Idiosyncratic Risk And Asset Pricing

DOI

10.2991/icame-17.2017.12How to use a DOI?

Keywords

Persistence Current Operating Accrual, Persistence Non-Current Operating , Idiosyncratic Volatility, Asset Pricing

Abstract

The purpose of research is to investigate the accrual principles in Accounting that contained in the Company's Financial Statements. The accrual principle is reflected in the Balance Sheet and Income Statement. Accrual measurements in the Balance Sheet are measured using Persistence Current Operating Accrual, Persistence Non-Current Operating Accrual. Idiosyncratic risk reflects the specific information about the company and it will fluctuate according to the information itself. To measure the idiosyncratic risk in this study five factors of Fama-French Model were used (Fama and French 2014).. Asset Pricing Measurement uses the Dividend Disscounted Model to predict stock prices. The samples used in this study are listed below. The Manufacturing Company is selected with consideration for accrual measurement of accounts receivable, inventory, investment and liabilities. The sample was chosen by purposive random sampling method. The number of samples generated by this method is 145 companies with full reports for 2010-2015. Using the SEM AMOS Ver.24 and Sobel Test Path Analysis, the results show that Current Operating Accrual has a negative and significant relationship to the idiosyncratic risk and stock price. For non-Current Operating Accrual variables have positive and significant relation. By using Sobel Test, the test result shows that idiosyncratic risk has mediation effect in Persistence Current Operating Accrual, Non-Current Operating Accrual relationship to stock price.

Copyright

© 2017, 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  - Marselinus Asri
PY  - 2017/10
DA  - 2017/10
TI  - Idiosyncratic Risk And Asset Pricing
BT  - Proceedings of the 2nd International Conference on Accounting, Management, and Economics 2017 (ICAME 2017)
PB  - Atlantis Press
SP  - 154
EP  - 174
SN  - 2352-5428
UR  - https://doi.org/10.2991/icame-17.2017.12
DO  - 10.2991/icame-17.2017.12
ID  - Asri2017/10
ER  -