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Conditional relationship antara beta dan return menggunakan indeks bisnis-27 di pasar modal Indonesia

This paper empirically investigates relationship between beta and return in Indonesia stock market as a validity test of Capital Asset Pricing Model (CAPM). In empirical test of CAPM using two-pass regression (unconditional beta model) found there is no relationship between beta and return. This paper using conditional beta model methodology by include dummy variable into unconditional beta model to separate up market and down market condition. This paper reveals there are significant relationship between beta and return both up market and down market condition.Ada tabel

Ketersediaan

Call NumberLocationAvailable
6568PSB lt.2 - Karya Akhir1
Penerbit Depok Departemen Manajemen, Fakultas Ekonomi Universitas Indonesia.,
Edisi -
Subjek Capital markets
Regression analysis
Capital asset pricing
ISBN/ISSN -
Klasifikasi -
Deskripsi Fisik xii, 73 p. : diagr. ; 30 cm.
Info Detail Spesifik -
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