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EQUITY RISK PREMIUM PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA DAN FAKTOR-FAKTOR YANG MEMPENGARUHINYA

Saiful

Uvi Elin Erliana

(Universitas Bengkulu)

ABSTRACT

The purpose of this study is to examine the impact of tenure, company’s size, book to market equity, leverage, beta and earnings quality on company’s equity risk premium. Sample was taken based on purposive sampling method from Manufacture companies that listed in Indonesia Stock Exchange in the year 2005 to 2008. The final samples consist of 45 companies.

This study found that book to market equity and leverage positively and significantly influence equity risk premium, while beta negatively and significantly influence equity risk premium. These findings indicate that equity risk premium increase as book to market equity increase, because the highest book to market equity ratio show that companies is not growth, so company’s risk will be high. Meanwhile, the highest leverage ratio show that companies have financial distress and its will increase the company’s risk. In contras, higher beta lead to lower equity risk premium, it may be effected by emerging market in Indonesia feature.

Keywords: Capital Asset Pricing Model, Auditor Tenure, Book to Market equity, Leverage, beta, and Equity Risk Premium.

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The capital market is one of the transfer of funds, from those excess funds to those who need it. There are two main functions of capital markets, first as a means of funding the business for the company to obtain funds from public investors (investors) with the purpose of business development, additional working capital or other, and the second function is as a means for people to invest in financial instruments such as stocks, bonds, mutual funds and the other with a view to profit (return) in the future.

Investment in capital markets world filled with elements of uncertainty or risk, because investors do not know with certainty the results to be obtained from the investment is doing. Investors just estimated how much the expected profit from investments, and how likely the actual future results will deviate from the expected results. Tandelilin (2001) suggested that the risk is the possibility of real return (actual return) that is different from the expected return (expected return).

Risk in investing can be influenced by economic factors, political, market, customer, internal company and others. These factors will impact on the risk of change (increased or decreased risk) and return that will alter investor confidence and response, as well as the effect on stock price changes and will ultimately affect the market beta and the company’s stock return variance. Tandelilin (2001) states that there are two types of investment risk in the systematic risk (Systematic risk) and unsystematic risk (unsystematic risk).

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