Beta anomaly, mispricing, and idiosyncratic volatility in Indonesia

Florencia, Feliciana (2018) Beta anomaly, mispricing, and idiosyncratic volatility in Indonesia. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

The purpose of this research is to find the evidence of beta anomaly in Indonesia, a stock return anomaly which happens when the high-beta stocks generate lower alpha than the low-beta stocks, and provide an explanation behind it, during the year 2007-2016. This research use double-sorted portfolio formations to find the presence of beta anomaly, the relationship between stocks' mispricing level and beta, the relationship between stocks' beta and beta anomaly, and the relationship between IVOL and beta anomaly. The findings show the presence of beta anomaly and is caused by IVOL rather than beta, proved by the alpha and IVOL negative relationship across almost all beta quintiles and the disappearance of the anomaly when one controls for IVOL. This anomaly is present in IDX during the period and is significant only at overpriced stocks.

Item Type:	Thesis (Bachelor)
Creators:	Creators NIM Email Florencia, Feliciana NIM00000011966 UNSPECIFIED
Contributors:	Contribution Contributors NIDN/NIDK Email Thesis advisor Kim, Sung Suk NIDN8963400020 sungsuk.kim@uph.edu
Additional Information:	SK 11-14 FLO b; 31001000267428
Uncontrolled Keywords:	beta; anomaly; mispricing; idiosyncratic volatility.
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	University Subject > Current > Faculty/School - UPH Karawaci > Business School > Management Current > Faculty/School - UPH Karawaci > Business School > Management
Depositing User:	Yanni Karina
Date Deposited:	19 Sep 2022 01:04
Last Modified:	05 Dec 2023 10:12
URI:	http://repository.uph.edu/id/eprint/50478

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