Abstrak 
Relationship Between Return and Risk in Indonesia Stock Exchange
Erna Garnia, Ina Primiana, Rachmat Sudarsono, Dian Masyita
Universitas Padjadjaran, Proceeding of the 1st International Conference for Interdisiplinary Studies, South Korea 2014
Bahasa Inggris
Universitas Padjadjaran, Proceeding of the 1st International Conference for Interdisiplinary Studies, South Korea 2014
capm, clientele effect, liquidity, Volatility
Based on the standard CAPM , Sharpe has shown that the expected return in one holding period is increased proportionally to the market risk. Though has been derived by using the same concept, Amihud and Mendelson have shown that the expected excess return per unit time as a function of liquidity risk has a concave shape. This paper clarifies why these two models result in different relationships. If the expected excess return in one holding period is used, it is shown in this paper that the Amihud-Mendelson model will result in linear relationship similar to the one derived by Sharpe. As the data for holding period is usually not available, the holding period is estimated as the number of outstanding share divided by the trading volume per unit time. Empirical results based on the last five years data obtained in Indonesia Stock Exchange are included to show the validity of the proposed concept.