The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid stock collection in Indonesia stock exchange period 2008-2016. The result show for quarterly and semester period winner portfolio has superior capacity of portfolio risk...

This paper addresses the theoretical foundations of corporate failure prediction, using the neo-classical theory of capital structure as a starting point. The paper intends to demonstrate the feasibility of such an approach in a simple setting, i.e. by using a simple theoretical model and a...

As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio...

The main idea of this paper is to clarify the influence of historical volatility to its current volatility of stock return and estimate European call option pricing using Black-Scholes Model. Three method was used to knowing the influence: HisVol, GARCH (1.1) and CGARCH. Empirically the three...

The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be described solely by the one-factor CAPM. Therefore,...

This paper examines the effects of liquidity on stock and portfolio risk measures by analyzing Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculations confirmed that VaR has not yet succeeded to prove patterns of relation between risk and liquidity,...

The main idea of this paper is to clarify the influence of historical volatility in relation to its current volatility of stock return and estimate european call option pricing using Black-Scholes Model. Three methods were used to understanding the influence: HisVol, GARCH (1.1) and CGARCH....

Indonesian Abstract: Penelitian ini menguji secara empiris model tiga faktornya Fama dan French dengan data Indonesia selama periode 2003-2006. Secara khusus, studi meneliti perilaku harga saham, terkait dengan ukuran (ekuitas pasar, ME) dan rasio book-to-market. Tujuan utama penelitian ini...