Rekayasa Model Tiga Faktor Fama dan French Dimoderasi Creative Accounting pada Indeks Kompas 100
DOI:
https://doi.org/10.58192/wawasan.v4i3.4614Keywords:
Creative Accounting, Fama-French Three-Factor Model, Indonesian Capital Market, Moderating Variable, Stock ReturnsAbstract
This study aims to reconstruct the Fama and French Three-Factor Model by incorporating creative accounting as a moderating variable in explaining stock returns in the Indonesian capital market. The capital market plays a crucial role as a mechanism for allocating long-term funds; however, stock return determination is still influenced by market risk, firm fundamental characteristics, the quality of accounting information, and investor behavior. The CAPM model, which emphasizes market beta, is considered insufficient to fully explain variations in stock returns. The Fama and French Three-Factor Model then introduces market risk premium, size, and book-to-market factors as key determinants, yet its effectiveness is not always consistent in emerging markets such as Indonesia. Market conditions characterized by semi-strong form efficiency, information asymmetry, economic volatility, and creative accounting practices may reduce the relevance of financial reporting and influence investment decisions. Therefore, adding creative accounting as a moderating variable is expected to improve the model’s quality, strengthen investor confidence in financial information, and provide a more accurate basis for investment decision-making.
References
Acaravci, S. K., & Karaomer, Y. (2017). Fama-French five-factor model: Evidence from Turkey. International Journal of Economics and Financial Issues, 7(6), 130–137. http://www.econjournals.com
Andrews, D. W. K. (1991). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, 59(3), 817–858. https://doi.org/10.2307/2938229
Baek, S., & Bilson, J. F. O. (2015). Size and value risk in financial firms. Journal of Banking and Finance, 55, 295–326. https://doi.org/10.1016/j.jbankfin.2014.02.011
Candika, Y. I. (2017). Pengujian kekuatan model Carhart empat faktor terhadap excess return saham di Indonesia. The International Journal of Applied Business, 1(1), 60–74.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. https://doi.org/10.1111/j.1540-6261.1997.tb03808.x
Dang, D. Q., Korkos, I., & Wu, W. (2023). The effects of earnings management on information asymmetry and stock price synchronicity. Cogent Economics & Finance, 11(2), 1–19. https://doi.org/10.1080/23322039.2023.2290359
Darma, Y. D. (2017). Pengujian empiris terhadap kekuatan model CAPM dalam memprediksi return portofolio saham LQ45 periode 2013–2016. Akubis Journal. https://journal.lppmpelitabangsa.id/index.php/akubis/article/view/111
Darma, Y. D. (2020). Mampukah model multi faktor APT memberikan gambaran hubungan return harapan portofolio saham LQ45 dengan risiko sistematik pada pasar modal Indonesia. Jurnal Manajemen Stratejik dan Simulasi Bisnis, 1(2), 1–22. https://doi.org/10.25077/mssb.1.2.1-22.2020
Darma, Y. D., & Lestari, V. S. A. (2022). Fama-French five factors model pada excess return saham indeks Kompas 100. Jurnal Riset Akuntansi & Perpajakan, 9(1), 88–100. https://doi.org/10.35838/jrap.2022.009.01.07
Darma, Y. D., Hartati, N., Indriati, P., & Indriani, M. (2023). Determinasi nilai perusahaan dimediasi manajemen laba pada emiten indeks Kompas 100. Jurnal Pendidikan Akuntansi & Keuangan, 11, 121–145.
Dasril, Y. D. D., Indriati, P., Pujiharta, P., Hartati, N., & Indriani, M. (2024). Mampukah model enam faktor Fama and French menggungguli model tiga faktor Fama and French dengan proksi indeks Kompas 100. Jurnal Riset Akuntansi & Perpajakan, 11(1), 89–104. https://doi.org/10.35838/jrap.2024.011.01.07
Dechow, P. M., Ge, W., & Schrand, C. (2010). Understanding earnings quality: A review of the proxies, their determinants and consequences. Journal of Accounting and Economics, 50(2–3), 344–401. https://doi.org/10.1016/j.jacceco.2010.09.001
Dirkx, P., & Peter, F. J. (2020). The Fama-French five-factor model plus momentum: Evidence for the German market. Schmalenbach Business Review, 72(4), 661–684. https://doi.org/10.1007/s41464-020-00105-y
Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575–1617. https://doi.org/10.2307/2328565
Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427–465. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
Fama, E. F., & French, K. R. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55–84. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010
Fama, E. F., & French, K. R. (2018). Choosing factors. Journal of Financial Economics, 128(2), 234–252. https://doi.org/10.1016/j.jfineco.2018.02.012
Francis, J., LaFond, R., Olsson, P., & Schipper, K. (2005). The market pricing of accruals quality. Journal of Accounting and Economics, 39(2), 295–327. https://doi.org/10.1016/j.jacceco.2004.06.003
Griffin, J. M. (2005). Are the Fama and French factors global or country-specific? SSRN Electronic Journal. https://doi.org/10.2139/ssrn.262647
Hardianto, D., & Suherman, S. (2009). Pengujian Fama-French three-factor model di Indonesia. Jurnal Keuangan dan Perbankan, 13(2), 198–208.
Huang, H. Y., & Ho, K. C. (2020). Liquidity, earnings management, and stock expected returns. North American Journal of Economics and Finance, 54, 101261. https://doi.org/10.1016/j.najef.2020.101261
Kim, I., Miller, S., Wan, H., & Wang, B. (2016). Drivers behind the monitoring effectiveness of global institutional investors: Evidence from earnings management. Journal of Corporate Finance, 40, 24–46. https://doi.org/10.1016/j.jcorpfin.2016.06.006
Kim, J. B., & Sohn, B. C. (2013). Real earnings management and cost of capital. Journal of Accounting and Public Policy, 32(6), 518–543. https://doi.org/10.1016/j.jaccpubpol.2013.08.002
Kothari, S. P., Leone, A. J., & Wasley, C. E. (2005). Performance-matched discretionary accrual measures. Journal of Accounting and Economics, 39(1), 163–197. https://doi.org/10.1016/j.jacceco.2004.11.002
Kubota, K., & Takehara, H. (2018). Does the Fama and French five-factor model work well in Japan? International Review of Finance, 18(1), 137–146. https://doi.org/10.1111/irfi.12126
Misran, A., & Sutomo, I. (2025). Revisiting the Fama-French framework with contemporary evidence from the Indonesian stock exchange. HBR Husnayain Business Review, 5(1), 57–66.
Munawaroh, U., & Sunarsih, S. (2020). The effects of Fama-French five factor and momentum factor on Islamic stock portfolio excess return listed in ISSI. Jurnal Ekonomi & Keuangan Islam, 6(2), 119–133. https://doi.org/10.20885/jeki.vol6.iss2.art4
Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. https://doi.org/10.2307/1913610
Putra, D., & Asfiah, N. (2024). Penerapan Environmental, Social, dan Governance (ESG) pada program infrastruktur di Indonesia: Menuju sustainable business. Jurnal Manuhara, 2(3), 102–114. https://doi.org/10.61132/manuhara.v2i3.943
Putri, H. T. (2019). Pengaruh manajemen laba terhadap nilai perusahaan pada industri manufaktur. J-MAS (Jurnal Manajemen dan Sains), 4(1), 51–60. https://doi.org/10.33087/jmas.v4i1.70
Subramanyam, K. R. (1996). The pricing of discretionary accruals. Journal of Accounting and Economics, 22(1–3), 249–281. https://doi.org/10.1016/S0165-4101(96)00434-X
Veronica, S., & Bachtiar, Y. S. (2005). Corporate governance, information asymmetry, and earnings management. Jurnal Akuntansi dan Keuangan Indonesia, 2(1), 77–106. https://doi.org/10.21002/jaki.2005.04
Wan, G., Dawod, A. Y., Chanaim, S., & Ramasamy, S. S. (2023). Hotspots and trends of environmental, social and governance (ESG) research: A bibliometric analysis. Data Science and Management, 6(2), 65–75. https://doi.org/10.1016/j.dsm.2023.03.001
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Wawasan : Jurnal Ilmu Manajemen, Ekonomi dan Kewirausahaan
This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
