Ability to estimate an individual security returns is very important and needed by investors. Therefore the presence of Capital Asset Pricing Model (CAPM) which can be used to estimate the return of a security is considered very important in the field of finance. However, Fama and French showed...

This study aims to analyze and test empirically the influence of corporate financial performance against systematic risk on stocks. The analysis technique used is multiple linear regression. The results showed that the financial performance did not significantly affect the systematic risk of the...

Traditionally, risky assets and risk-less asset are treated as two distinct classes. Observing the Indonesian liquid stock with very close maturity dates, we view risk-less asset as its natural limit. This unifying viewpoint is not only theoretically appealing, but also practically important....

This paper examines the effects of liquidity on stock and portfolio risk measures by analyzing Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculations confirmed that VaR has not yet succeeded to prove patterns of relation between risk and liquidity,...

Future uncertainties and the uneven distribution of information is a phenomenon that becomes background of the emergence of various concepts and approaches regarding investment strategies, and a popular one is the momentum strategy that was first introduced by Jegadesh and Titman in 1993....

The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid stock collection in Indonesia stock exchange period 2008-2016. The result show for quarterly and semester period winner portfolio has superior capacity of portfolio risk...

This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR) and accounting performance (ROE, and EPS) also their market capitalization in Indonesia Stock Exchange period 2003-2006. Some clarification need to achieved, such as: real...

The accrual information is discussed in light of multifactor factor asset pricing theory. It is argued that the capital market processes information efficiently, and that low accruals firms are risky and therefore earn higher average returns. In other words, the level of accruals proxies for the...

This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to...

This paper examines the effects of liquidity on the stock and portfolio risk measure by Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculation of VaR that confirmed not yet succeeded to prove pattern of relations between risk and liquidity both...