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All Journal Kinerja CALYPTRA : Jurnal Ilmiah Mahasiswa Universitas Surabaya Media Ekonomi dan Manajemen Jurnal Aplikasi Bisnis dan Manajemen (JABM) E-Journal Jurnal Manajemen Teori dan Terapan Jurnal Ekonika : Jurnal Ekonomi Universitas Kadiri EKUITAS (Jurnal Ekonomi dan Keuangan) MABIS: Manajemen dan Bisnis Jurnal Manajemen Pendidikan dan Ilmu Sosial (JMPIS) Jurnal Ilmiah MEA (Manajemen, Ekonomi, dan Akuntansi) Jurnal Manajemen Maranatha
Bertha Silvia Sutejo
Jurusan Manajemen Fakultas Bisnis Dan Ekonomika Universitas Surabaya
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Industrial & Manufacturing Engineering Social Sciences

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Journal : Kinerja

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PENGARUH FAKTOR DISTRESS RISK DALAM MENJELASKAN EFEK ANOMALI MOMENTUM Sutejo, Bertha Silvia
KINERJA Vol 11, No 1 (2007): Kinerja
Publisher : Faculty of Economics Universitas Atma Jaya Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24002/kinerja.v11i1.1380

Abstract

The objective of this research was to study the effect of momentum anomaly and distress risk. This research also examines the different market effects on potential relationship between momentum and distress risk and prepare indirect empirical evidence on EMH in Indonesia. Sample of this research was based on manufacturing companies listed in Jakarta Stock Exchange from July 1992 – June 2003. The statistical method used to test the hypothesis was regression analysis. The study results were as follows: first, the result provides no support for the hypothesis that the distress risk can explain momentum effect in stock return; second, the result also provides no support for the hypothesis that there is no different influence on potential relationship between momentum and distress risk at bullish market or bearish market. This study found that distress risk and momentum make the size and B/M have a positive relationship with stock return on bullish market. But distress risk and momentum make size and B/M have a negative relationship with stock return on bearish market.
PENGARUH FAKTOR DISTRESS RISK DALAM MENJELASKAN EFEK ANOMALI MOMENTUM Bertha Silvia Sutejo
KINERJA Vol. 11 No. 1 (2007): Kinerja
Publisher : Faculty of Business and Economics Universitas Atma Jaya Yogyakarta

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24002/kinerja.v11i1.1380

Abstract

The objective of this research was to study the effect of momentum anomaly and distress risk. This research also examines the different market effects on potential relationship between momentum and distress risk and prepare indirect empirical evidence on EMH in Indonesia. Sample of this research was based on manufacturing companies listed in Jakarta Stock Exchange from July 1992 – June 2003. The statistical method used to test the hypothesis was regression analysis. The study results were as follows: first, the result provides no support for the hypothesis that the distress risk can explain momentum effect in stock return; second, the result also provides no support for the hypothesis that there is no different influence on potential relationship between momentum and distress risk at bullish market or bearish market. This study found that distress risk and momentum make the size and B/M have a positive relationship with stock return on bullish market. But distress risk and momentum make size and B/M have a negative relationship with stock return on bearish market.
Co-Authors . Yenny, . Acchedya Anugrahani Ardi Sanjaya Hamdani Ardi Sanjaya Hamdani, Ardi Sanjaya CHRISTHA MEIRIN D.S. Deddy Marciano Deliana Azaria Eujenita Siswoyo Fong Ida Melinda Gracela, Natasya Henry Tirta Permana Henry Tirta Permana Jemmi Halim Liem Jemmi Halim Liem Jessica Mettana Liangga, Victor Marcelino Liliana Inggrit Wijaya Liliana Inggrit Wijaya Marcella Julia Shira Octaviano, Fransisco Oktavianus, Joshua Phan Thị Hồng Xuân Putu Anom Mahadwartha Putu Anom Mahadwartha Putu Anom Mahadwartha Putu Anom Mahadwartha Putu Anom Mahadwartha‬ Silalahi, Marwin Antonius Rejeki Sugiarto, Lady Safitri Sukianto Abadi Sukianto Abadi Theofilus Steven Susanto Werner R Murhadi Yenny Yenny Yohan Prasetyo