Book to market, distress risk dan stock return study di bursa efek jakarta
Sari, Utari Kartika (Adv.: Dr. Erni Ekawati, MSA, MBA), Dr. Erni Ekawati, MSA, MBA
This paper examines the relationship between book to market, distress risk dan stock returns. Result demostrates that high distress risk is not always rewarded by higher returrr. The stock return in firms with high distress risk is moderated by book to market value. Among firms with the highest distress risk, the difference in returns between high and low book to market is almost twice as large as that in other firms. This large return differential is largely driven by the low return earn by low book to market high distress firms. One possible explanation of these result is that the low return earned by low book to market firms with high distress risk is driven by the underperformance of this firms.
Kata Kunci : book to market, stock return and distress risk.
