ANALISIS PENGARUH BOOK TO MARKET, SIZE, SYSTEMATIC RISK, DAN MOMENTUM TERHADAP RETURN SAHAM SMALL BUT LIQUID DAN BIG BUT ILLIQUID (Studi pada Perusahaan yang terdaftar di Kompas100 Tahun 2011-2015)
Abstract: The research
developed the factors that affect in stock returns. One of the "missing
factor" that developed the stocks
that have small capitalization value with high frequency. This type of behavior
has not expected oftenly. The purpose of this study is to analyze the influence
of book to market, size, systematic risk,and momentum on stock returns in small
but liquid and big but illiquid studies on companies KOMPAS100 2011-2015.
The population in this study is a company with small but liquid stock
category and big but illiquid stock category sorted by method purposive
sampling to obtain these categories which has a number of 100 samples, of which
50 categories of samples small but liquid and 50 samples withcategory bigbut
illiquid which annually features 10 different samples in accordance with these
criteria.
Research results in the category of small but liquid, book to market a
significant negative effect on returns, stock size negative and not significant
to return, stock systematic risk positive effect and no significant effect on
returns, stock and the momentum positive
and significant impact on returns. stock
While the research results in the category of big but illiquid, book to
market negative and not significant to return, stock size has a positive effect
and no significant effect on returns, stock systematic risk significant
negative effect on returns, stock and
the momentum positive and significant impact on returns stock
Different test showed that the difference in returns small but liquid and
big but illiquid evaluation in the first year after the establishment has a
significance value of 0.008 and the value of T count greater than T table as
worth 2.02269 is 2,790, which means there are significant differences. While
evaluating the second and third years after the establishment did not have a
significant difference in the presence of evidence that the evaluation of the
second year of significant value amounted to 0,544 and evaluations in the third
year has a significance value of 0.626 which means the absence of a significant
difference
Keywords: book to market,
size, systematic risk, momentum, stock return, small but liquid, and big but
illiquid
Penulis: Firda Huwaida Ulfah,
Erman Denny Arfianto
Kode Jurnal: jpmanajemendd170825
