PENGARUH RISIKO PASAR TERHADAP REQUIRED RETURN SAHAM AKTIF DAN TIDAK AKTIF DI BURSA EFEK INDONESIA TAHUN 2008-2012
Abstract: This research aimed
to examine the effect of market risk on the required return of stock
using the Capital Asset Pricing Model (CAPM).
The samples were
130 samples of
active stock and 20
samples of inactive
stocks listed in the Indonesia
Stock Exchange during the
years of observation.
The sampling technique
was conducted by saturated
sampling. The hypothesis
was tested with simple
regression models. The
results showed that
active stock samples have
a significant effect
on the required
return of active stock with a significance level of 5%,
but has a negative relationship. So,
if market risk
increases then the
required return will
decrease. While inactive stock samples showed significant relationship
between market risk and
required return of
the inactive stock
and have a positive relationship.
Penulis: NOVEL PRAMITASARI, NADIA
ASANDIMITRA
Kode Jurnal: jpmanajemendd130995
