Analisis Winner Loser, Price Earning Ratio, dan Price Book Value di Bursa Efek Indonesia
IRAWAN, FERI , Dr. Mamduh M. Hanafi, MBA
Skripsi ini membahas tentang analisis fenomena pembalikan return yang dialami saham-saham winner dan loser yang terjadi di Bursa Efek Indonesia dengan menggunakan market overreaction hypothesis. Selain itu skripsi ini juga membahas analisis pengaruh rasio keuangan, price earning ratio dan price book value terhadap kinerja saham di masa mendatang. Penelitian dilakukan dengan membagi saham sampel dengan membentuk portofolio berdasarkan abnormal return, yang kemudian di uji menggunakan paired sample t-test dan regresi linear.
Hasil penelitian ini menunjukkan bahwa fenomena winner loser anomaly terjadi pada saham-saham di Bursa Efek Indonesia serta terdapat return reversal pada portoffolio winner dan loser. Selain itu hasil penelitian ini juga menunjukkan pengaruh price earning ratio terhadap kinerja saham di masa mendatang adalah signifikan secara negatif. Demikian juga dengan price book value yang menunjukkan bahwa berpengaruh secara negatif dan signifikan terhadap kinerja saham di masa mendatang.
This thesis discusses the analysis of the return reversal phenomenon experienced winner stocks and loser is happening in Indonesia Stock Exchange with a market overreaction hypothesis. Furthermore this thesis also discusses the influence of financial ratio analysis, price earnings ratio and price to book value of stock performance in the future. Research carried out by dividing the stock sample by forming portfolios based on abnormal returns, which is then tested using a paired sample t-test and linear regression.
The results of this study indicate that the winner loser anomaly phenomenon occurs in stocks in the Indonesia Stock Exchange and there is reversal in portoffolio return winner and loser. In addition the results of this study also shows the influence of price earnings ratio of stock performance in the future is negatively significant. Likewise, the price book value that indicates that the effect is negative and significant impact on stock performance in the future.
Kata Kunci : market overreaction hypothesis; price earning ratio; price book value; winner loser anomaly; return reversal.
