Firm Size, Market Risk, and Stock Return: Evidence from Indonesian Blue Chip Companies | Zendy

Meutia Handayani | Zendy; Talbani Farlian | Zendy; Ardian Ardian | Zendy

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Firm Size, Market Risk, and Stock Return: Evidence from Indonesian Blue Chip Companies

Author(s) -

Meutia Handayani,

Talbani Farlian,

Ardian Ardian

Publication year - 2019

Publication title -

jurnal dinamika akuntansi dan bisnis

Language(s) - English

Resource type - Journals

eISSN - 2528-1143

pISSN - 2355-9462

DOI - 10.24815/jdab.v6i2.13082

Subject(s) - indonesian , business , stock (firearms) , stock market , panel data , regression analysis , abnormal return , financial economics , stock exchange , monetary economics , econometrics , finance , economics , statistics , mechanical engineering , paleontology , philosophy , linguistics , mathematics , horse , engineering , biology

This study examines the influence of firm size and market risk on the stock return of Indonesian high reliable companies. The samples are companies listed on the LQ45 between 2015 and 2017. There are 45 companies have been selected or 196 observations. The data was obtained from the financial reports and analysed by using regression for panel data method, namely the common effect model and the Chow test. The results demonstrate that firm size has an effect on the stocks return, while market risk does not have effect on the stocks return of the blue chip companies. The results of this study are expected to help investors in making proper investment decisions toward bluechip Indonesian companies .

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