Idiosyncratic volatility, investasi, profitabilitas, dan return saham di Indonesia

Pratama, Catherine and Ivana, Sheilla and Ariska, Sindi (2020) Idiosyncratic volatility, investasi, profitabilitas, dan return saham di Indonesia. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Dalam hubungan negatif antara idiosyncratic volatility dan expected return atau yang sering disebut anomali idiosyncratic volatility, kami memfokuskan pada karakteristik perusahaan seperti investasi dan profitabilitas yang mempengaruhi anomali tersebut. Penelitian ini memiliki 38.809 obeservasi yang terdiri dari 460 perusahaan yang terdaftar di Bursa Efek Indonesia sejak tahun 1998 hingga 2018 dengan beberapa kriteria tertentu. Kami menggunakan model tiga faktor Fama dan French (1993) dalam memperoleh parameter beta dan ukuran dari idiosyncratic risk serta melakukan regresi Cross-Section Fama dan MacBeth (1973) untuk mendapatkan hasil hubungan antara idiosyncratic volatility dan expected return dalam penelitian. Hasil regresi kami menunjukan bahwa anomali idiosyncratic volatility tidak terbukti di Indonesia. Karakteristik perusahaan seperti investasi dan profitabilitas secara individual maupun secara bersamaan menunjukkan tidak mempengaruhi idiosyncratic volatility apabila terdapat hubungan positif antara idiosyncratic volatility dengan expected return di Indonesia.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Pratama, CatherineNIM00000019665catherinepratama3@gmail.com
Ivana, SheillaNIM00000019882sheillaivana98@gmail.com
Ariska, SindiNIM00000020918sindiariska51@gmail.com
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorKim, Sung SukNIDN0324106805UNSPECIFIED
Uncontrolled Keywords: idiosyncratic volatility; expected return; investasi; profitabilitas;
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: Users 1508 not found.
Date Deposited: 06 Feb 2020 06:09
Last Modified: 28 Jul 2020 15:33
URI: http://repository.uph.edu/id/eprint/6707

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