Analisis Idiosyncratic Risk Terhadap Penentuan Asset Pricing pada Bank Go Public

Abstract

Penelitian ini bertujuan untuk mengetahui pengaruh idiosyncratic volatility, idiosyncratic volatility factor, aggregate idiosyncratic volatility, lagged idiosyncratic volatility dan disertai variabel kontrol yaitu market risk, size, dan book-to-market ratio terhadap excess return pada bank go public. Jenis penelitian yang digunakan adalah penelitian deskriptif dengan pendekatan kuantitatif. Populasi yang digunakan dalam penelitian ini adalah Perusahaan Perbankan di Indonesia yang berjumlah 45 bank. Observasi dipilih dengan menggunakan metode purposive sampling sebanyak 28 Perusahaan Perbankan di Indonesia yang secara konsisten memiliki harga saham serta nilai ekuitas periode 01 Januari 2014 hingga 31 Desember 2018 yang kemudian dibagi kedalam empat portofolio saham berdasarkan kapitalisasi pasar saham Indonesia dan nilai book-to-market ratio. Pengumpulan data dilakukan dengan menggunakan data sekunder yang diakses langsung melalui website Yahoo Finance dan Saham OK yang merupakan data bulanan time series 2014-2018, dengan metode analisis yang digunakan adalah regresi linear berganda. Hasil penelitian menunjukkan secara simultan variabel bebas idiosyncratic volatility, idiosyncratic volatility factor, aggregate idiosyncratic volatility, lagged idiosyncratic volatility, dan disertai variabel kontrol market risk, size, book-to-market ratio terhadap excess return pada tingkat kepercayaan 95% menunjukkan bahwa adanya pengaruh secara serempak dan signifikan. Secara parsial diketahui bahwa variabel bebas idiosyncratic volatility berpengaruh positif secara signifikan terhadap excess return pada portfolio B/L, S/H, dan S/L, variabel idiosyncratic volatility factor berpengaruh positif secara signifikan terhadap excess return pada portfolio S/H dan S/L, variabel aggregate idiosyncratic volatility berpengaruh positif secara signifikan terhadap excess return pada portfolio S/L, dan variabel lagged idiosyncratic volatility berpengaruh positif secara signifikan terhadap excess return pada portfolio S/L.

This study aims to determine idiosyncratic volatility, idiosyncratic volatility factor, aggregate idiosyncratic volatility, lagged idiosyncratic volatility and accompanied by control variables namely market risk, size, and book-to-market ratio on excess return at banks go public. The type of research used is descriptive research with a quantitative approach. The population used in this study is a Banking Company in Indonesia, amounting to 45 banks. The observations were selected using a purposive sampling method of 28 Banking Companies in Indonesia that consistently had stock prices and equity value for the period of January 1, 2014 to December 31, 2018 which were then divided into four stock portfolios based on Indonesia's stock market capitalization and book-to-market value. Data collection is done by using secondary data which is accessed directly through the Yahoo Finance and Saham OK website which are 2014-2087 time series data, with the analytical method used is the multiple linear regression. The results showed that simultaneous independent variable idiosyncratic volatility, idiosyncratic volatility factor, aggregate idiosyncratic volatility, lagged idiosyncratic volatility, and accompanied by control variables namely market risk, size, and book-to-market ratio on excess return at the 95% confidence level showed that there was a significant and simultaneous influence. Partially it is known that l the independent variable of idiosyncratic volatility has a positif and significant effect on excess return portfolio B/L, S/H, and S/L, Idiosyncratic volatility factor variable has a positif and significant effect on excess return portfolio S/H and S/L, aggregate idiosyncratic volatility variable has positif and significant effect on excess return portfolio S/L. And lagged idiosyncratic volatility variable has positif and significant effect on excess return portfolio S/L.