RISIKO IDIOSINKRATIK DAN IMBAL HASIL SAHAM PADA BURSA SAHAM INDONESIA

Abstract

The aim of the research is to examine he time-series properties of idiosyn- cratic risk on (IDX)’s stocks as well as he cross-section of expected return. The Fama-French three factor models are used to measure the idiosyncratic risk of the individual stock while sample consists of 124 stocks which include 4713 firm-moth observations from Janu- ary 2008 to March 2011. The results in- dicate that idiosyncratic risk follows a random walk process. There is also a significant positive relationship between both market risk and idiosyncratic risk o expected stock returns. These find- ngs support theory that assumed un- der-diversification. However, the influ- ences of idiosyncratic risk are stronger han market risk. Size of the firm is also ound to be significantly affect the ex- pected return of stocks in IDX.