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All Journal Jurnal Keuangan dan Perbankan Gadjah Mada International Journal of Business Journal of Indonesian Economy and Business MABIS: Manajemen dan Bisnis Wahana: Jurnal Ekonomi, Manajemen dan Akuntansi Jurnal Manajemen Universitas Bung Hatta Journal of Indonesian Economy and Business
Eduardus Tandelilin
Faculty Of Economics & Business, Universitas Gadjah Mada
Humanities Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Social Sciences

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Journal : MABIS: Manajemen dan Bisnis

 1 
OPAQUE FINANCIAL REPORTS AND STOCK PRICE CRASH RISK IN INDONESIA Purwoto, Lukas; Tandelilin, Eduardus
Journal of Management and Business Vol 13, No 1 (2014): MARCH 2014
Publisher : Department of Management - Faculty of Business and Economics. Universitas Surabaya.

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (103.748 KB) | DOI: 10.24123/jmb.v13i1.237

Abstract

Stock price crash risk is explained in perspective of corporate governance which refers to the lack of information disclosure. This research investigates the effects of opaque financial reports on stock price crash risk of Indonesia-listed firms from 2005 to 2008.The results show that the degree of crash risk is high. Analyses of binary outcome models, which are controlled by company characteristics, show that crash risk is higher in firms with more opaque financial reports. These results of analysis validate the findings of Hutton et al. (2009) so consistent that insiders or managers hide bad news or negative information when submitting poor financial reports.
TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM Rachmat Sudarsono; Suad Husnan; Eduardus Tandelilin; Erni Ekawati
Journal of Management and Business Vol 11, No 2 (2012): SEPTEMBER 2012
Publisher : Department of Management - Faculty of Business and Economics. Universitas Surabaya.

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (28260.567 KB) | DOI: 10.24123/jmb.v11i2.221

Abstract

Dual beta became a debate between researchers in finance especially investment and portfolio. This research test CAPM using dual beta predictions in conditional market timing. The research tested unconditional and conditional Beta, that showed linear and positive affect of return toward risk on single and multiperiods. The beta’s slope skewed but with moderate skewness, and there is no zero beta. However if the investors have les diversified portfolio, its show idiosyncratic risk and systematic risk determine the securities pricing model. Conditional beta test, showed positive slope for SML on bullish market, and negative for bearish market. There is also showed a shock to volatility because of leverage effect and or volatility feedback. The responsiveness of positive shock (bullish market) and negative (bearish market) is positive, however the magnitude of SML slope higher for bearish than bullish market. Dual beta remains consistent in explaining positive effect of risk and return. Dual beta able to reduce the idiosyncratic risk on bearish market rather than on bullish market.
Co-Authors - Algifari Algifari Algifari Arni Utamaningsih Arni Utamaningsih Berto Usman Berto Usman, Berto Budi Asmarawati Dedhy Sulistiawan Eddy Junarsin Edwin Karambe Erni Ekawati Fitri Susilowati Hasan Hasan Hasan, Hasan I Wayan Nuka Lantara Jogiyanto Hartono Johannes Maysan Damanik Leo Indra Wardhana Leo Indra Wardhana Leo Indra Wardhana Lukas Purwoto Lukas Purwoto Mamduh M. Hanafi Mamduh M. Hanafi Mamduh M. Hanafi Maria Rio Rita Muizzuddin Muizzuddin R. Agus Sartono R. Agus Sartono Rachmat Sudarsono Setiyono Setiyono Setiyono Setiyono Setiyono, Bowo Suad Husnan Suad Husnan Supriyadi . Supriyadi Supriyadi Taswan, Taswan