Syntax Literate: Jurnal Ilmiah Indonesia p�ISSN:
2541-0849 e-ISSN: 2548-1398
Vol. 7, No. 09, September 2022
THE
IMPACT OF INVESTOR SENTIMENT, CREDIT RATING, PROFITABILITY, AND LEVERAGE ON
STOCK RETURN LQ45 PERIOD FROM 2017 TO 2021
Drastya
Amalia, Dewi Hanggraeni
Fakultas Ekonomi
dan Bisnis Universitas Indonesia, Universitas Pertamina
Gedung MMUI,
Indonesia
E-mail: [email protected]
Abstract
The purpose of this research is to identify the effect
of investor sentiment, credit ratings, profitability, and leverage on stock
returns. This study uses panel data analysis using the Panel Least Square
method which is carried out on financial data on 30 companies that are members
of the LQ45 composite index during the period 2017 to 2021. In this study,
stock returns are the dependent variable, investor sentiment, credit ratings,
profitability, and leverage become independent variables, and firm size, book
to market ratio, also COVID19 become control variables. The study's findings
indicate that the profitability variable has a significant effect on stock
returns and other independent variables have no significant effect on stock
returns. This study aims to assist investors in identifying and
analyzing the variables that influence the company so that investors gain stock
returns in the future.
Keywords: stock
return, investor sentiment, credit rating, profitability, leverage
Introduction
The World Health
Organization (WHO) declared coronavirus disease (COVID19) a global pandemic in
March 2020. The announcement caused many countries to implement strict
quarantine policies. This policy has an impact on economic activity in
countries affected by COVID-19 and the world economy. The strict quarantine has
had a negative impact on all economic sectors, including the financial market
which resulted in a severe economic crisis (Smales, 2021). Indonesia is one of
the countries that is being tested with an unprecedented crisis (Kemenkeu,
2020).
Figure
1.
Composite Stock Price Index for the Period January 2017-December 2021
Source: Yahoo Finance
The Financial Services
Authority (OJK) stated that the Jakarta Composite Index (IHSG) was
significantly impacted by COVID19. The graph shows that within three months,
namely from the beginning of 2020 to March 20 2020, the JCI fell from 6,300 to
3,900 (BI, 2022). COVID-19 has brought a shift in revenue for most industries
that were closed or restricted during the quarantine period. The stock market crash in March 2020 did not happen
because of a weak economic foundation but rather by a limit on consumer
spending, which forced businesses to lower their earnings expectations. Due to
this, the market reevaluates the value of the company, which results in a large
drop in share prices (Mazur, Dang, & Vega, 2021). Research based on data
from the US revealed that the value of the equity market decreased in response
to pandemics like COVID-19 and SARS (Alfaro, Chari, Greenland, & Schott,
2020). This indicates that the downturn in the stock market index did not just
happen in Indonesia. In addition to quarantine regulations
that restricted economic activity, the stock market's considerable decrease was
also brought on by shifts in investor mood (Chundakkadan & Nedumparambil,
2021). According to Brown and Cliff's (2001) study, investor sentiment and
stock market performance are highly correlated. That sentiment contributes to
predictions of future stock market returns.
Figure
2.
Transaction Volume per Semester in the Capital Market 2017 -2021 Period
Source:
Researcher summary from OJK database
Based on graphic data
obtained from statistical data reports per semester published by the Financial
Services Authority (OJK), the volume of stock trading transactions fluctuated
from 2017-2021. Transaction volume tends to be steady from Semester I of 2017
to Semester II of 2018, which then increases from Semester I of 2019 to
Semester II of 2019. When COVID19 started to enter Indonesia, transaction
volume decreased significantly to 923,789 million in Semester I � 2020, which
was a decrease of 51.27% compared to the previous period. After the decrease in
transaction volume, transaction volume has again increased from Semester I �
2020 to Semester II � 2021. Investors were hesitant to acquire and sell shares
due to the declining state of the capital market when COVID19 entered
Indonesia. Investors were also speculating on capital market stock returns due
to lower corporate productivity. Therefore, it is necessary to conduct research
on how investor mood affected stock returns both prior to and during COVID19
entered Indonesia.
Investors anticipate
larger profits from high-risk investments based on the empirical basis. Companies
with poor credit ratings are a risky investment for investors, therefore
investors hope to get a higher return to compensate up for that risk. Investors
tend to invest in speculative stocks because of positive expectations, because
investors generally ignore credit ratings as a determinant of firm value and
bankruptcy risk (Avramov et al., 2009).
Numerous economic sectors
have been negatively impacted by COVID19, which has also had an effect on
Indonesia�s growth in economy. Most people choose to set limits on their
spending and prioritize spending on daily necessities, such as food, medicine
and other basic household needs. Research conducted by Mehta (2020) shows that
consumer behavior in several countries is very conservatives with their
spending and prioritizing shopping for household consumer goods. Changes
in consumer behavior caused by COVID19 have a very significant impact on
company profitability. Government regulations that restrict
businesses, particularly by enforcing work from home (WFH), also have an impact
on business productivity.
Basically the goal of
every company is to make a profit so that the company can operate under any
conditions. High earnings or profits made by the company can have their own
advantages for the business, one of which is luring potential investors to
invest in the business. Shares are valuable papers that serve as one metric of
shareholder profit. Visualization of company finances can be seen through the
company�s financial health. When a company is in good financial health, it is
likely to be in strong business conditions, and when it is not, it
can even be an indicator of a company�s bankruptcy (Karim et al., 2021).
Financial reports that
are released accessible for the public facilitate evaluation of company
development. Nvestors examine financial reports containing information about
financial performance as they considering whether or not to invest in a firm
(Meythi et al., 2011). One of the variables that affects the increase or
decrease of stock prices is financial performance. Through financial reports
published on the Indonesia Stock Exchange or Yahoo Finance, financial ratios
can be analyzed to assess a company�s financial performance. The results of
interpreting financial ratios are used as a consideration for decision making
in granting credit, purchasing a share, and investing (Rukmana, 2020). According
to Robert Ang (1997), there are five categories of financial measures such as
profitability ratios, leverage ratios, activity ratios, liquidity ratios, and
market ratios. Leverage ratios and profitability will be the primary focus of
this study. The leverage ratio indicates the firm's capacity to
efficiently utilize fixed-load assets or funds (debt) in order to achieve the
optimum feasible level of business income. The profitability ratio indicates
the company�s ability to generate profits or an indicator of the efficiency of
the company management. Because COVID19 has an effect on falling corporate
efficiency, it also has an effect on the condition of the two ratios that
collectively make up a company, thus it is essential to study the profitability
ratio and leverage ratio.
Investor sentiment
According
to research by Ryu, Ryu, and Yang (2019), the primary factor in behavioral
finance studies that describes asset price movements and irrational exuberance
from the money market is investor sentiments. Investor sentiment is defined as
an investor�s unsupported belief about future cash flow and investment risk
(Baker & Wurgler, 2006). The idea of noise traders (Black, 1986) is where
the broad definition of sentiment investors is derived. A number of
behavior-based models that attempt to explain how noise traders affect stock
prices arise from the theory of noise traders (De Long, 1990; Shleifer;
Campbell and Kyle, 1993).
In his writings, Kencana
(2019) asserts that domestic and international economic conditions have an
impact on investors� decisions to invest. Investors may find it useful to
obtain information from a variety of sources, including social conditions,
politics, government or central bank policies, and company fundamentals.
Historical price and yield information might also have an impact on investor investment
decisions. The way that investors respond to specific market circumstances may
result in an impact on price changes and return. Depending on the outcome of
the investor�s rational or illogical analysis, this investor response may be
either positive or negative. Investor sentiment is the term for this response.
Credit rating
Rating is a systematic
evaluation of a nation�s or business�s capacity to pay its debts. A company�s
rating can be compared to that of other companies in order to determine which
has greater capacity and which has lesser capabilities. Rating companies are
responsible for issuing ratings, and typically, a rating organization needs
officially government approval to operate.
Rating is one of the
factors that investors consider when selecting whether to invest in a company,
according to Manurung (2008). The information provided in the rating will
indicate the degree to which a company can rely on investor money to meet its
financial responsibilities. Investors generally prefer companies with a high
rating over those with a very low rating. As a result, investors usually demand
a larger premium for the bonds of a company with a relatively low rating in
order to compensate up for the risks undertaken by investors. The
fundamental goal of the rating procedure is to give prospective investors
reliable information about the financial performance and commercial position of
enterprises that issue bonds (Rahardjo, 2004). The fundamental goal of the
rating procedure is to give prospective investors reliable information about
the financial performance and commercial position of enterprises that issue
bonds (bonds) (Rahardjo, 2004). A corporation called Credit Rating Agency
assigns ratings for credit to bond issuers. The credit rating influences the
interest rate imposed to the debt and measures creditworthiness and ability to
repay. Credit ratings can also be used by businesses to improve their market or
brand image.
Profitability
Profitability is an
indicator of a company�s capacity to turn a profit or the efficiency of its
management. The ability to make a profit can be assessed using either the
company�s own capital or all of the funds that are invested within. If it is
known how much profit is used to obtain the profit, investor will be able to
regulate the company�s profitability as a result of this limitation
(Wiagustini, 2010).
According
to Brigham and Houston (2014), return on assets (ROA) is the proportion of net
income to total assets used to calculate the return on total assets after
interest and taxes. The rate of return or profit from managing a company�s
assets and investments is known as return on assets (ROA). In this study,
profitability is measured by return on assets (ROA). The capacity of a company�s
assets to produce profits is gauged using ROA.
Leverage
Leverage demonstrates a
company�s ability to efficiently utilise resources with a fixed liability
(debt) in order to achieve the highest possible amount of commercial profits
(Arrita, 2004). Leverage quantifies how much a firm is supported by debt or the
ability of the company to meet both short-term and long-term financial
obligations (Wiagustini, 2010). The Debt to Total Asset Ratio (DAR) and the
Debt to Equity Ratio (DER) are only two examples of the several types of leverage
ratios that are frequently employed. In order to determine how
much of a company�s assets are financed by debt or how much debt influences
asset management, this study uses the Debt to Total Asset Ratio (DAR) as a
financial ratio.
Stock Returns Influencing Factors
The findings of a study
by Fama and French (1992), The size of the market capitalisation can be used to
estimate firm size. The quantity of outstanding shares at the current share
price can be used to calculate market capitalization (market value equity).
According to the Fama and French Three Factor Model, firm size is a company
attribute that can affect the size of stock returns (Fama & French, 1992).
In addition, further research findings by Darusman (2012) indicate that small businesses
have the ability to be more robust to economic situations since they work to
regulate their businesses� profit growth rates.
The book to market ratio,
which measures the difference between share prices on the stock market and
their book value, is used in this study to assess how investors perceive about
the company (Brigham & Houtson, 2018). The book to market ratio, according
to Harahap (2007), compares the book value of a company�s shares to the market
value on the capital market. The worth of equity as perceived by investors is
its market value. An indication that the market values a company significantly
less than its book value is a corporation with a book-to-market ratio that is
relatively high. The higher the book to market value, the lower the market's
appreciation of the company�s shares is expected to be.
Hypotesis
Effect
of Investor Sentiment on Stock Return
The
results of study by Lee, Sung, and Seo (2022) from 2000 to 2015 demonstrate
that retail investor sentiment in the form of an imbalance in buying and
selling transactions contributes to a future relationship that is adverse to
the link between credit risk and excess returns. Positive retail investor
sentiment often results in worse stock returns going forward due to higher credit
risk.
H1: Investor sentiment has a significant negative
effect on stock return
Effect
of Credit Rating on Stock Return
With
a credit risk number of 10 or above, according to study by Lee, Sung, and Seo
(2022), there is a negative correlation between credit risk and stock returns.
This shows that companies that have speculative stocks with a credit risk value
greater than ten represent an anomaly of distress risk that affects individual
sentiment.
H2: Credit rating has a significant negative effect
on stock return
Effect
of Profitability on Stock Returns
The outcomes of Nugroho�s research from 2020
indicate that the profitability variable (Return on Assets) has beneficial
effects on stock returns. A high ROA figure, which enables the company to earn
stock returns from the company�s assets, indicates strong corporate
performance, which causes this beneficial effect.
H3: Profitability has a significant positive effect
on stock return
Effect
of Leverage on Stock Returns
According to study by Yun
& Kim (2022) on risk factors, namely the difference between systematic risk and unsystematic risk,
systematic risk (book to market ratio, business size, and leverage) has a
favorable impact on stock returns.
H4: Leverage
has a positive influence on stock return
Data source
The study that was
conducted was quantitative. Secondary data are the type of information used in
this study. The Annual Report collected from the Indonesia Stock Exchange (IDX)
and each company�s official website serve as the secondary sources of
information for this study. A corporation that is listed on the Indonesia Stock
Exchange (IDX) contributes to the author�s study population. Purposive sampling
is used in research sampling. The purposeful sampling approach involves
choosing samples based on predetermined standards. The following sample
criteria will be applied in the research to be conducted are companies that
were listed between 2017 and 2021 on the Indonesia Stock Exchange (IDX), The
company has closing stock price data for every 3-month period from 2017 to 2021,
the company�s equity value is not negative and the company is a part of the
composite LQ45 index.
Operational
Definitions of Variables and Measurements
Dependent
Variable
Stock Return
Stock returns served as
the dependent variable in the research that the authors conducted. What is
meant by stock return is the return that investors will receive on their stock
investment. Capital gain/loss and dividend yield are the two types of stock
returns. The following formula (from Hartono, 2010) will be used to determine
returns in this study:
������ �..
(1)
Information:
Pt�������� = Stock price at the close of the period t
Pt-1�������� =
Stock price at the close of the period t-1
DT������� = Dividends per share in the period t
Independent
Variable
Investor
Sentiments
In their article, Baker
and Wurgler (2007) stated that there are several things that have the potential
to become proxies for investor sentiment, one of which is trading volume. Previous
research by Maulina Agustya and Faisal (2018) and Feren and Bangun (2019) used
trading volume as a proxy for investor sentiment. The trade volume utilized in
this analysis is the same as that used in studies by Feren and Bangun (2019)
and Faisal (2018). The following formulation is used to calculate trading
volume:
Credit
Rating
Credit
rating agencies (credit agencies) are organizations that have a part in
providing credit to businesses, governments, and other bond issuers. Through
rating activities, a credit rating agency�s goal is to provide an unbiased,
reliable, and independent assessment of the credit risk of publicly issued debt securities. The Indonesian
Securities Rating Agency (PEFINDO) and Fich Ratings are the top credit rating
companies in Indonesia. The official websites of PEFINDO and Fich Ratings allow
anyone to access the credit Ratings of the companies that make up LQ45. We
obtained the dummy utilized in the study by using the values given in Lee,
Sung, & Seo�s (2022) study:
Table
1
Credit
Ratings Summary
Source:
Researcher on Microsoft Excel
Companies
with credit ratings over idBBB- are given dummy 1, whereas those with credit
ratings below idBBB- are given dummy 0, according to study by Lee, Sung, and
Seo (2022). The value (VAL) used to process research data is the dummy
variable.
Profitability
Return
on Assets (ROA), or the ratio, indicates a company�s capacity to generate net
profit from the sum of its assets or its quantity of invested capital (Gultom
et al., 2020). The following is the ROA formula:
Leverage
A
financial ratio called the debt to total asset ratio (DAR) is used to determine
how much of a company�s assets are financed by debt and how much the debt has
an impact on asset management. Gitman and Zutter (2015) claim that DAR can be
expressed as follows:
Multiple
Linear Regression Model
The regression model that will be employed
in the research that the writer will do is as follows:
Information:
Y����������� = The value of the dependent variable (stock return)
X����������� = Independent variable values (TV, VAL, ROA, DAR)
���������� = Constant
X1��������� = TV
X2��������� = VAL
X3��������� = ROA
X4��������� = DAR
e������������ = Interfering variable / error
Results and Discussion
The results of multiple
linear regression analysis using the Least Square Panel produce independent
variables, namely the results of the t test indicating that Profitability as
measured by Return on Assets (ROA) has a p-value of 0.0137 < α = 0.05
with a statistical value of -2.49 shows profitability has a significant
negative effect on stock returns. Other independent variables, namely Investor
sentiment as measured by Trading Volume (TV), Credit rating as measured by
Values (VAL), and Leverage as measured by Debt to Total Asset Ratio (DAR) have
a p-value of 0.0137 > α = 0, 05 so that the independent variable has no
significant effect on stock returns.
Table 2
Least Square Panel Estimation Results for Stock
Returns
The test's coefficient of
determination serves as an instrument to estimate and determine how much the
independent variable's effect on the dependent variable contributes. According
to the test results for the coefficient of determination in the Panel Least
Square model regression results, the independent variable can explain or
influence the dependent variable by 6.81%, and the amount that was not obtained
from 100% is reduced by the percentage above is another variable outside the
research variable that can explain or influence the dependent variable. The
adjusted R-squared value for this relationship was 0.0681, or 6.81%.
The F test aims to find
out whether in the regression model, the independent variables have an
influence on the dependent variable together. The results of data processing
show that the probability value of the independent variable has an f-statistic
of 0.0165 < α = 0.05. These results indicate that there is a
significant influence between the independent variables, namely TV(X1),
VAL(X2), ROA(X3), DAR(X4), SIZE(5), BM(X6), and COVID(X7) together. on the
dependent variable, namely stock returns.
Analysis of Hypothesis Testing Results
Discussion regarding the
results of data processing from this study and testing the hypothesis will be
studied in more depth. The results of the research will focus on the discussion
of LQ45 infrastructure sector companies recorded in the 2017-2021 period.
Figure
3. JCI
Movement of All Sectors in 2019-2020
The biggest decrease
occurred in March 2020, while the stock price started to trend downward in
January 2020. Following the March 2020 fall, the stock price then increased. Infrastructure
showed a significant share price decrease of -35.88% over the JCI period of
September 30 2019 to September 30 2020. The infrastructure industry suffered
the greatest decline, hence this study will go into more detail on this sector.
A brief table of the companies under studies is provided below:
Table
3
Companies
Infrastructure Sector Composite Index LQ45
Discussion
The data processing used
in this study shows that, when the trading volume (TV) measurement is used as a
proxy for the investor sentiment variable, it has no discernible impact on
stock returns. The findings of this study are consistent with those of Black's
(1986) study, which found that sentiment-driven investors are irrelevant.
According to this study, noise trading is crucial for maintaining a liquid
market, but investors cannot use noise trading as a means of making money.
In
practice, more trading noise makes the market more liquid, thus enabling
investors to observe price movements. In fact, trading noise
itself is one of the factors that influence price noise. Stock prices provide
an overview of information, where the more the price of a stock falls from its
proper stock value, the more aggressive the trader's information will be. Traders
or investors will enter the capital market and take the first steps to buy
shares at a declining share price, with the hope of getting bigger profits. Specifically
after the government declared that COVID19 had entered Indonesia in March 2020,
stock price fluctuations in the infrastructure industry tended to decline. The
IHSG stock price, specifically with the JKSE code, likewise exhibits a pattern
of volatility not unlike that of the infrastructure sector. This
suggests that COVID19 has had an impact on stock prices across industries in
addition to the infrastructure sector.
Credit rating factors
have no discernible impact on stock returns, according to the results of data
processing involving credit ratings using values (VAL) as a measure of credit
rating variables. The findings of this study are consistent with those of
Saraswati, Nany, and Lyna's (2020) investigation of the population of
bond-issuing businesses for the years 2015 to 2017 that registered their stock
trading on the IDX. The findings demonstrated that there was no discernible
difference in stock returns prior to or following the bond rating announcement.
The publication of the bond rating is not the main source of information taken
into account to alter investors' investment decisions. The
credit rating provided by PEFINDO provides data that is largely accurate and
trustworthy in describing the state of the business issuing the shares. Based
on the study's findings, it can be said that stock investors do not use credit
ratings to help them decide whether to buy a company's stock or not. After and
throughout COVID19, the company's credit rating in the infrastructure sector
did not significantly alter. Because no concrete evidence of changes in the
credit rating assessment made by PEFINDO or Finch Ratings has been discovered,
this shows that COVID19 has not had an impact on the quality of the company's
performance regarding credit worthiness.
The analysis of research
data indicates that the profitability factor significantly lowers stock returns
as determined by return on assets (ROA). This is contrary to the research
hypothesis, which states that profitability significantly increases stock returns.
The data processing outcomes are consistent with studies on corporate distress
risk and future stock returns done by Yun & Kim (2022). The findings
demonstrated that low stock returns were a result of unsystematic risk using
profitability, leverage, and volatility factors as indicators. To receive
compensation and avoid unsystematic distress risk, rational investors must take
systematic distress risk. Research by Campbell, Hilscher, and Szilagyi (2008)
also lends support to the findings of this study by Yun and Kim (2022). An
intriguing finding of the analysis is that, with the exception of 2019 and
2020, when all businesses in the infrastructure sector saw a fall in
profitability, corporate profitability during and after the pandemic did not
significantly change. The results of the study show that
profitability as measured using ROA for all LQ45 companies that are included in
the infrastructure sector decreased when the COVID19 pandemic entered Indonesia
in 2020.
The data processing
results show that the credit rating variable has no appreciable impact on stock
returns in the research on the leverage variable using DAR as a measure of the
credit rating variable. The results of this study are consistent with studies
by Afriani & Yusra (2021), which show that leverage has no impact on stock
returns. This reveals that debt is the company's primary external source of
funding and that it cannot be used to predict whether a company's stock return
will increase or decrease. Furthermore, Khasanah & Darmawan
(2018) indicate that the leverage variable is unable to account for variations
in stock returns that investors predict. The study's findings suggest that
leverage is calculated using DAR for all LQ45 enterprises included in the
infrastructure sector both before and after the pandemic, which did not cause
any notable changes. The fact that stock returns have varied from year to year
across all companies is another intriguing finding. Even though they all belong
to the same industrial sector, namely the infrastructure sector, each has a
unique pattern of stock return movements.
Conclusion, Limitations, and Suggestions
The conclusion from the
results of the study is that the results of multiple linear regression analysis
using the Least Square Panel show that the independent variable, namely
profitability as measured by Return on Assets (ROA), has a significant negative
effect on stock returns. Other independent variables, namely
Investor sentiment as measured by Trading Volume (TV), Credit rating as
measured by Values (VAL), and Leverage as measured by Debt to Total Asset Ratio
(DAR) have no significant effect on stock returns.
�The limitations in this study are that the
variables used in the study only include stock returns, investor sentiment,
credit rating, profitability, leverage, and COVID19. This study has not
considered other factors that can affect stock returns. This research period is
also limited to the 2017-2021 period and only includes listed companies with an
LQ45 index and focuses on discussing companies in the infrastructure sector.
Suggestions
for further research is to extend the research period so that it is hoped that
the research results will be more representative. Future research can also take
into account other variables that can affect stock returns such as volatility,
liquidity, earnings per share, trading volume, monetary policy, and other
variables.
BIBLIOGRAFI
(Kemenkeu
2020) https://pen.kemenkeu.go.id/in/page/sosialekonomiglobal
Agustya
dan Faisal. 2018. ―Sentimen Investor Dan Ekspektasi Pertumbuhan Laba
Jangka Panjang Pada Industri Non Keuangan di Indonesia‖. Jurnal Ilmiah
Mahasiswa Ekonomi Manajemen Universitas Syiah Kuala, Vol 3(1)
Altman,
Edward I. (1968). Financial Ratios,
Discriminant Analysis and the Prediction of Corporate Bankcrupty. Journal Of Financial, 23 (4) : 189-209.
November 20, 2021. https://doi.org/10.1111/j.1540-6261.1968.tb00843.x
Andi
Supangat. (2010). Statistik. Jakarta: Kencana.
Ang,
Robbert, Buku Pintar: Pasar Modal Indonesia, Jakarta: Media Soft Indonesia,
1997
Ang,
Robert. (1997). Buku Pintar Pasar Modal Indonesia. Jakarta: Mediasoft.
Azizah,
Siti, Sugito, dan Alan Prahutama. (2014). Pengukuran Kinerja Portofolio Saham
Menggunakan Model Black-Litterman berdasarkan Indeks Treynor, Indeks Sharpe,
dan Indeks Jensen. Jurnal Gaussian, 3(4), 859-868.
Badan Pusat
Pengembangan dan Pembinaan Bahasa (n.d). Pandemi. Kamus Besar Bahasa Indonesia
(KBBI) Online. November 20, 2021. https://kbbi.web.id/pandemi
Baker,
Malcolm, dan Jeffrey Wurgler. 2006. ―Investor Sentiment and The
CrossSection of Stock Returns‖. The Journal of Finance, Vol. 61(4): 1645
� 1680.
Black, F. (1986). Noise. The Journal of Finance, 41(3),
529�543. https://doi.org/10.2307/2328481
Bodie, et al. (2007). Investment (7th Ed). New York:
McGraw-Hill.
Campbell,
J. Y., Hilscher, J., & Szilagyi, J. (2008). In search of distress risk. The
Journal of Finance, 63(6), 2899-2939.
Campbell,
J., Hilscher, J., & Szilagyi, J. (2005). In Search of distress risk.
Retrieved from https://EconPapers.repec.org/RePEc:zbw:bubdp1:4221.
Campbell,
John Y., and Albert S. Kyle. 1993. Smart Money, Noise Trading and Stock Price
Behaviour. The Review of Economic Studies. Vol. 60 No. 1. Pp: 1-34.
Chundakkadan,
R, Nedumparambil, E (2021) In search of COVID-19 and stock market behavior.
Glob Financ J 100639
Cui, R. dan
Y. Wu. (2007). Disentangling Liquidity
and Size Effects in Stock Returns: Evidence from China. University of
Vienna. November 22, 2021. https://doi.org/10.2139/ssrn.910248
Da, Z.,
& Gao, P. (2010). Clientele change, liquidity shock, and the return on
financially distressed stocks. Journal of Financial and Quantitative Analysis,
45(1), 27�48.
Darusman,
D. (2012). Analisis Pengaruh Firm Size,
Book to Market Ratio, Price Earnings Ratio, dan Momentum Terhadap Return
Portofolio Saham.
De
Long, Bradford, J, Shleifer, A, Summers, L.H., and Waldmann, R.J. 1990. Noise
Trader Risk in Financial Markets. Journal of Political Economy. Vol. 98 No. 4.
Pp: 703�738.
Dichev, I.
D. (1998). Is the risk of bankruptcy a systematic risk? The Journal of Finance,
53(3), 1131�1147.
Dichev,
Ilia D.. (1998). Is the Risk of
Bankruptcy a Systematic Risk. Journal
of Finance, 53(3), 1131-1147. November 22, 2021. https://doi.org/10.1111/0022-1082.00046
Fama, E.F
dan K.R. French. (1996). Multifactor
Explanation of Asset Pricing Anomalies. Journal of Finance, 51(1), 55-84. November
22, 2021. https://doi.org/10.1111/j.1540-6261.1996.tb05202.x
Fama, E.F. dan K.R. French. (1992).
The Cross-Section of Expected Stock
Returns. Journal of Finance,
47(2). November 22, 2021. https://doi.org/10.1111/j.1540-6261.1992.tb04398.x
Fama, E.F.
dan K.R. French. (1993). Common Risk
Factors in the Returns on Stocks and Bonds. Journal of Financial Economics,
33, 3-56. November 22, 2021. https://doi.org/10.1016/0304-405X (93)90023-5
Fitriati, I.R. (2010). Analisis
Hubungan Distress Risk, Firm Size, dan
Book to Market Ratio. Skripsi S1
Universitas Dipenogoro.
Garlappi,
L., Shu, T., & Yan, H. (2008). Default risk, shareholder advantage, and
stock returns. Review of Financial Studies, 21, 2743�2778
Getut
Pramesti. (2014) Kupas Tuntas Data Penelitian Dengan SPSS 22. Jakarta: PT Elex
Media Komputindo.
Ghozali,
Imam. (2013). Aplikasi Analisis Multivariate dengan Program IBM SPSS 21 Update
PLS Regresi. Semarang: Badan Penerbit Universitas Diponegoro.
Ghozali,
Imam. (2018). Aplikasi Analisis Multivariate dengan Program IBM SPSS 25.
Semarang: Badan Penerbit Universitas Diponegoro.
Griffin,
J.M. dan M.L. Lemmon. (2002). Book to
Market Ratio Equity, Distress Risk, and Stock Returns. Journal of Finance, 57(5).
November 21, 2021. https://doi.org/10.1111/1540-6261.00497
Griffin, W,
Ricky dan Ronald J Ebert. (2002). Management.
Jakarta: Erlangga.
Groves,
R.M. 1989. Survey Errors and Survey Costs. New York: Wiley
Husnan, S.
(2003). Dasar-Dasar Teori Portofolio dan Analisis Sekuritas. Yogyakarta: BPEE.
Imam
Ghozali. (2011). Aplikasi Analisis Multivariate Dengan Program IBM SPSS 19.
Semarang: UNDIP.
Juliansyah.
(2014).� Analisis Data Penelitian Ekonomi
dan Manajemen. Jakarta: Gramedia.
Justina,
Dormauli. (2017). Pengaruh Firm Size
dan Market to Book Ratio terhadap Return Portofolio. Jurnal Manajemen dan
Bisnis Sriwijaya, 15(2). January 20, 2022. http://dx.doi.org/10.29259/jmbs.v15i2.5701
Kamstra, M.
J., Kramer, L. A., & Levi, M. D. (2003). Winter blues: A SAD stock market
cycle. American Economic Review, 93(1), 324�343. Kaplanski, G., & Levy, H.
(2010). Sentiment and stock prices: The case of aviation disasters. Journal of
Financial Economics, 95(2), 174�201.
Karim, M. R., Shetu, S. A., & Razia, S. (2021). COVID-19, liquidity
and financial health: empirical evidence from South Asian economy. Asian
Journal of Economics and Banking, 5(3), 307 -323.https://doi.org/10.1108/ajeb-03-2021-0033
Kementerian Ketenagakerjaan
Republik Indonesia. Survei Kemnaker : 88 Persen Perusahaan Terdampak Pandemi
Covid-19. November 20, 2021. Diakses dari https://kemnaker.go.id/news/detail/survei-kemnaker-88-persen-perusahaan-terdampak-pandemi-covid-19
Kementerian Keuangan Republik
Indonesia. (2021, Maret 31). Aktivitas Pasar Modal Indonesia Di Era Pandemi.
Diakses dari November 20, 2021. https://www.djkn.kemenkeu.go.id/artikel/baca/13817/Aktivitas-Pasar-Modal-Indonesia-Di-Era-Pandemi.html
Kencana,
Anggia P.P. 2019. ―Analisis Hubungan Antara Sentimen Investor dan Imbal
Hasil Pasar Saham dengan Pendekatan Aliran Dana Reksa dan Analisis Vector
Autoregressive (VAR)‖. Jurnal Ilmiah Ekonomi Bisnis, Vol.24(3): 204 �
2014
Kompas. (2020, Maret 12). WHO Resmi
Sebut Virus Corona Covid-19 sebagai Pandemi Global. November 20, 2021. https://www.kompas.com/sains/read/2020/03/12/083129823/who-resmi-sebut-virus-corona-covid-19-sebagai-pandemi-global?page=all
Kustodian Sentral Efek Indonesia.
Statistik Pasar Modal Indonesia April 2021. Diakses dari November 20, 2021. https://www.ksei.co.id/files/Statistik_Publik_April_2021.pdf
Mehta, S.,
Saxena, T., Purohit, N. (2020). The New Consumer Behaviour Paradigm amid
COVID-19: Permanent or Transient? Journal of Health Management. Vol. 22. pp
291-301. doi: 10.1177/0972063420940834
Meythi,� En,� T.�
K.,� &� Rusli,�
L.� (2011).� Pengaruh�
Likuiditas� dan Profitabilitas� Terhadap�
Harga� Saham� Perusahaan�
Manufaktur� yang� Terdaftar�
di� Bursa� Efek�
Indonesia.� Jurnal���� Bisnis����
Manajemen���� Dan��� �Ekonomi, 10(2),���� 2671�2684. http://repository.maranatha.edu
Mudrajad
Kuncoro, (2013). Metode Riset untuk Bisnis dan Ekonomi (Edisi 4). Jakarta:
Erlangga.
Muhammad
Firdaus. (2004). Ekonometrika Suatu Pendekatan Aplikasi. Jakarta: PT Bumi
Aksara.
Nazaruddin,
Ietje dan Agus Tri Basuki. (2015). Analisis Statistik Dengan SPSS. Yogyakarta:
Danisa Media.
Priyatno,
Dwi. (2011). Analisis Korelasi Regresi dan Multivariat dengan SPSS. Yogyakarta:
Gava Media.
Republik Indonesia. UU RI Nomor 8
Tahun 1995 Tentang Pasar Modal. Diakses dari November 20, 2021. https://www.ojk.go.id/id/kanal/pasar-modal/regulasi/undang-undang/Documents/Pages/undang-undang-nomor-8-tahun-1995-tentang-pasar-modal/UU%20Nomor%208%20Tahun%201995%20(official).pdf
Rukmana
(2020) Pengaruh kinerja keuangan terhadap harga saham pada perusahaan sub
sektor farmasi yang terdaftar di Bursa Efek Indonesia tahun 2009-2018
Saraswati,
Nany, & Lyna (2020). Dampak Pengumuman Bond Rating Terhadap Return Saham
Dan Volume Perdagangan Saham Perusahaan Yang Terdaftar di Bursa Efek Indonesia
Silaena,
Sofar dan Yayak Heriyanto. (2013). Pengantar Statistik Sosial. Jakarta: IN
Media.
Smales LA
(2021) Investor attention and global market returns during the COVID-19 crisis.
Int Rev Financ Anal 73:101616
Sunariyah.
(2003). Pengantar Pengetahuan Pasar Modal. Yogyakarta: UPP AMPN YKPN.
Vassalou,
Maria, and Yuhang Xing, 2004, Default risk in equity returns, Journal of
Finance 59, 831�868.
World Health Organization. (n.d).
COVID-19: Physical Distancing.
November 20, 2021. https://www.who.int/westernpacific/emergencies/covid-19/information/physical-distancing
Yang,
H.J, D. Ryu, D. Ryu.2017. ―Investor Sentiment, Asset Returns, and Firm
Characteristic: Evdenve from Korean Stock Market‖. Investment Analysts
Journal, Vol.46(2): 132 � 147. DOI: 10.1080/10293523.2016.1277850
Yolanda,
Agnes. (2017).� Pengaruh Profitabilitas
dan Aktivitas Terhadap Pertumbuhan Perusahaan yang Terdaftar di Jakarta Islamic Index (JII) Tahun 2013-2015.
Institut Agama Islam Negeri (IAIN) Bengkulu. January 20, 2022. http://dx.doi.org/10.29300/aij.v7i1.3985
Zaretzky,
K. dan J.K. Zumwalt. (2007). Relation
Between Distress Risk, Book to Market Ratio and Return Premium. Journal of
Managerial Finance, 33(10). December 14, 2021. http://dx.doi.org/10.1108/03074350710779232
|
Copyright holder: Drastya
Amalia, Dewi Hanggraeni (2022) |
|
First publication right: Syntax Literate: Jurnal Ilmiah Indonesia |
|
This article is licensed under:
|
