Ditemukan 1 dokumen yang sesuai dengan query
Kim-Sin Teh
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ABSTRAK
The study analyzes the beta-return characteristic, considering the asymmetric beta behavior in the up market versus the down market for the Bursa Malaysia (BM). This study uses a sample period from 2001-2015 with two dual-beta models, the capital asset pricing model (CAPM), and the Fama-French, three-factor (FF3F) model, to examine 60 stocks listed on the bourse. The estimated return and beta indicate that most stocks have experienced an increasing (decreasing) beta in the downtrend (uptrend) ...
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Depok: FEUI - Management Research Center (MRC), 2017
330 ICMR 9:1 (2017)
Artikel Jurnal Universitas Indonesia Library
