CROSS SECTION RETURN SAHAM DAN KEBIJAKAN MONETER
ABSTRACT: This research
aimed to analyze
the influence of
beta, size and price-to-book value
to stock return
and also to
determine whether influence given
by those three factors will differ at different monetary condition. Test
conducted to 152
stocks which are
traded actively in BEJ
at period of
July 2000 to
June 2003. Early
test result indicated that independent
variables namely beta,
size and PBV
have a significant influence
to stock return.
Test reenacted by
separating sample between periods
which is expansive
and restrictive, the
result indicated that on expansive period beta did not have significant
result, while on restrictive period all of variables have significant result.
After conducting the interaction
test by including
the monetary policy
as dummy variable, the
test resulted that
monetary policy did
not affect the relation
between PBV and
stock return, while
beta and size indicated the significant result, it
means that the relation of those two variables to stock return is indeed
influenced by monetary policy.
Keywords: beta,
size, price-to-book value,
stock return, monetary policy
Penulis: Rusdayanti Asma
Kode Jurnal: jpmanajemendd060047
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