Pengaruh Perubahan Book to Market Value, Nilai Tukar, dan Ukuran Perusahaan terhadap Perubahan Return Saham

*Etna Nur Afri Yuyetta  -  Universitas Diponegoro, Indonesia
Published: 1 Nov 2010.
Open Access
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Abstract
Capital market theory is concerned with the equilibrium relationship between risk and expectedreturn on risky assets (Drew, et al (2003). This study aims to investigate the effects of bookto-market value, exchange rate and firm’s size changes on the stock returns. The use of Engle-Granger’s Error Correction Model completed with Cointegration Test, allow this study to testthe short term as well as the long term relationship between variables. The evidence show thatbook-to-market value and exchange rate changes do predict the stock return changes, but not forthe firm’s size. The interpretations and the implications are discussed.
Keywords: book to market value, nilai tukar, ukuran perusahaan dan return saham

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