Naomi, Prima Risiko Idiosinkratik dan Imbal Hasil Saham pada Bursa Saham Indonesia. Journal of Finance and Banking. ISSN 1410-8623
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Abstract
The aim of the research is to examine the time-series properties of the idiosyncratic risk on (IDX)s stocks as well as the cross section of expected returns. 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 January 2008 to March 2011. The results indicate that idiosyncratic risk follows a random walk process. There is also a significant positive relationship between both market risk and idionsyncratic risk to expected stock returns. These finding support theory that assumed under-diversification. However, tehe influences of idiosyncratic risk are stronger than market risk. Size of the firm is also found to be significantly affect the expected returns of stocks in IDX>.
| Item Type: | Article |
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| Subjects: | H Social Sciences > HC Economic History and Conditions |
| Divisions: | Fakultas Ekonomi dan Bisnis > Manajemen-S2 |
| Depositing User: | Sofiyan SSI Sauri |
| Date Deposited: | 22 Apr 2022 01:13 |
| Last Modified: | 22 Apr 2022 01:13 |
| URI: | http://repository.paramadina.ac.id/id/eprint/431 |
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