Pengaruh Human Capital (Labor Income) Terhadap Expected Stock Returns

Abstract

This research intended to analyse the use of premium as the proxy of human capital (labor income) in the industry level as one of the factors to measure the expected stock returns other than market, smb, hml, umdand liquidity variable that can be applied in Indonesia.The analysis coveres the human capital (labor income) in the industry level to cross section of stock return and the effect of human capital (labor income) to idiosyncratic risk in the asset pricing model. It usesincome percapita to measure the premium variabel in the period of 2001 – 2011 and 30 stocks portfolio chosen based on the biggest market capitalization value in six sector in the period of 2001 – 2011

How does the six-factor model do in explaining the relationship between return and risk on the Indonesia stock exchange?

“…Research from Maiti (2018) also states that human capital has a very important role in helping to make investment decisions and if it is ignored, serious problems can occur. However, the result of this study is in line with the research conducted by Susilandari (2018), which examines the effect of human capital with LBR as the proxy on returns from stocks, in 30 portfolios with 6 company sectors showing that LBR has an effect on returns is not proven if it is applied to stocks that are elected in Indonesia. This discrepancy with Six-Factor studies can be caused by several things, such as research conducted by Maiti (2018) shows that the main problem of six-factor with human capital is its failure to capture average return on microcaps with low-value stocks to invest in.…”

“…Human Capital is the skill of every individual where this factor is said to be an asset that has a very important factor in determining the success of a company (Endri, 2011). According to Susilandari (2018) investment from human capital can be said to be things done with the aim of improving the skills of individual companies to get higher salaries in the future. According to Susanti (2020) due to the increasing importance of this human capital factor, investment activities carried out with people's objects are usually training, education, and also health, where the activities of this investment are proven to increase the level of productivity of the object.…”