Pengembalian Saham, Risiko Pasar, Dan Sentimen

Abstract

The relationship between stock returns, risk, and investor sentiments still a debate in the fieldof finance and accounting. Most of researchers find different results for relationship betweenstock returns, risk, and investor sentiments. This study conducts logistic regression to analyzethe relationship of market risk and investor sentiments on stock returns of 146 Indonesianpublic firms as dividend payers along period of 2010 to 2016. This study finds that alongperiod of 2010 to 2016 most of stock returns are affected by investor sentiments. This studyalso finds that market risk does not affect the stock returns since this study reveals thatmarket risk between higher and lower stock returns have not differences.