Proceedings of the 15th International Symposium on Management (INSYMA 2018)

Stock investment analysis, idiosyncratic risk and abnormal return

Authors
Mr. Suyanto, Florens Natalia Handayani Sibarani
Corresponding Author
Mr. Suyanto
Available Online March 2018.
DOI
10.2991/insyma-18.2018.22How to use a DOI?
Keywords
value, earnings-price, book to market, market capitalization, idiosyncratic risk volatility
Abstract

The purpose of this research is to examine the effect of value of earning per price and book to market ratio, firm size shown by market capitalization, stock liquidity by using turnover rate and Idiosyncratic Risk depicted by Idiosyncratic Risk Volatility (IVol) on Abnormal Return of stocks owned by the entities from the property and real estate sector listed in Indonesia Stock Exchange during the research period of the year 2012 - 2016. The analysis model used in this research is multiple regression with the test tool of SPSS version 21. There are four hypotheses which are tested by the t-test to provide evidence there is significant effect and by the F-test to provide evidence that there is simultaneous significant effect of variable x to variable y. The study results show that value from E/P ratio and B/M ratio had insignificant effect on Abnormal return, while the other factors Firm Size, Stock Liquidation, and Idiosyncratic Risk Volatility had significant effect on Abnormal return. B/M ratio and Turnover rate show negative effect on Abnormal Return, while E/P ratio, Firm Size and Idiosyncratic Risk Volatility show positive effect on Abnormal Return.

Copyright
© 2018, 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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Volume Title
Proceedings of the 15th International Symposium on Management (INSYMA 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
March 2018
ISBN
10.2991/insyma-18.2018.22
ISSN
2352-5398
DOI
10.2991/insyma-18.2018.22How to use a DOI?
Copyright
© 2018, 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/).

Cite this article

TY  - CONF
AU  - Mr. Suyanto
AU  - Florens Natalia Handayani Sibarani
PY  - 2018/03
DA  - 2018/03
TI  - Stock investment analysis, idiosyncratic risk and abnormal return
BT  - Proceedings of the 15th International Symposium on Management (INSYMA 2018)
PB  - Atlantis Press
SP  - 88
EP  - 91
SN  - 2352-5398
UR  - https://doi.org/10.2991/insyma-18.2018.22
DO  - 10.2991/insyma-18.2018.22
ID  - Suyanto2018/03
ER  -