[ABSTRAK
Tesis ini membahas mengenai kemampuan dari market down, volatility, danilliquidity dalam mempengaruhi imbal hasil 52 minggu high BE/ME, winner,50% high BE/ME dan 50% winner, dan model markowitz. Ketika kitamemprediksi saat market down maka imbal hasil mingguan t+52 weeks bernilaipositif secara deskriptif dan statististik kecuali Markowitz. Market Volatility danmarket illiquidity tidak dapat menjelaskan lebih baik dari market down imbal hasil52 minggu high BE/ME, winner, 50% high BE/ME dan 50% winner, dan modelmarkowitz secara deskriptif dan statistik.
ABSTRACT
This thesis explain capabilities from market down, volatility, and illiquidity toinfluence weekly returns 52 weeks high BE/ME, winner, 50%high BE/ME dan50% winner, and markowitz model. The results are market down can describeaverage positive weekly returns 52 weeks but insignificant to Markowitz model.Market volatility and market illiquidity cannot describe better than market downabout weekly returns 52 weeks high BE/ME, winner, 50% high BE/ME and 50%winner, and model markowitz., This thesis explain capabilities from market down, volatility, and illiquidity toinfluence weekly returns 52 weeks high BE/ME, winner, 50%high BE/ME dan50% winner, and markowitz model. The results are market down can describeaverage positive weekly returns 52 weeks but insignificant to Markowitz model.Market volatility and market illiquidity cannot describe better than market downabout weekly returns 52 weeks high BE/ME, winner, 50% high BE/ME and 50%winner, and model markowitz.] |
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