Title: ANALYSIS OF FACTORS AFFECTING STOCK BETA OF THE CONSUMPTION GOODS SECTOR THAT GOES PUBLIC ON THE JAKARTA STOCK EXCHANGE
Author: Nugroho Mardi Wibowo
Item Type : Thesis (Thesis)
Affiliations: Master of Management Study Program, Faculty of Economics and Business, Universitas Airlangga , Surabaya, Indonesia
Publisher: Universitas Airlangga
Abstract
As a rational person. Investors' attention in investing will be directed at the return on investment. In a world full of uncertainty, investment profits may not be realized, therefore investors must also consider the risks. According to portfolio theory, the relevant risk for stock valuation is systematic risk as measured by the stock's beta. Stock beta is the sensitivity of individual stock returns to changes in market returns. The consumer goods industry has a very strategic role in efforts to improve people's lives where their products are very necessary for daily needs. Globalization in international trade is an opportunity and challenge for the development of this sector. This research aims to determine the influence of the factors dividend payout ratio, asset growth, financial leverage, operating leverage, liquidity, firm size, and earning variability on the beta of shares in the consumer goods sector that go public on the Jakarta Stock Exchange. Sampling was carried out using purposive sampling so that there were 16 companies studied from 1992 to 1999. The analysis model used in this research is a multiple linear regression analysis model with log transformation (double log model) and the data used is pooling the data. ) between cross section and time series. The results of statistical testing using alpha=0.05 concluded that: 1. Together it was found that dividend payout ratio, asset growth, financial leverage, operating leverage, liquidity, firm size; and earnings variability has a significant influence on the beta of shares in the consumer goods sector that go public on the JSE. 2. From the partial test, it was found that only the asset growth variable had a significant influence on the beta of shares in the consumer goods sector that went public on the JSE. 3. Most of the shares of companies in the consumer goods industry that go public on the JSE tend to be insensitive to market changes (defensive stock). The low coefficient of simultaneous determination (R²), namely 37.80%, means that there are probably other factors that are not included in the analysis model that influence stock beta. Therefore, for further research it is necessary to add and replace other relevant factors that influence stock beta
Keywords: STOCKS; STOCK EXCHANGES
Sources: http://repository.unair.ac.id/34810/
