PENGARUH MARKET RISK, SIZE, BOOK TO MARKET RATIO, DAN EARNINGS PRICE RATIO TERHADAP RETURN SAHAM SEKTOR MISCELLANEOUS INDUSTRY DI BEI PERIODE 2006-2012
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Keywords:
return, market risk, size, book to market ratio, earnings price ratio
Abstract
Penelitian ini bertujuan untuk menguji pengaruh market risk, size, book to market ratio, dan earnings price ratio terhadap return pada perusahaan sektor miscellaneous industry di BEI periode 2006-2012. Temuan penelitian menunjukkan bahwa market risk berpengaruh negatif signifikan terhadap return, size berpengaruh negatif signfikan terhadap return, book to market ratio berpengaruh positif tidak signifikan terhadap return, dan earnings price ratio berpengaruh positif signfikan terhadap return saham sektor miscellaneous industry di BEI periode 2006-2012. Implikasi dari penelitian ini adalah market risk, size, dan earnings price ratio harus dipertimbangkan oleh investor dan juga perusahaan itu sendiri.
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References
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Wagiri, W.A., 2013, Pengaruh dividend yield, B/M(Book to Market) dan earning yield terhadap harga saham perusahaan pada sektor aneka industri periode 2007-2011, Jurnal Ilmiah Mahasiswa Universitas Surabaya, Vol 2 : 1-27.
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2005-10.htm diunduh pada tanggal 28 Mei 2013.
http://eprints.undip.ac.id/35792/1/NASEHAH.pdf diunduh pada tanggal 28 Mei 2013.
http://finance.yahoo.com/ mengunduh harga saham dan IHSG
http://www.bi.go.id/web/id/Moneter/BI+Rate/
Data+BI+Rate/ mengunduh BI rate
http://www.idnfinancials.com/ mengunduh laporan keuangan
http://www.idx.co.id/id-id/beranda/perusahaantercatat/
laporankeuangandantahunan.aspx mengunduh laporan keuangan
Arifin, Z., 2005, Teori Keuangan&Pasar Modal, Edisi Pertama cetakan Pertama, EKONISIA-Kampus Fakultas Ekonomi UII Yogyakarta.
Copeland, T.E. Dan J.F. Weston, 1988, Financial Theory and Corporate Policy, Third Edition, Addison-Wesley Publishing Company.
Djajadikerta, H dan G.Nartea, 2005, The Size and Book-to-Market effects and the Fama-French-Three-Factor-Model in Small Markets : Preliminary Findings from New Zealand, Working Paper, Edith Cowan University.
Fama, E.F. dan J.D. MacBeth, 1973, Risk, Return, and Equilibrium : Empirical Tests, The Journal of Political Economy, Vol 81 : 607-636.
Fama, E.F. dan K.R. French, 1992, The Cross-Section of Expected Stock Returns, Journal of Finance, Vol 47 : 427-465.
Ghozali,L., 2001, Aplikasi Analisis Multivariate dengan Program SPSS, Second Edition, BP Undip Semarang. Gujarati, D.N., 2003, Basic Eeconometrics, 4th edition, Mc Graw Hill.
Gujarati, D.N., 2007, Dasar-dasar Ekonometrika Terapan, Edisi Ketiga, Gelora Aksara Pratama.
Hair, J.F, R.E. Anderson, R.L. Tatham dan W.C. Black, 1998, Multivariate Data Analysis, Fifth Edition, Prentice Hall Inc.
Herman, M dan K. Sung Suk, 2007, Pengaruh market risk, size dan book-to-market equity ratio terhadap return di BEJ tahun 2003-2005, DeReMa Jurnal Manajemen, Vol 2 : 193-211.
Hull, J.C., 2009, Options, Futures, and Other Derivatives, Seventh Edition, Pearson International Edition.
Irawan, R dan W.R. Murhadi, 2012, Analisis Pengaruh Three Factor Model dan Persentase Kepemilikan Asing terhadap tingkat return di Bursa Efek Indonesia, Manajemen&Bisnis, Vol 11 : 213-231.
Jarque, Carlos M., 1981, Efficient tests for normality, homoscedasticity and serial independence of regression residuals: Monte Carlo evidence, Economics Letters 7 (4): 313–318.
Leong,K., M.Pagani, dan J.K.Zaima, 2009, Portfolio Strategies using EVA, earnings price ratio or book-to-market:Is one best?, Review of Accounting and Finance, Vol 8 : 76-86.
M, Jogiyanto, 2003, Teori Portofolio dan Analisis Investasi, Edisi Ketiga, BPFE-Yogyakarta.
Pasaribu, R.B.F., 2009, Model Fama dan French sebagai Pembentukan Portfolio Saham di Indonesia, Jurnal Akuntansi dan Bisnis, Vol 9 : 1-12.
Prasetiono, D.D., 2012, Analisis pengaruh firm size, book to market ratio, price earning ratio, dan momentum terhadap return portofolio saham, Diponegoro Journal of Management, Vol 1 : 212-225.
Tandelilin, E., 2010, Portofolio dan Investasi : Teori dan Aplikasi, Edisi Pertama, Kanisius.
Wagiri, W.A., 2013, Pengaruh dividend yield, B/M(Book to Market) dan earning yield terhadap harga saham perusahaan pada sektor aneka industri periode 2007-2011, Jurnal Ilmiah Mahasiswa Universitas Surabaya, Vol 2 : 1-27.
Wahyono, T., 2012, Analisis Statistik Mudah dengan SPSS 20, Edisi Pertama, PT Elex Media Komputindo Jakarta.
http://econpapers.repec.org/paper/ecowpaper/
2005-10.htm diunduh pada tanggal 28 Mei 2013.
http://eprints.undip.ac.id/35792/1/NASEHAH.pdf diunduh pada tanggal 28 Mei 2013.
http://finance.yahoo.com/ mengunduh harga saham dan IHSG
http://www.bi.go.id/web/id/Moneter/BI+Rate/
Data+BI+Rate/ mengunduh BI rate
http://www.idnfinancials.com/ mengunduh laporan keuangan
http://www.idx.co.id/id-id/beranda/perusahaantercatat/
laporankeuangandantahunan.aspx mengunduh laporan keuangan
Published
2013-09-20
Section
Bidang Manajemen (M)
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