Is Distress Risk and Overnight Momentum Influence to Stock Returns in LQ45 Index Emitents Listed in Indonesia Stock Exchange Period 2011-2015?

Abstract

To see the good financial condition can be seen with the analysis of distress risk. By doing distress analysis, investors can detect the risk of financial distress on the company that want to buy its shares. Companies with high levels of distress risk can be assumed to yield returns that do not match the expectations of investors, because with a high level of distress risk can lead to the company has a poor profit prospects. In making investment decisions, investors will pay attention to attention to momentum. Momentum is the effect of the stock winner (losser) in the past which showed good performance (bad) continuously. Stocks that rise in price is believed that the price will rise in the future and vice versa, the price of the stock down then will come down as well. Winner stocks will earn higher returns than loser stocks and loser stocks will take longer time than winner stocks to earn returns. This study aims to analyze and test empirically: Influence of distress risk on stock returns, Influence of momentum overnight on stock returns, and Influence of distress risk and momentum overnight simultaneously to stock returns.Population in this research is issuer of LQ4 index which listed in BEI period 2011-2015. The method used to determine the sample is by purposive sampling method that is the sample selection method with certain criteria. The analysis technique used is multiple linear regression analysis is the study of dependency of dependent variable with one or more dependent variable. The data obtained will be tested by using the test of absolute difference value.Based on the results of research and discussion about the effect of distress risk and momentum overnight on stock returns on issuers LQ45 index listed in the Indonesia Stock Exchange period 2011-2015, it can be concluded that Distress risk (DISTRESS) does not significantly influence Return on Shares in issuers LQ45 index listed on IDX period 2011-2015, Momentum overnight (MOMENTUM) significantly influences Return on Shares of listed LQ45 index listed on the 2011-2015 period. While the results of hypothesis testing simultaneously (Test F) showed that the Distress Risk and Momentum Overnight effect simultaneously on Stock Returns.

Keywords: distress risk, momentum overnight, stock returns.

To see the good financial condition can be seen with the analysis of distress risk. By doing distress analysis, investors can detect the risk of financial distress on the company that want to buy its shares. Companies with high levels of distress risk can be assumed to yield returns that do not match the expectations of investors, because with a high level of distress risk can lead to the company has a poor profit prospects. In making investment decisions, investors will pay attention to attention to momentum. Momentum is the effect of the stock winner (losser) in the past which showed good performance (bad) continuously. Stocks that rise in price is believed that the price will rise in the future and vice versa, the price of the stock down then will come down as well. Winner stocks will earn higher returns than loser stocks and loser stocks will take longer time than winner stocks to earn returns. This study aims to analyze and test empirically: Influence of distress risk on stock returns, Influence of momentum overnight on stock returns, and Influence of distress risk and momentum overnight simultaneously to stock returns.Population in this research is issuer of LQ4 index which listed in BEI period 2011-2015. The method used to determine the sample is by purposive sampling method that is the sample selection method with certain criteria. The analysis technique used is multiple linear regression analysis is the study of dependency of dependent variable with one or more dependent variable. The data obtained will be tested by using the test of absolute difference value.Based on the results of research and discussion about the effect of distress risk and momentum overnight on stock returns on issuers LQ45 index listed in the Indonesia Stock Exchange period 2011-2015, it can be concluded that Distress risk (DISTRESS) does not significantly influence Return on Shares in issuers LQ45 index listed on IDX period 2011-2015, Momentum overnight (MOMENTUM) significantly influences Return on Shares of listed LQ45 index listed on the 2011-2015 period. While the results of hypothesis testing simultaneously (Test F) showed that the Distress Risk and Momentum Overnight effect simultaneously on Stock Returns.

Keywords: distress risk, momentum overnight, stock returns.