The Effect of Firm Size and Book-To-Market Equity on Stock Return of Listed Indonesian LQ 45 Companies For The Period of 2001-2005

Abstract

Ferdyana Fina (2007) "The effect of firm size and book-to-market equity on stock return of listed Indonesian LQ 45 companies for the period 2001-2005" Yogyakarta: Management Department, International Program Faculty of Economics, Universitas Islam Indonesia. Firms size and book-to-market equity are shown to transcend beta (risk) in explaining stock return. One possible explanation of the book-to-market equity effect is overreaction. The researcher examines the effect of firm size, book-to-market equity, and prior return on stock return byusing market equity as proxy of firm size. The researcher took companies listed in LQ 45 companies as the sample data, and used Ordinary Least Square (OLS) as analysis method to determine the effect of firm sizeand book-to-market equity on stock return. Based on the research findings, there are only 14 companies that can be the sample because that is the only number ofthe companies listed consistently inLQ 45 companies and have positive book equity from 2001-2005. According to the final research estimation, the researcher concluded that the firm size has no influence on stock return and book-to-market equity has negative influence on stock return of Indonesian LQ 45 companies.