Uji Empiris Pengaruh Idiosyncratic Volatility Terhadap Expected Return: Aplikasi Fama-French Five Factor Model

Muhammad Pudjianto, Buddi Wibowo

Abstract


Penelitian ini bertujuan untuk melakukan pengujian pengaruh antara idiosyncratic volatility dengan expected return. Idiosyncratic volatility dihitung dengan pendekatan langsung (direct method), yaitu standar deviasi dari residual yang dihasilkan model asset pricing Fama-French Five Factor. Penelitian ini menguji idiosyncratic volatility secara contemporaneous dan ex-ante. One-month lagged idiosyncratic volatility digunakan sebagai proksi dari expected idiosyncratic volatility. Metode yang digunakan dalam menguji model penelitian adalah Fama-Macbeth Cross-Sectional Regression. Hasil penelitian menunjukkan bahwa terdapat pengaruh yang positif dan signifikan antara realized idiosyncratic volatility dengan expected return pada waktu yang bersamaan (contemporaneous). Sedangkan secara ex-ante terdapat pengaruh yang negatif dan signifikan antara one-month lagged idiosyncratic volatility dengan expected return.


Keywords


Idiosyncratic Volatility, Asset Pricing, Fama-Macbeth Cross-Sectional Regression

Full Text:

PDF

References


Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17, 223-249.

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. Journal of Finance, 61(1), 259-299.

Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2009). High idiosyncratic volatility and low returns: International and further U.S. evidence. Journal of Financial Economics, 91, 1-23.

Asparouhova, E., Bessembinder, H., & Kalcheva, I. (2013). Noisy prices and inference regarding returns. The Journal of Finance, 68(2), 665-714.

Bali, T. G., & Cakici, N. (2008). Idiosyncratic volatility and the cross section of expected returns. Journal of Financial and Quantitative Analysis, 43(1), 29-58.

Bali, T. G., Cakici, N., Yan, X. S., & Zhang, Z. (2005). Does idiosyncratic risk really matter? The Journal of Finance, 60(2), 905-929.

Banz, R. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics , 3-18.

Basu, S. (1977). The investment performance of common stocks in relation to their price-earning ratio: A test of the efficient market hypothesis. Journal of Finance, 663-682.

Campbell, J. Y., Lettau, M., Malkiel, B. G., & Xu, Y. (2001). Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk. Journal of Finance, 56(1), 1-43.

Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.

Chandra, I. H. (2013). Analisis Pengaruh Idiosyncratic Volatility terhadap Expected Return Pada Saham yang Terdaftar di Bursa Efek Indonesia Periode 2006-2010. Skripsi. Fakultas Ekonomi Universitas Indonesia.

Chopra, N., Lakonishok, J., & Ritter, J. (1992). Measuring abnormal performance: Do stocks overreact? Journal of Financial Economics, 31(2), 235-268.

Chordia, T., Subrahmanyam, A., & Anshuman, V. (2001). Trading activity and expected stock returns. Journal of Financial Economics, 59(1), 3-32.

DeBondt, W. F., & Thaler, R. (1985). Does the stock market overreact? Journal of Finance, 40(3), 793-805.

Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. Journal of Finance, 48(2), 427-465.

Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116, 1-22.

Fama, E. F., & MacBeth, J. D. (1973). Risk, retun, and equilibrium: Empirical tests. Journal of Political Economy, 81(3), 607-636.

Fu, F. (2009). Idiosyncratic risk and the cross-section of expected stock returns. Journal of Financial Economics, 91, 24-37.

Goetzmann, W., & Kumar, A. (2004). Why do individual investors hold under-diversified portfolios? Unpublished working paper. Yale University.

Goyal, A., & Santa-Clara, P. (2003). Idiosyncratic risk matters! Journal of Finance, 58(3), 975-1007.

Guo , H., & Savickas, R. (2010). Relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns. Journal of Banking and Finance, 34, 1637-1649.

Guo, H., Kassa, H., & Ferguson, M. F. (2014). On the relation between EGARCH idiosyncratic volatility and expected stock returns. Journal of Financial and Quantitative Analysis, 49(1), 271-296.

Huang, W., Liu, Q., Rhee, S. G., & Zhang, L. (2010). Return reversals, IV, and expected returns. Review of Financial Studies, 23(1), 147-168.

Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: Implications for stock market efficiency. The Journal of Finance, 48(1), 65-91.

Jegadeesh, N., & Titman, S. (2001). Profitability of momentum strategies: An evaluation of alternative explanations. The Journal of Finance, 56(2), 699-720.

Levy, H. (1978). Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio. American Economic Review, 68(4), 643-658.

Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13-37.

Malkiel, B. G., & Xu, Y. (2003). Investigating the behavior of idiosyncratic volatility. Journal of Business, 76(4), 613-645.

Markowitz, H. (1959). Portfolio selection. Efficient diversification of investments. Yale University Press.

Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 42, 483-510.

Miralles-Marcelo, J. L., Miralles-Quirós, M. d., & Miralles-Quirós, J. L. (2012). Asset pricing with idiosyncratic risk: The Spanish case. International Review of Economics and Finance, 21, 261–271.

Nartea, G. V., Ward, B. D., & Yao, L. J. (2011). Idiosyncratic volatility and cross-sectional stock returns in Southeast Asian stock markets. Accounting and Finance, 51(4), 1031-1054.

Novy-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108, 1-28.

Ross, S. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.

Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 19(3), 425-442.

Titman, S., Wei, K. J., & Xie, F. (2004). Capital investments and stock returns. Journal of financial and Quantitative Analysis, 39(4), 677-700.

Wang, M.-S. (2012). Idiosyncratic volatility, illiquidity and the expected stock returns: Exploring the relationship with quantile regression. Investment Management and Financial Innovations, 9(4), 104-112.




DOI: http://dx.doi.org/10.22441/mix.2019.v9i2.002

Refbacks

  • There are currently no refbacks.


MIX: Jurnal Ilmiah Manajemen
Journal URL: http://publikasi.mercubuana.ac.id/index.php/Jurnal_Mix
Journal DOI: 10.22441/jurnal_mix
P-ISSN: 2088-1231
E-ISSN: 2460-5328

Alamat Redaksi :
Universitas Mercu Buana Program Studi Magister Manajemen
Gedung Tedja Buana Jl. Menteng Raya No.29, RT.2/RW.7, Kb. Sirih, Kec. Menteng, Kota Jakarta Pusat, Daerah Khusus Ibukota Jakarta 10340

The Journal is Indexed and Abstracting by:

    

 

View My Stats