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CAN INVESTORS PROFIT BY FOLLOWING ANALYST RECOMMENDATIONS? EVIDENCE FROM INDONESIAN STOCK MARKET

MOHAMMAD ADHIYA R, Marwan Asri., M.B.A., Ph.D.

2021 | Tesis | Magister Manajemen

Penelitian ini secara empiris menguji apakah investor dapat memperoleh keuntungan ketika mengikuti rekomendasi dari para analis di pasar saham Indonesia selama periode 2018-2020. Sampel penelitian ini adalah saham-saham yang tergabung dalam index Kompas100. Berbeda dengan penelitian sebelumnya, penelitian ini hanya berfokus pada rekomendasi beli karena transaksi secara short-selling dilarang di pasar saham Indonesia. Selain itu, alih-alih mengkaji rekomendasi analis secara individu, penelitian ini ingin melihat profitabilitas dari strategi investasi yang melibatkan konsensus para analis terhadap saham. Pendekatan portofolio kalender-waktu digunakan untuk menguji apakah portofolio yang berdasarkan dari rekomendasi analis dapat menghasilkan pengembalian abnormal setelah rekomendasi dirilis ke publik. Dari hasil pengujian, dapat disimpulkan bahwa ketika investor membuat portofolio investasi mengikuti rekomendasi beli dari analis, maka investor akan mendapatkan kerugian.

This study empirically examines whether investors could profit by following publicly available analyst recommendations in Indonesian stock market over the period 2018-2020. The sample of the study is constituent stocks listed in Kompas100. Unlike prior research, this study only focuses on examining buy recommendations since short-selling is not allowed in the context of Indonesian stock market. Besides, instead of examining individual analyst recommendation, this study looks into profitability of investment strategy that involves consensus recommendations from analysts. Calendar-time portfolio approach is used to evaluate if portfolio with favorable consensus recommendation yields significant abnormal returns subsequent to the release of recommendations to the public. The result of the study document that constructing a portfolio from the basis of buy consensus recommendation from analysts do not add value to investors as the portfolio generates significant negative abnormal returns during the period of observation.

Kata Kunci : Analyst Recommendations, Consensus Ratings, Abnormal Return.

  1. S2-2021-436820-abstract.pdf  
  2. S2-2021-436820-bibliography.pdf  
  3. S2-2021-436820-tableofcontent.pdf  
  4. S2-2021-436820-title.pdf