Peranan Indeks Pasar dan Periode Estimasi dalam Estimasi Beta  

Oleh:

Dossugi, Samuel

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Jurnal Ekonomi dan Bisnis vol. 5 no. 1 (Feb. 2005), page 47-58.
Topik: Market Model; Estimation Period; Market Index
Fulltext: Samuel Dossugi.pdf (438.1KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ100.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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A Market Model regression is ofte used to estimate the firm's beta and erquires the financial manager to consider several factors such as an estimation period and a proxy for amrket index. Thus study examines the impact of these two factors on the estimation of beta. Using monthly data, the result shows that beta estimates tend to be greater than one when using IHSG as the proxy for market index and less than one when using LQ45. it is also found that the market model works better in estimating beta when using an estimation period of four years.

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