ANALISA FAKTOR - FAKTOR KEUANGAN TERHADAP RESIKO SISTEMATIS DI BURSA EFEK JAKARTA

Abstract

This research has two objectives. The first objective is to analyze the impact of seven fundamental
factors (Dividend Payout, asset growth, leverage, liquidity, asset size, earnings variability,
accounting beta) to the bussiness risk. Bussiness risk are measured by using Single
Index Model (Beta) and four lag and four lead Fowler and Rorke Method (Corrected Beta).
The sample was taken by using purposive sampling method. the taken sample consist of 37
companies. The research period devide in two sub period : before crisis Period (1992 up to
1996) and after crisis period (1997 up to 2001). The research result show that from the seven
factors assumed to influence on beta, there are four factors which partially show positive influence
in before crisis period : Dividend Payout, liquidity, asset size, earnings variability, and
there are six factors : Dividend Payout, asset growth, leverage, liquidity, asset size, accounting
beta in after crisis period. The other result show that from seven factors assumed to influence
on the corrected beta, there are five factors which partially show positive influence in
before crisis period : Dividend Payout, asset growth, liquidity, asset size, earnings variability
on before crisis period, and Five factors too: Dividend Payout, leverage, liquidity, asset size,
accounting beta in after crisis period. The result on the Chow test indicated that the effect of
fundamental factor on bussiness risk are significantly different between before crisis period
and after crisis period.
Keywords : Dividend Payout, Asset Growth, Leverage, Liquidity, Single Index Model