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IDIOSYNCRATIC RISK ON STOCK PERFORMANCE IN INDONESIA STOCK EXCHANGE

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In this paper we present on the relation between idiosyncratic risk and stock performance in Indonesia using Capital Asset Pricing Model and Fama French Three Factor Model. We use a unique data set containing daily and yearly returns of 80 Indonesia equity of KOMPAS100 index on a 7-year period to measure stock performance. We use JCI Index return as market rate and SPN 3 month average yield to calculate risk free rate. To estimate the relation between idiosyncratic risk and stock performance, we formed 5 portfolios based on market capitalization and 5 portfolios based on book to market value. Each portfolio contains 16 members of stock. We found that idiosyncratic risk has positive relation with excess stock return specifically in portfolio 4 based on market capitalization and portfolio 1 and 5 based on book to market value. Portfolio 4 based on market capitalization is portfolio with second largest market capitalization. While portfolio 1 based on book to market value, is portfolio with the lowest value while portfolio 5 is portfolio with the highest value.

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30006028

6028

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Available

Detail Information

Series Title

Tesis

Statement of Responsibility

Andiasa Adesia

Call Number

6028

Publisher

Salemba, Jakarta : Magister Manajemen FEB UI., 2020

Collation

xii, 114 p. : ill. ; 30 cm.

Language

English

ISBN/ISSN

-

Classification

650

Content Type

text

Edition

-

Subject(s)

Tesis
MM MBA
Capital Asset Pricing Model
Idiosyncratic Risk
Fama-French Three Factor Model
Portfolio
Stock Performance

Specific Detail Info

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