Pengaruh Perubahan Book to Market Value, Nilai Tukar, dan Ukuran Perusahaan terhadap Perubahan Return Saham
Abstract: Capital market
theory is concerned with the equilibrium relationship between risk and
expectedreturn on risky assets (Drew, et al (2003). This study aims to
investigate the effects of bookto-market value, exchange rate and firm’s size
changes on the stock returns. The use of Engle-Granger’s Error Correction Model
completed with Cointegration Test, allow this study to testthe short term as
well as the long term relationship between variables. The evidence show
thatbook-to-market value and exchange rate changes do predict the stock return
changes, but not forthe firm’s size. The interpretations and the implications
are discussed.
Penulis: Etna Nur Afri Yuyetta
Kode Jurnal: jpakuntansidd1000208
