PENGARUH BIAYA MODAL, VALUASI PERUSAHAAN, DAN PROFITABILITAS TERHADAP RISIKO SAHAM DI BURSA EFEK INDONESIA
DOI:
https://doi.org/10.25170/jak.v20i2.8336Keywords:
stock beta, cost of capital, firm valuation, profitability, systematic riskAbstract
This study examines the effects of the cost of capital, firm valuation, and profitability on the stock risk of companies listed on the Indonesia Stock Exchange (IDX) during the 2019–2024 period. Systematic risk is proxied by stock beta, classified into three ordinal categories: low, medium, and high. The independent variables consist of weighted average cost of capital (WACC), price to book value (PBV), price to earnings ratio (PER), and return on equity (ROE). Using purposive sampling, 485 companies with complete financial data over the six years were selected, and each variable was averaged per company to form a single cross-sectional observation. Data were analysed using ordinal logistic regression in SPSS version 27. The results show that WACC has a positive and significant effect on stock beta, indicating that a higher cost of capital is associated with a higher likelihood of a company being classified into a riskier beta category, consistent with the capital asset pricing model and signalling theory. In contrast, PBV, PER, and ROE do not significantly affect stock beta. These findings suggest that, among the financial indicators examined, the cost of capital is the most consistent signal of systematic risk perceived by investors in the Indonesian capital market.
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