The effect of illiquidity, risk, beta and company size towards stock returns: ASEAN stock exchanges

Kuswarianto, Ivan and Mahadwartha, Putu Anom and Endang, Ernawati (2024) The effect of illiquidity, risk, beta and company size towards stock returns: ASEAN stock exchanges. Manajemen dan Bisnis (MABIS), 23 (2). pp. 1-11. ISSN 1412-3789; e-ISSN 2477-1783

PDF 816-2849-2-PB-published.pdf - Published Version Download (265kB)

Abstract

The previous research regarding return and relationship with other variables has a contradicting finding. Return always become part of investors goals beside holding period and risk. This study investigates the effect of factors related to the stock return, such as liquidity, company size, risk, and beta of companies listed on ASEAN Exchanges for 2011-2019. This study uses a quantitative approach by using multiple linear regression method with extensive observations. The dependent variable is stock return, while the independent variables used are liquidity, company size, risk, and beta. This research uses 14,580 observations of 1,620 wide-spread companies across Indonesia, Malaysia, Thailand, Vietnam, Singapore, and Philippine in nine years. The study finds that illiquidity, risk, and size positively influence stock return significantly, while beta has an insignificant positive effect on stock return. This study also finds that there are country-effect towards stock return in each country. Asian’s investors very concern about liquidity because short-term holding period and the market is growing. While beta is not considered major factors in investment decision because of their short-term investment horizon.

Item Type:	Article
Uncontrolled Keywords:	illiquidity, risk, return, beta, ukuran perusahaan
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions:	Faculty of Business and Economic > Department of Management
Depositing User:	Putu Anom mahadwartha 31140
Date Deposited:	03 Feb 2025 03:30
Last Modified:	03 Feb 2025 03:30
URI:	http://repository.ubaya.ac.id/id/eprint/47892

Actions (login required)

View Item