PENGARUH IDIOSYNCRATIC RISK, LIKUIDITAS, DAN MOMENTUM TERHADAP RETURN SAHAM PADA BURSA EFEK INDONESIA

Abstract

In order to achieve value creation, investment decision is an important decision in financial management. Therefore, the effect of risk on return should be considered, including for stock investment. Stock liquidity and stock momentum are two other variables which are important to return. The purpose of this research is to analyze the effects of idiosyncratic risk, stock liquidity, and stock momentum towards stock return. Three hypotheses were analyzed using EGARCH with 93 stocks in the Indonesian Stock Exchange for 5 years or research period. As the result, idiosyncratic risk and stock liquidity has a positive significant effect on stock return, while stock momentum has no significant effect on stock return. This research recommends investors or fund managers to consider idiosyncratic risk in investing, particularly for under-diversified portfolio, because high idiosyncratic risk will give high stock return as the compensation. Besides, investors or fund managers should also prioritize to invest in liquid stocks.