Pengaruh Downside Beta, Upside Beta, dan Beta terhadap Expected Return (Studi pada Saham yang Termasuk dalam 50 Leading Market Capitalization di Bursa Efek Indonesia Periode 2012-2015)

摘要

Return or return on an investment is required by the investor. Most investors currently prefer shares in emerging markets. Return in the emerging market is not always symmetrical, it shows return in the emerging market is not normally distributed. The purposive of this research want to learn, compare, and explain about some model of stock risk. On this research downside risk expressed with beta downside. The models used in this research among others, dowside beta, upside beta, and beta. The kind of research is explanatory research with quantitative approach and using multiple linear regression analysis method. This research uses secondary data types taken from 50 Leading Market Capitalization in Indonesia Stock Exchange 2012-2015, with using purposive sampling technique there are 25 company samples. The outcome of this research explain partially that beta has a significant effect on expected return. Beta models can deliver lowest risk and high returns, so this model is appropriate for investors to use.