Volatilitas Idiosynkratis dan Model Asset Pricing Multifaktor

Volatilitas Idiosynkratis & Model Asset Pricing MultifaktorRowland B.F. Pasaribu

The paper is aimed at examining the inter-relationships between firm size, liquidity, systematic risk, idiosyncratic volatility and their relation to expected return in level stock and portfolio for Indonesian LQ-45 equities. Our analysis suggests the existence of confounding effects that may need to be recognized in making meaningful interpretations of the data; specifically, that as well as being potentially explanatory of equity performance, beta, liquidity, systematic risk, and idiosyncratic volatility are capable of being the outcome of equity performance behavior. Other empiric result is addition of factor idiosyncratic volatility, proved increasing explanatory power of model in explaining the variation of expected return in both level of stock individually and portfolio on various asset pricing model. Hereinafter three tools of evaluation measurement result indicate that size, liquidity, systematic risk yet still not shown optimal performance, even after conducted by extension of all model by adding idiosyncratic volatility proxy.

Keywords:  Expected return, idiosyncratic volatility, stock portfolio, multifactor asset pricing model, treynor index, jensen-alpha, sharpe index

 

Download Jurnal JEB Vol 6 No 1 Mar 2012 Volatilitas Idiosynkratis & Model Asset Pricing Multifaktor

Pasaribu, Rowland Bismark Fernando. 2012. Volatilitas Idiosynkratis dan Model Asset Pricing Multifaktor. Jurnal Ekonomi dan Bisnis Vol. 6, No. 1, Maret (1-23).

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