Short Contrarian Investment Strategy: analisis pada saham-saham di Bursa Efek Jakarta

Hadi, Didik Kurniawan, Dr. Suad Husnan, M.B.A.

2008 | Skripsi | S1 Management

N.A.

Capital market anomalies indicate a divergence in efficient capital market concept. One of those anomaly forms is return reversal phenomenon, in which the stocks those are previously be the winner stocks, now become the loser ones and the contrary. This phenomenon in previous research found various influence that cause return reversal, which is Price Book Value (PBV), Price Earning Ratio (PER), size, and risk. The result in my research shows that based on abnormal return, return reversal phenomenon is occurred in Jakarta Stock Exchange. It appears from movement pattern of loser portfolios surpassed the winner in period of examination. Although separately, it is proven that stocks with low PER and PBV give the higher abnormal return than stocks with high PER and PBV. Final result after adjustment on size and risk shows that in first period loser portfolios are still give a higher abnormal return than winner. But in sixth period of examination loser portfolios give the lower abnormal return than winner stocks because of compensation on risk which bearded is bigger on company with small size based on its market capitalization. Keyword: contrarian investment strategy, price book value, price earning ratio, earning per share, size and risk

Kata Kunci : Short Contrarian Investment STrategy; Investasi; Strategi Investasi; Bursa Efek jakarta