2.5.3 Standar Deviasi (Standard Deviation)
"The standard
deviation of the rate
of return
(s)
is a
measure of risk. It is defined as
the square
root of
the variance,
which
in turn
is the expected
value
of
the squared
deviations from the expected return."
(Bodie, Kane, Marcus, 2002, p 137)
Sehingga dapat dikatakan risiko
mengacu kepada penyimpangan dari suatu
variabel
dan
standar deviasi adalah
ukuran statistik
mengenai penyimpangan dari
serangkaian
hasil
observasi.
Makin
kecil
standar
deviasi,
makin
rapat
distribusi
probabilitas,
maka
makin
kecil risiko saham.
n
s
=
S
(return
in year
t – average return)
t = 1
number of years - 1
n
_
s
=
S
(kt - k)
t = 1
n - 1
2.5.4 Resiko Pasar (Market Risk) – Beta
"Beta
is sensitivity of
a
stock‘s
return
to the return
on the
market
portfolio. Some
stocks
are
less
affected
than
others
by
market
fluctuations.
Defensive
stocks
(have
low
betas,
betas
less
than
1.0)
are
not
very sensitive to
market
fluctuations.
In
contrast,
aggressive stocks
(have
high
betas, betas greater
than 1.0)
amplify
any
market
movements.“
(Brealey, Myers, Marcus, 2001, pp 290-291)
"Beta
is
a
measure
of
the
relationship between
an
investment‘s returns
and
the
market‘s returns.
This is a
measure of the investment‘s nondiversifiable risk.“
(Keown, Martin, Petty, Scoot, 2002, p 186)
2.6
Regresi (Regression)
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