ANALISIS KARAKTERISTIK IDIOSYNCRATIC RISK PADA ABNORMAL RETURN SAHAM BERDASARKAN CAPITAL ASSET PRICING MODEL

Abstract

The purpose of the investors in the stock transaction is an optimal return. The difference between the rate of expected return by investor on stock returns is abnormal return. In general, all the investment will be at risk. Risk is divided into two systematic risk and unsystematic risk. Systematic risk is the risk that can not be diversified is beta. The purpose of this study was to determine size, trading volume activity, and market to book ratio of the abnormal return. Sampling technique used in this study was purposive sampling and obtained as many as 38 companies. The analysis technique used is multiple regression analysis using eviews program. The results showed that the size and trading volume of activity have a significant positive effect on abnormal return while the variable market to book ratio of the abnormal return no effect.