Risiko sistimatis, ukuran perusahaan dan return saham di Bursa Efek Jakarta :: Studi empiris di Bursa Efek Jakarta

KURNIAWAN, Ardi, Dr. Eduardus Tandelilin, MBA

2002 | Tesis | Magister Manajemen

Model CAPM yang dikembangkan oleh Shaipe (1 964), Lintner (1 965) and Mossin (1 966) menyatakan hubungan sederhana dan linier antara tingkat keuntungan yang diharapkan dan risikonya. Namun beberapa penelitian nienunjukkan terdapat faktor lain selain risiko yang konsisten dan berpengaruh signiiikan terhadap return saham. Peneli tian ini berupaya untuk menyelidiki hubungan antara risiko sistimatis, ukuran perusahaan dan return saham, juga keberadaan dan pcrilaku time series dari size effect di Bursa Efek Jakarta. Hasil dari penelitian ini niengindikasikan terdapat hubungan negatif dan signifiltan antara ukuran perusahaan dan return saham pada tahun 1996, dan perilaku runtut waktu dari size effect terutama terjadi pada bulan maret dan September dan bervariasi sepanjang siltlus pasar.

The widely accepted capital asset pricing model (henceforth CAPM) developed by Sharpe (1964), Lintner (1965) and Mossin (1 966) postulates a simple linear relationship between a stock's expected return and its risk. I-Iuwever, recent evidence has shown that other factors have a consistent and significant effcct on common stock return. This study attempts to investigate the relationships between systematic risk, company's size and the stock return, as well as the existence and time-series characteristics of the size effect in Jakarta Stock Exchange. The result indicate that there is significant negative relationship between company's size and return on common stock in 1996, and that the time-series behavior of the size effect is most prominent in march and September and varies over market cycles.

Kata Kunci : Return Saham, Risiko Sistematis, CAPM, stock return; systematic risk; company's size; size effect; time series behavior.