Hasnawati, Sri and Hendrawaty, Ernie and Mahatma, Kufepaksi (2020) Size Anomaly, Beta, Return, Momentumin the Indonesia Stock Exchange. Talent Development and Excellence, Vol.12 (1). pp. 125-139. ISSN ISSN1869-0459(print)/ISSN1869-2885(online)

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Abstract

This study aims to examine the anomaly size effect in Indonesian capital market. The study was conducted during the period 2010-2018 which had 2,605 observations data. The research model used OLS regression panel data to test the hypotheses. The results support the hypothesis that size, beta, and MTBA affect firmreturns. In addition, it was found that small firmsproduced higher returns compared to big firms. However, the risk of small firmswas lower than big firms. The low beta of a small firmshown that the effect of market fluctuations on the fluctuations of stock prices of small firmswas low. In addition, it was found that the market to book value of small firmswas lower than that of big firms. The low market to book value of small firmsindicated that the market valued low small firmsbut still had a high profit opportunity

Item Type: Article
Subjects: H Social Sciences > HG Finance
Divisions: Fakultas Ekonomi dan Bisnis (FEB) > Prodi Manajemen
Depositing User: DR ERNIE HENDRAWATY
Date Deposited: 27 May 2020 01:42
Last Modified: 27 May 2020 01:42
URI: http://repository.lppm.unila.ac.id/id/eprint/20582

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