Risiko Idiosinkratik dan Imbal Hasil Saham pada Bursa Saham Indonesia  

Oleh:

Naomi, Prima

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Keuangan dan Perbankan: Journal of Finance dan Banking vol. 13 no. 2 (Dec. 2011), page 128-138.
Topik: Idiosyncratic Risk; Indonesia Stock Exchange; Random Walk Process; Market Risks
Fulltext: Risiko Idiosinkritik dan imbal hasil saham pada bursa saham indonesia - Prima Naomi - Vol.13_No_2_artikel 2.pdf (124.31KB)

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Isi artikel

The aim of the research is to examine he time-series properties of idiosyn- cratic risk on (IDX)?s stocks as well as he cross-section of expected return. The Fama-French three factor models are used to measure the idiosyncratic risk of the individual stock while sample consists of 124 stocks which include 4713 firm-moth observations from Janu- ary 2008 to March 2011. The results in- dicate that idiosyncratic risk follows a random walk process. There is also a significant positive relationship between both market risk and idiosyncratic risk o expected stock returns. These find- ngs support theory that assumed un- der-diversification. However, the influ- ences of idiosyncratic risk are stronger han market risk. Size of the firm is also ound to be significantly affect the ex- pected return of stocks in IDX.

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