PERANAN INDEKS PASAR DAN PERIODE ESTIMASI DALAM ESTIMASI BETA
ABSTRACT: A Market Model
regression is often used to estimate the firm’s beta and requires the financial
manager to consider several factors such as an estimation period and a proxy
for market index. This study examines the impact of these two factors on the
estimation of beta. Using monthly data, the result shows that beta estimates
tend to be greater than one when using IHSG as the proxy for market index and
less than one when using LQ45. It is also found that the market model works better
in estimating beta when using an estimation period of four years.
Penulis: Anneke Wangkar
Kode Jurnal: jpakuntansidd120546
