Idiosyncratic Risk on Stock Performance in Indonesia Stock Exchange

DOI

10.2991/aebmr.k.210831.024How to use a DOI?

Keywords

Stock Performance, Stock Exchange, Asset

Abstract

In this paper, we present the relation between idiosyncratic risk and Indonesia’s stock performance using asset pricing models. We use a unique data set containing daily returns of 80 Indonesia equity of KOMPAS100 index on a 7-year period to measure stock performance. We formed portfolios based on market capitalization and book to market value. We found that idiosyncratic risk positively correlates with the excess stock return, specifically in the portfolio of second-tier Size and portfolio with highest and lowest book to market value.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Andiasa Adesia
AU  - Bona Christanto Siahaan
PY  - 2021
DA  - 2021/09/02
TI  - Idiosyncratic Risk on Stock Performance in Indonesia Stock Exchange
BT  - Proceedings of the 5th Global Conference on Business, Management and Entrepreneurship (GCBME 2020)
PB  - Atlantis Press
SP  - 115
EP  - 120
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210831.024
DO  - 10.2991/aebmr.k.210831.024
ID  - Adesia2021
ER  -