THE EFFECT OF LEVERAGE AND ASSET PRICES ON MUTUAL FUND RISK IN MUTUAL FUND COMPANIES IN INDONESIA
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Nensy Parabak(1*)
Faculty of Economics, Mulawarman University
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Musdalifah Azis(2)
Faculty of Economics, Mulawarman University
(*) Corresponding Author
Abstract
This study aims to know the effect of Leverage and Asset Prices on Mutual Fund Risk. This research was conducted at equity mutual fund companies listed in OJK for the period 2018-2019. This study used purposive sampling with a total sample of 23 equity mutual funds. The type of data used is quantitative data and the data source is in the form of company annual financial reports. The data analysis tools used were descriptive statistics and panel data regression The results of this study find that mutual fund is managed by an investment manager with high leverage and high asset prices will have a high risk as well, and can be suppressed when the investment manager creates a low level of leverage and a low asset prices.
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Keywords: Leverage, Asset Price, and Mutual Fund Risk
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References
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Yoon, E., & Jang, S. (2005). The Journal of Hospitality Financial Management The Effect of Financial Leverage on Profitability and Risk of Restaurant Firms. Journal of Hospitality Financial Management, 13 (1), 37–41. doi: 10.1080 / 10913211.2005.10653798
Baltagi, BH (2002). Econometric Analysis of Panel Data (3rd ed.). Wiley; 3rd edition (July 18, 2005).
Bekaert, G., Engstrom, E., & Xing, Y. (2009). Risk, uncertainty, and asset prices. Journal of Financial Economics, 91 (1), 59–82. doi: 10.1016 / j.jfineco.2008.01.005
Bhatti, AM, Majeed, K., Ijaz-ur-Rehman, & Khan, WA (2010). Affect of leverage on risk and stock returns: Evidence from Pakistani companies. International Research Journal of Finance and Economics, 58 (58), 32–49.
Boguth, O., & Simutin, M. (2014). Tightness of Funding Constraints and Asset Prices: Insights from Mutual Fund Risk Taking. SSRN Electronic Journal. doi: 10.2139 / ssrn.2517704
Eisenhardt, KM, & Eisenhardt, KM (2018). Linked references are available on JSTOR for this article: Agency Theory: An Assessment and Review. 14 (1), 57–74.
Gałkiewicz, DP (2015). Regulation, Leverage, and Derivative Use by Mutual Funds. 187.
Heaton, J., & Lucas, D. (2000). Portfolio choice and asset prices: The importance of entrepreneurial risk. Journal of Finance, 55 (3), 1163–1198. doi: 10.1111 / 0022-1082.00244
Jarrow, R. (2012). Detecting asset price bubbles. Journal of Derivatives, 20 (1), 30–34. doi: 10.3905 / jod.2012.20.1.030
Mandelker, GN, & Rhee, G. (1984). The Impact of the Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock Author (s): Gershon N. Mandelker and S. Ghon Rhee Source: The Journal of Financial and Quantitative Analysis, Vol. 19, No. 1 (Mar., 1984), pp. 45. The Journal of Financial and Quantitative Analysis, 19 (1), 45–57. Retrieved from https://www.jstor.org/stable/2331000 Accessed:
Panda, B., & Leepsa, NM (2017). Agency theory: Review of theory and evidence on problems and perspectives. Indian Journal of Corporate Governance, 10 (1), 74–95. doi: 10.1177 / 0974686217701467
Safdar, R., & Yan, C. (2017). Information risk, stock returns, and asset pricing: Evidence from China. Accounting Research Journal, 30 (4), 379–394. doi: 10.1108 / ARJ-04-2015-0057
Tuzel, S., & Zhang, M. Ben. (2017). Local Risk, Local Factors, and Asset Prices. Journal of Finance, 72 (1), 325–370. doi: 10.1111 / jofi.12465
Yoon, E., & Jang, S. (2005). The Journal of Hospitality Financial Management The Effect of Financial Leverage on Profitability and Risk of Restaurant Firms. Journal of Hospitality Financial Management, 13 (1), 37–41. doi: 10.1080 / 10913211.2005.10653798
Published
2021-11-30
How to Cite
Parabak, N., & Azis, M. (2021). THE EFFECT OF LEVERAGE AND ASSET PRICES ON MUTUAL FUND RISK IN MUTUAL FUND COMPANIES IN INDONESIA. Journal of Management : Small and Medium Enterprises (SMEs), 14(3), 365-373. https://doi.org/10.35508/jom.v14i3.5607
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