejahtera Food Tbk 6 AKKU PT Aneka Kemasindo Utama Tbk 7 AKPI PT Argha Karya Prima Industry Tbk 8 AKRA PT AKR Corporindo Tbk 9 ALFA PT Alfa Retalindo Tbk 10 ALKA PT Alakasa Industrindo Tbk 11 ALMI PT Alumindo Light Metal Industry Tbk 12 AMFG PT Asahimas Flat Glass Tbk 13 ANTA PT Anta Express Tour & Travel Tbk 14 ANTM PT Aneka Tambang (Persero) Tbk 15 APLI PT Asiaplast Industries Tbk 16 AQUA PT Aqua Golden Mississipi Tbk 17 ARNA PT Arwana Citramulia Tbk 18 ARTI PT Ratu Prabu Energy Tbk 19 ASGR PT Astra Graphia Tbk 20 ASII PT Astra International Tbk 21 ATPK PT ATPK Resources Tbk 22 AUTO PT Astra Otoparts Tbk 23 BATA PT Sepatu Bata Tbk 24 BAYU PT BAYU Buana Tbk 25 BHIT PT Bhakti Investama Tbk 26 BIPP PT Bhuwanatala Indah Permai Tbk 27 BKSL PT Sentul City Tbk 28 BLTA PT Berlian Laju Tanker Tbk 29 BMSR PT Bintang Mitra Semestaraya Tbk 30 BMTR PT Global Mediacom Tbk 31 BNBR PT Bakrie & Brothers Tbk 32 BRAM PT Indo Kordsa Tbk 33 BRNA PT Berlina Tbk 34 BRPT PT Barito Pasific Tbk 35 BTEK PT Bumi Teknokultura Unggul Tbk 36 BTON PT Betonjaya Manunggal Tbk 90

3 No KODE Nama Perusahaan 37 BUDI PT Budi Acid Jaya Tbk 38 BUMI PT Bumi Resources Tbk 39 CEKA PT Cahaya Kalbar Tbk 40 CENT PT Centrin Online Tbk 41 CITA PT Cita Mineral Investo Tbk 42 CKRA PT Citra Kebun Raya Agni Tbk 43 CLPI PT Colorpak Indonesia Tbk 44 CMNP PT Citra Marga Nusaphala Persada Tbk 45 CMPP PT Ventris Multi Persada Pratama Tbk 46 CNKO PT Central Korporindo Internasional Tbk 47 CNTX PT Century Textile Industry (CENTEX) Tbk 48 CPDW PT Cipendawa Tbk 49 CPIN PT Charoen Pokphand Indonesia Tbk 50 CTBN PT Citra Turbindo Tbk 51 CTRS PT Ciputra Surya Tbk 52 DART PT Duta Anggada Realty Tbk 53 DAVO PT Davomas Abadi Tbk 54 DLTA PT Delta Djakarta Tbk 55 DNET PT Dyviacom Intrabumi Tbk 56 DOID PT Delta Dunia Makmur Tbk 57 DPNS PT Duta Pertiwi Nusantara Tbk 58 DSFI PT Dharma Samudra Fishing Industries Tbk 59 DUTI PT Duta Pertiwi Tbk 60 DVLA PT Darya-Varia Laboratoria Tbk 61 DYNA PT Dynaplast Tbk 62 EKAD PT Ekadharma International Tbk 63 ELTY PT Bakrie Land Development Tbk 64 ENRG PT Energi Mega Persada Tbk 65 EPMT PT Enseval Putera Megatrading Tbk 66 ESTI PT Ever Shine Textile Industry Tbk 67 ETWA PT Eterindo Wahanatama Tbk 68 FAST PT Fast Food Indonesia Tbk 69 FASW PT Fajar Surya Wisesa Tbk 70 FISH PT FKS Multi Agro Tbk 71 FMII PT Fortune Mate Indonesia Tbk 72 FORU PT Fortune Indonesia Tbk 73 GDYR PT Goodyear Indonesia Tbk 74 GEMA PT Gema Grahasarana Tbk 75 GGRM PT Gudang Garam Tbk 76 GJTL PT Gajah Tunggal Tbk 91

4 No KODE Nama Perusahaan 77 GMTD PT Gowa Makassar Tourism Development Tbk 78 HDTX PT Panasia Indosyntec Tbk 79 HERO PT Hero Supermarket Tbk 80 HEXA PT Hexindo Adiperkasa Tbk 81 HITS PT Humpuss Intermoda Transportasi Tbk 82 HMSP PT HM Sampoerna Tbk 83 IDKM PT Indosiar Karya Media Tbk 84 IGAR PT Kageo Igar Jaya Tbk 85 IIKP PT Inti Agri Resources Tbk 86 IKAI PT Intikeramik Alamasri Industry Tbk 87 IKBI PT Sumi Indo Kabel Tbk 88 IMAS PT Indomobil Sukses Internasional Tbk 89 INAF PT Indofarma (Persero) Tbk 90 INAI PT Indal Aluminium Industry Tbk 91 INCO PT International Nickel Indonesia Tbk 92 INDF PT Indofood Sukses Makmur Tbk 93 INDR PT Indorama Syntetics Tbk 94 INDS PT Indospring Tbk 95 INKP PT Indah Kiat Pulp & Paper Tbk 96 INTA PT Intraco Penta Tbk 97 INTP PT Indocement Tunggal Prakasa Tbk 98 ISAT PT INDOSAT Tbk 99 JECC PT Jembo Cable Company Tbk 100 JIHD PT Jakarta International Hotel & Development Tbk 101 JPFA PT JAPFA Comfeed Indonesia Tbk 102 JPRS PT Jaya Pari Steel Tbk 103 JRPT PT Jaya Real Property Tbk 104 JSPT PT Jasa Marga (Persero) Tbk 105 JTPE PT Jasuindo Tiga Perkasa Tbk 106 KAEF PT Kimia Farma (Persero) Tbk 107 KARK PT Dayaindo Resources International Tbk 108 KBLI PT KMI Wire and Cable Tbk 109 KBLM PT Kabelindo Murni Tbk 110 KDSI PT Kedawung Setia Industrial Tbk 111 KICI PT Kedaung Indah Can Tbk 112 KIJA PT Kawasan Industri Jababeka Tbk 113 KKGI PT Resources Alam Indonesia Tbk 114 KLBF PT Kalbe Farma Tbk 115 KONI PT Perdana Bangun Pusaka Tbk 116 KPIG PT Global Land Development Tbk 92

5 No KODE Nama Perusahaan 117 LAMI PT Lamicitra Nusantara Tbk 118 LAPD PT Leyand International Tbk 119 LION PT Lion Metal Works Tbk 120 LMAS PT Limas Centric Indonesia Tbk 121 LMPI PT Langgeng Makmur Industry Tbk 122 LMSH PT Lionmesh Prima Tbk 123 LPCK PT Lippo Cikarang Tbk 124 LPIN PT Multi Prima Sejahtera Tbk 125 LPKR PT Lippo Karawaci Tbk 126 LPLI PT Star Pasific Tbk 127 LSIP PT PP London Sumatra Tbk 128 LTLS PT Lautan Luas Tbk 129 MAMI PT Mas Murni Indonesia Tbk 130 MAPI PT Mitra Adiperkasa Tbk 131 MBAI PT Multibreeder Adirama Indonesia Tbk 132 MDLN PT Modernland Realty Tbk 133 MDRN PT Modern Internasional Tbk 134 MEDC PT Medco Energi International Tbk 135 MERK PT Merck Tbk 136 META PT Nusantara Infrastructure Tbk 137 MITI PT Mitra Investindo Tbk 138 MLBI PT Multi Bintang Indonesia Tbk 139 MLPL PT Multipolar Tbk 140 MPPA PT Matahari Putra Prima Tbk 141 MRAT PT Mustika Ratu Tbk 142 MTDL PT Metrodata Electronic Tbk 143 MTSM PT Metro Supermarket Realty Tbk 144 MYOR PT Mayora Indah Tbk 145 MYTX PT Apac Citra Centertex Tbk 146 NIPS PT Nipress Tbk 147 OMRE PT Indonesia Prima Property Tbk 148 PANR PT Panorama Sentrawisata Tbk 149 PBRX PT Pan Brothers Tex Tbk 150 PGAS PT Perusahaan Gas Negara (Persero) Tbk 151 PICO PT Pelangi Indah Canindo Tbk 152 PJAA PT Pembangunan Jaya Ancol Tbk 153 PLAS PT Polaris Investama Tbk 154 PLIN PT Plaza Indonesia Realty Tbk 155 PNSE PT Pudjiadi & Sons Tbk 156 POOL PT Pool Advista Indonesia Tbk 93

6 No KODE Nama Perusahaan 157 PRAS PT Prima Alloy Steel Tbk 158 PSDN PT Prasidha Aneka Niaga Tbk 159 PTBA PT Tambang Batu Bara Bukit Asam (Persero) Tbk 160 PTRA PT New Century Development Tbk 161 PTRO PT Petrosea Tbk 162 PTSP PT Pioneerindo Gourmet International Tbk 163 PUDP PT Pudjiadi Prestige Limited Tbk 164 PWON PT Pakuwon Jati Tbk 165 PYFA PT Pyridam Farma Tbk 166 RALS PT Ramayana Lestari Sentosa Tbk 167 RBMS PT Ristia Bintang Mahkotasejati Tbk 168 RDTX PT Roda Vivatex Tbk 169 RICY PT Ricky Putra Globalindo Tbk 170 RIGS PT Rig Tenders Indonesia Tbk 171 RMBA PT Bantoel International Investama Tbk 172 RODA PT Royal Oak Development Asia Tbk 173 SCCO PT Supreme Cable Manufacturing & Commerce Tbk 174 SCMA PT Surya Citra Media Tbk 175 SDPC PT Milennium Pharmacon International Tbk 176 SHID PT Hotel Sahid Jaya International Tbk 177 SIIP PT Suryainti Pertama Tbk 178 SIMA PT Siwani Makmur Tbk 179 SIPD PT Sierad Produce Tbk 180 SKLT PT Sekar Laut Tbk 181 SMAR PT SMART Tbk 182 SMCB PT Holcim Indonesia Tbk 183 SMDM PT Suryamas Dutamakmur Tbk 184 SMDR PT Samudra Indonesia Tbk 185 SMGR PT Semen Gresik (Persero) Tbk 186 SMRA PT Summarecon Agung Tbk 187 SMSM PT Selamat Sempurna Tbk 188 SOBI PT Sorini Agro Asia Corporindo Tbk 189 SONA PT Sona Topas Tourism Industry Tbk 190 SPMA PT Suparma Tbk 191 SQBI PT Taisho Pharmaceutical Indonesia Tbk 192 SQMI PT Allbond Makmur Usaha Tbk 193 SRSN PT Indo Acidatama Tbk 194 SSIA PT Surya Semesta Internusa Tbk 195 SSTM PT Sunson Textile Manufacture Tbk 196 STTP PT Siantar Top Tbk 94

7 No KODE Nama Perusahaan 197 SUGI PT Sugi Samapersada Tbk 198 SULI PT Sumalindo Lestari Jaya Tbk 199 TBLA PT Tunas Baru Lampung Tbk 200 TBMS PT Tembaga Mulia Semanan Tbk 201 TCID PT Mandom Indonesia Tbk 202 TGKA PT Tigaraksa Satria Tbk 203 TINS PT Timah (Persero) Tbk 204 TIRA PT Tira Austenite Tbk 205 TIRT PT Tirta Mahakam Resources Tbk 206 TKGA PT Toko Gunung Agung Tbk 207 TKIM PT Pabrik Kertas Tjiwi Kimia Tbk 208 TLKM PT Telekomunikasi Indonesia (Persero) Tbk 209 TMAS PT Pelayaran Tempuran Emas Tbk 210 TMPI PT Agis Tbk 211 TMPO PT Tempo Inti Media Tbk 212 TOTO PT Surya Toto Tbk 213 TRST PT Trias Sentosa Tbk 214 TSPC PT Tempo Scan Pasific Tbk 215 TURI PT Tunas Ridean Tbk 216 ULTJ PT Ultra Jaya Milk Tbk 217 UNIC PT Unggul Indah Cahaya Tbk 218 UNIT PT Nusantara Inti Corpora Tbk 219 UNSP PT Bakrie Sumatra Plantations Tbk 220 UNTR PT United Tractor Tbk 221 UNVR PT Unilever Indonesia Tbk 222 VOKS PT Voksel Electric Tbk 223 WAPO PT Wahana Phonix Mandiri Tbk 224 ZBRA PT Zebra Nusantara Tbk 95

8 Statistik Deskriptif: Tabel Deskriptif Statistik Portofolio SL, SM, SH, BL, BM dan BH tahun 2005 Descriptive Statistics N Minimum Maximum Mean Std. Deviation SL_ SM_ SH_ BL_ BM_ BH_ Valid N (listwise) 12 Tabel Deskriptif Statistik Portofolio SL, SM, SH, BL, BM dan BH tahun 2006 Descriptive Statistics N Minimum Maximum Mean Std. Deviation SL_ SM_ SH_ BL_ BM_ BH_ Valid N (listwise) 12 Tabel Deskriptif Statistik Portofolio SL, SM, SH, BL, BM dan BH tahun 2007 Descriptive Statistics N Minimum Maximum Mean Std. Deviation SL_ SM_ SH_ BL_ BM_ BH_ Valid N (listwise) 12 96

9 Tabel Deskriptif Statistik Portofolio SL, SM, SH, BL, BM dan BH tahun 2008 Descriptive Statistics N Minimum Maximum Mean Std. Deviation SL_ SM_ SH_ BL_ BM_ BH_ Valid N (listwise) 12 Tabel Deskriptif Statistik Portofolio SL, SM, SH, BL, BM dan BH tahun 2009 Descriptive Statistics N Minimum Maximum Mean Std. Deviation SL_ SM_ SH_ BL_ BM_ BH_ Valid N (listwise) 12 Tabel Deskriptif Statistik Excess Return Pasar, Rata-Rata Return SMB, dan Rata-Rata Return HML tahun 2005 Descriptive Statistics N Minimum Maximum Mean Std. Deviation Rm SMB HML Valid N (listwise) 12 97

10 Tabel Deskriptif Statistik Excess Return Pasar, Rata-Rata Return SMB, dan Rata-Rata Return HML tahun 2006 Descriptive Statistics N Minimum Maximum Mean Std. Deviation Rm SMB HML Valid N (listwise) 12 Tabel Deskriptif Statistik Excess Return Pasar, Rata-Rata Return SMB, dan Rata-Rata Return HML tahun 2007 Descriptive Statistics N Minimum Maximum Mean Std. Deviation Rm SMB HML Valid N (listwise) 12 Tabel Deskriptif Statistik Excess Return Pasar, Rata-Rata Return SMB, dan Rata-Rata Return HML tahun 2008 Descriptive Statistics N Minimum Maximum Mean Std. Deviation Rm SMB HML Valid N (listwise) 12 Tabel Deskriptif Statistik Excess Return Pasar, Rata-Rata Return SMB, dan Rata-Rata Return HML tahun 2009 Descriptive Statistics N Minimum Maximum Mean Std. Deviation Rm SMB HML Valid N (listwise) 12 98

11 Uji Normalitas Data: Hasil Uji One-Sample Kolmogorov-Smirnov Test tahun 2005 One-Sample Kolmogorov-Smirnov Test Ri05 Rm05 SMB05 HML05 N Normal Parameters a,b Mean Std. Deviation Most Extreme Absolute Differences Positive Negative Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed) a. Test distribution is Normal. b. Calculated from data. Hasil Uji One-Sample Kolmogorov-Smirnov Test tahun 2006 One-Sample Kolmogorov-Smirnov Test Ri06 Rm06 SMB06 HML06 N Normal Parameters a,b Mean Std. Deviation Most Extreme Absolute Differences Positive Negative Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed) a. Test distribution is Normal. b. Calculated from data. 99

12 Hasil Uji One-Sample Kolmogorov-Smirnov Test tahun 2007 One-Sample Kolmogorov-Smirnov Test Ri07 Rm07 SMB07 HML07 N Normal Parameters a,b Mean Std. Deviation Most Extreme Absolute Differences Positive Negative Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed) a. Test distribution is Normal. b. Calculated from data. Hasil Uji One-Sample Kolmogorov-Smirnov Test tahun 2008 One-Sample Kolmogorov-Smirnov Test Ri08 Rm08 SMB08 HML08 N Normal Parameters a,b Mean Std. Deviation Most Extreme Absolute Differences Positive Negative Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed) a. Test distribution is Normal. b. Calculated from data. 100

13 Hasil Uji One-Sample Kolmogorov-Smirnov Test tahun 2009 One-Sample Kolmogorov-Smirnov Test Ri09 Rm09 SMB09 HML09 N Normal Parameters a,b Mean Std. Deviation Most Extreme Absolute Differences Positive Negative Kolmogorov-Smirnov Z Asymp. Sig. (2-tailed) a. Test distribution is Normal. b. Calculated from data. Hasil Uji Regresi CAPM (Uji Hipotesis 1): Tahun 2005: Entered/Removed b Entered Removed Method 1 Rm05 a. Enter a. All requested variables entered. b. Dependent Variable: Ri05 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), Rm05 b. Dependent Variable: Ri05 101

14 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), Rm05 b. Dependent Variable: Ri05 a Unstandardized Standardized Collinearity Statistics B Std. Error Beta t Sig. Tolerance VIF 1 (Constant) Rm a. Dependent Variable: Ri05 Tahun 2006: Entered/Removed b Entered Removed Method 1 Rm06 a. Enter a. All requested variables entered. b. Dependent Variable: Ri06 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), Rm06 b. Dependent Variable: Ri06 102

15 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), Rm06 b. Dependent Variable: Ri06 a Unstandardized Standardized Collinearity Statistics B Std. Error Beta t Sig. Tolerance VIF 1 (Constant) Rm a. Dependent Variable: Ri06 Tahun 2007 Entered/Removed b Entered Removed Method 1 Rm07 a. Enter a. All requested variables entered. b. Dependent Variable: Ri07 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), Rm07 b. Dependent Variable: Ri07 103

16 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), Rm07 b. Dependent Variable: Ri07 a Unstandardized Standardized Collinearity Statistics B Std. Error Beta t Sig. Tolerance VIF 1 (Constant) Rm a. Dependent Variable: Ri07 Tahun 2008 Entered/Removed b Entered Removed Method 1 Rm08 a. Enter a. All requested variables entered. b. Dependent Variable: Ri08 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), Rm08 b. Dependent Variable: Ri08 104

17 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), Rm08 b. Dependent Variable: Ri08 a Unstandardized Standardized Collinearity Statistics B Std. Error Beta t Sig. Tolerance VIF 1 (Constant) Rm a. Dependent Variable: Ri08 Tahun 2009 Entered/Removed b Entered Removed Method 1 Rm09 a. Enter a. All requested variables entered. b. Dependent Variable: Ri09 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), Rm09 b. Dependent Variable: Ri09 105

18 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), Rm09 b. Dependent Variable: Ri09 a Unstandardized Standardized Collinearity Statistics B Std. Error Beta t Sig. Tolerance VIF 1 (Constant) Rm a. Dependent Variable: Ri09 Hasil Uji Regresi Fama dan French (Uji Hipotesis 2): Tahun 2005: Entered/Removed b Entered Removed Method 1 HML05, Rm05, SMB05. Enter a. All requested variables entered. b. Dependent Variable: Ri05 106

19 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), HML05, Rm05, SMB05 b. Dependent Variable: Ri05 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), HML05, Rm05, SMB05 b. Dependent Variable: Ri05 a Unstandardized Std. B Error Standardized Beta t Sig. Collinearity Correlations Statistics Zeroorder Partial Part Tolerance VIF 1 (Constant) E Rm SMB HML a. Dependent Variable: Ri05 107

20 Tahun 2006: Entered/Removed b Entered Removed Method 1 HML06, Rm06, SMB06. Enter a. All requested variables entered. b. Dependent Variable: Ri06 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), HML06, Rm06, SMB06 b. Dependent Variable: Ri06 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), HML06, Rm06, SMB06 b. Dependent Variable: Ri06 108

21 a Unstandardized Std. B Error Standardized Beta t Sig. Collinearity Correlations Statistics Zeroorder Partial Part Tolerance VIF 1 (Constant) Rm SMB HML a. Dependent Variable: Ri06 Tahun 2007: Entered/Removed b Entered Removed Method 1 HML07, Rm07, SMB07. Enter a. All requested variables entered. b. Dependent Variable: Ri07 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), HML07, Rm07, SMB07 b. Dependent Variable: Ri07 109

22 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), HML07, Rm07, SMB07 b. Dependent Variable: Ri07 a Unstandardized Std. B Error Standardized Beta t Sig. Collinearity Correlations Statistics Zeroorder Partial Part Tolerance VIF 1 (Constant) Rm SMB HML a. Dependent Variable: Ri07 Tahun 2008: Entered/Removed b Entered Removed Method 1 HML08, SMB08, Rm08. Enter a. All requested variables entered. b. Dependent Variable: Ri08 110

23 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), HML08, SMB08, Rm08 b. Dependent Variable: Ri08 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), HML08, SMB08, Rm08 b. Dependent Variable: Ri08 a Unstandardized Std. B Error Standardized Beta t Sig. Collinearity Correlations Statistics Zeroorder Partial Part Tolerance VIF 1 (Constant) Rm SMB HML a. Dependent Variable: Ri08 111

24 Tahun 2009: Entered/Removed b Entered Removed Method 1 HML09, Rm09, SMB09. Enter a. All requested variables entered. b. Dependent Variable: Ri09 Summary b Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson a a. Predictors: (Constant), HML09, Rm09, SMB09 b. Dependent Variable: Ri09 ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression a Residual Total a. Predictors: (Constant), HML09, Rm09, SMB09 b. Dependent Variable: Ri09 112

a Unstandardized Std. B Error Standardized Beta t Sig. Collinearity Correlations Statistics Zeroorder Partial Part Tolerance VIF 1 (Constant).001.010.091.929 Rm09 1.040.

25 a Unstandardized Std. B Error Standardized Beta t Sig. Collinearity Correlations Statistics Zeroorder Partial Part Tolerance VIF 1 (Constant) Rm SMB HML a. Dependent Variable: Ri09 113

Daftar Nama Perusahaan Sampel Tahun 2010

LAMPIRAN Daftar Nama Perusahaan Sampel Tahun 2010 No Kode Perusahaan Nama Perusahaan 1 INTP PT Indocement Tunggal Prakarsa Tbk 2 SMGR PT Semen Indonesia Persero Tbk 3 ARNA PT Arwana Citramulia Tbk 4 TOTO