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"Studi pada karakteristik risiko dan return telah mendapat perhatian yang besar. Beberapa studi pada literatur keuangan perusahaan telah menguji apakah risiko default memiliki pengaruh terhadap return saham perusahaan, akan tetapi hasilnya seringkali bervariasi dan menjadi perdebatan. Penelitian terdahulu memperoleh hasil empiris yang bervariasi karena mengacu pada indikator risiko default dan sample dari pasar ekuitas yang berbeda. Tujuan utama dari penelitian ini adalah untuk mengevaluasi pengaruh risiko default terhadap pengembalian ekuitas menggunakan data yang diambil dari perusahaan-perusahaan non-keuangan pada Indeks Harga Saham Gabungan (IHSG) di Indonesia untuk periode penelitian 2008-2017. Penelitian ini menggunakan model Merton (1974) seperti yang dilakukan Vassalou & Xing (2004) untuk membangun proxy dari risiko default. Kelebihan dari model ini adalah mempertimbangkan volatilitas pada asset perusahaan dalam mengestimasi risiko default. Dengan metode ini, perusahaan dapat memiliki tingkat ekuitas dan hutang yang serupa, namun bisa saja memiliki probabilitas default yang sangat berbeda. Hasil penelitian menunjukkan bahwa risiko default memiliki pengaruh yang positif dan signifikan pada pengembalian ekuitas.

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The study of the characteristics of risk and return has received great attention. Several studies in finance literature have tested whether default risk has an influence on company's stock returns, but the results are often conflicting. Previous research derive varying empirical results because they refer to default risk indicators and samples from different equity markets.

The main objective of this study is to evaluate the effect of default risk on stock return using data taken from non-financial companies on the Indonesia Composite Index (IDX Composite) in Indonesia for the 2008-2017 research period.

This study uses Merton (1974) model as done by Vassalou & Xing (2004) to build a proxy for the risk of default. The advantage of this model that it considers the volatility of company's assets in estimating default risk. Companies can have similar levels of equity and debt, but possibly have very different default probabilities. The results of the study show that default risk has a positive and significant effect on equity returns."

"Penelitian ini membahas tentang pengaruh liquidity shock terhadap return saham yang terdaftar di Bursa Efek Indonesia pada tahun 2015-2019. Liquidity shock merupakan ukuran likuiditas yang belum banyak dieksplorasi dalam penelitian terkait asset pricing. Return saham yang diuji dalam penelitian ini adalah weekly excess return. Pengujian dilakukan dengan mengkontrol variabel ukuran perusahaan yang diproksikan dengan market capitalization, ukuran ilikuiditas berupa relative bid-ask spread, dan ukuran sensitivitas berupa beta. Analisis yang dilakukan adalah analisis univariat pada level portofolio termasuk signifikansi dan compare means menggunakan one-way ANOVA dan independent sample t-test, analisis regresi linear, serta analisis regresi logistik. Hasil analisis menunjukkan bahwa variabel liquidity shock berpengaruh negatif signifikan terhadap weekly excess return pada regresi linear dengan tingkat signifikansi 0,1 dan berpengaruh negatif signifikan terhadap peluang terjadi return positif pada regresi logistik dengan tingkat signifikansi 0,05. Pada analisis univariat dihasilkan pergerakan nonmonotonik seiring meningkatnya liquidity shock, dengan rata-rata return yang signifikan pada titik ekstrem di desil 1 dan desil 10.

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This research discusses the effect of liquidity shock on the return of listed stocks in the Indonesia Stock Exchange for the year 2015-2019. Liquidity shock is a largely unexplored area in asset pricing literature. Stock return used as variable in this research is weekly excess return. This research using company size proxied by market capitalization, illiquidity measure in form of relative bid-ask spread, and sensitivity

measure in form of stock beta as control variables. The tests conducted in this research are univariate portfolio analysis including significancy and compare means using one way ANOVA and independent sample t-test, linear regression, and logistic regression. The result of this research is that liquidity shock is having a negative effect on the stock return that significant on significance level 0.1 using linear regression an 0.05 using logistic regression. Univariate portfolio analysis resulted a non-monotonical movement concurrently with increase of liquidity shock with significance mean on extreme value at

decile 1 and decile 10."

"Penelitian ini bertujuan untuk menganalisis pengaruh bulan Ramadhan sebagai salah satu momentum keagamaan terhadap risiko, tingkat pengembalian, likuiditas, dan Indeks Harga Saham Gabungan IHSG di Bursa Efek Indonesia periode 2013-2017. Likuiditas dalam penelitian ini diukur dengan menggunakan Roll rsquo;s Measure, risiko dan tingkat pengembalian diukur menggunakan Generalized Autoregressive Conditional Heteroskedasticity GARCH , dan IHSG diukur menggunakan angka indeks sederhana atau simple agregative method berdasarkan perubahan harga setiap harinya. Hasil penelitian ini menunjukkan bahwa Ramadhan tidak memiliki pengaruh signifikan terhadap variabel-variabel penelitian di Bursa Efek Indonesia yang berarti bahwa bulan Ramadhan tidak berpengaruh terhadap pasar saham di Indonesia.

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This research aims to analyze the influence of Ramadan as one of religious momentum in terms of risk, rate of return, liquidity, and composite stock price index CSPI in Indonesia stock exchange in the period of 2013 2017. The liquidity in this study is measured with Roll rsquo s Measure, while the risk and rate of return are measured using Generalized Autoregressive Conditional Heteroskedasticity GARCH , and the CSPI is measured using simple index number or simple aggregative method based on the daily price change. The result of this research designates that Ramadan does not have any significant influence on the research variables in Indonesia Stock Exchange which indicates that Ramadan does not affect the stock market in Indonesia."

"Ritter and Welch (2002) explain there are two types of IPO firms, namely higher quality firms and lower quality firms. This research propose the third type, namely bad IPO firms which manipulate and force IPO underpricing. Bad IPO firms are subset of lower quality IPO firms that force false signal as higher quality firms. The false signal was hidden by managing post-IPO trading. Trading management are indirectly funded by using balance sheet cash. Hypothesis testing with the empirical model 1 was to confirm the role of CashRatio as the moderating variable that interact DER to affect IPO underpricing which originally was not. The findings support the predictions that interactive variable DER*CashRatio affect IPO underpricing. A managed trading had a non negative profits constraint so that selective post-IPO trading was conducted to cause trading imbalance observable as skewed trading volume (Skewness). Subsequent tests with the empirical model 2 was to confirm the role of Skewness as the moderating variable that interact VolRatio to affect post-IPO stock return (RGM) which originally was not. The findings support the predictions that interactive variable LnVolRatio*Skew affect RGM. Both findings confirm this research predictions on the possibility of manipulated IPO trading in Indonesia IPO 2009-2012."

"This paper is motivated by the fact that emerging market assets size has been expanding and tryingto use sovereign debt market as part of capital market as main research focus. It is highlightingthe distinction between default and non-default determinants and examining their significance inexplaining emerging market sovereign bond yield spread. Using Cross-Sectional Fixed-Effect PanelEstimator, we found that both default (as proxied by Credit Rating and Outlook Index) and non-default(as proxied by 3-month Fed Funds Futures) determinants has significant explanatory power tosovereign bond yield spread. Extensively, we also found the significance to add volatility of 3-monthFed Funds Futures and Fed Target Rate basis and volatility of advanced stock markets as variablesto stand for non-default determinants in the model. The significance of the latter model is strengthenedby higher forecasting as well as indicates the significant role of US market to emerging marketsovereign bond market."

"ABSTRAKLikuiditas adalah salah satu faktor yang harus diperhatikan saat berinvestasi. Penelitian ini memiliki tujuan untuk mengetahui pengaruh illikuiditas saham yang diestimasi dari tahun lalu dengan return bulanan periode 2006-2015 di Bursa Efek Indonesia. Beberapa penelitian empiris sebelumnya menemukan adanya hubungan positif signifikan antara illikuiditas dan return saham. Dalam penelitian pasar modal Indonesia dengan memasukkan variabel beta, ukuran perusahaan, dan dividend yield ditemukan hubungan yang positif dan signifikan antara illikuiditas saham yang diestimasi dari bulan yang sama pada tahun sebelumnya.

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ABSTRACTLiquidity is one of the factors that must be considered when investing. The purpose of this research is to know the effect of stock illiquidity estimated from last year to monthly stock returns in the period 2006 2015 in Indonesia Stock Exchange. Some previous empirical studies found a significant positive relationship between illiquidity and stock return. In Indonesia capital market research by including beta, firm size, and dividend yield shows a positive and significant relationship between stock illiquidity estimated from the same month in the previous year."

"This paper studies the impact of the stock market continuity on the returns volatility and on themarket efficiency in the Casablanca Stock Exchange. For the most active stocks, the trading mechanismused is the continuous market which is preceded by a call market pre opening session. Resultsobtained concerning return volatility and efficiency under the two trading mechanisms show that thecontinuous market returns are more volatile than the call market returns and 50% of stocks studiedshow independence between variations."

"In this paper, we analyze the empirical relationship between stock return and trading volumebased on stock market cycles. Using daily data for Jakarta Composite Index (JCI) closing price andtrading volume from 2010 to 2014, we identify the bull and bear phases, then we analyze the return–volume relationship in both contemporaneous and dynamic context. We find that (1) there is a positivecontemporaneous return–volume relationship in both bull and bear markets, which is only significantin bull markets; (2) no evidence of asymmetry in contemporaneous relationship is found; and (3)there exists a positive unidirectional causality from stock return to trading volume. Our research hastwo implications. First, in the bull market, overconfidence may grow with long-lasting past successand there is also momentum or positive feedback trading. Second, stock return is able to forecasttrading volume. In addition, our findings are robust for different sample period and data frequency."

"Penelitian ini meneliti hubungan antara likuiditas saham dengan proksi zero daily return dan kinerja perusahaan (Tobin’s Q) dengan variabel kontrol book value to assets, firm age, risiko idiosinkratik, dan volatilitas operating income. Penelitian ini menggunakan metode data panel yang seimbang dengan jumlah observasi sebanyak 75 firm-years observations. Untuk mengkontrol likuiditas endogen maka digunakan Two Stage Lest Square (2SLS) dan menggunakan langkahlangkah alternatif likuiditas. Hasil penelitian ini menunjukkan bahwa perusahaan dengan saham yang likuid memiliki kinerja yang lebih baik. Namun likuiditas tidak meningkatkan kinerja perusahaan secara signifikan di sekitar terjadinya desimalisasi. Selain itu, penelitian ini menemukan bahwa adanya pengaruh yang positif antara likuiditas dan kinerja perusahaan bukan dikarenakan likuiditas premium, sentimen investor, maupun feedback effect.

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This study examines the relationship between stock liquidity using daily zero returns as its proxy and firm performance (Tobin's Q) with book value of assets, firm age, idiosyncratic risk, and volatility of operating income as control variables. Moreover, this study uses balanced panel data methods by number of observations as much as 75 firm-years observations. In order to control the endogenous liquidity, this study uses Two Stage Least Square (2SLS) and alternative measures of liquidity.

Results of this study indicate that firms with liquid stocks have better performance although liquidity does not improve firm performance significantly around the decimalization. In addition, this study found that a positive influence between liquidity and firm performance is not due to liquidity premium, investor sentiment, and the feedback effect."