ANALISIS FENOMENA PEMBALIKAN HARGA PADA SAHAM-SAHAM DI BURSA EFEK JAKARTA DENGAN MEMPERTIMBANGKAN ABNORMAL RETURN, PRICE EARNING RATIO (PER) DAN EARNING PER SHARE (EPS)
Pramono, Novan Restu, R. Agus Sartono, Dr., M.B.A.
2006 | Tesis | S2 Magister Management
Anomali pasar modal menunjukkan adanya penyimpangan dalam konsep pasar modal yang efisien. Salah bentuk anomali tersebut adalah fenomena pembalikan harga, yang mana saham-saham yang sebelumnya termasuk dalam kategori saham
winner menjadi saham-saham loser dan sebaliknya. Fenomena pembalikan harga juga dikenal dengan hipotesis reaksi berlebihan (overreaction hypothesis; ORH). Hipotesis
ini menyatakan bahwa bila harga-harga saham secara sistematis dinilai berlebihan sebagai bentuk konsekuensi dari optimisme ataupun pesimisme pemodal yang berlebihan, pembalikan harga dapat dipastikan berasal dari kinerja harga masa lalu. Pada penelitian ini peneliti mencoba menganalisis fenomena pembalikan harga pada saham-saham yang tercatat di BEJ dengan mempertimbangkan abnormal return, price earning ratio (PER), dan earning per share (EPS). Dengan menggunakan metode purposive sampling, saham sampel yang diperoleh adalah sebanyak 135 buah. Dari saham sampel tersebut, didapatkan 30% saham-saham yang dikelompokkan dalam portofolio winner dan 30% dikelompokkan dalam portofolio loser, masing-masing sejumlah 40 buah saham. Pembentukan portofolio dilakukan dengan melakukan pemeringkatan berdasarkan abnormal return, PER, dan
EPS perusahaan secara terpisah. Pengujian portofolio winner-loser berdasarkan peringkat abnormal return, PER, dan EPS dilakukan dengan menggunakan average cumulative abnormal return. Hasil penelitian menunjukkan bahwa pertama, terjadi fenomena pembalikan harga pada saham-saham di BEJ dengan mempertimbangkan peringkat abnormal return.
Hal ini diinvestigasi dari pola pergerakan portofolio loser berdasarkan peringkat abnormal return yang mengungguli portofolio winner berdasarkan peringkat abnormal return. Berdasarkan peringkat abnormal return, secara kumulatif abnormal return portofolio loser mengungguli portofolio winner sebesar 47,13 persen. Kedua, fenomena pembalikan harga pada saham-saham di BEJ dengan mempertimbangkan
peringkat PER terjadi. Selama 36 bulan periode pengujian, frekuensi abnormal return portofolio loser mengungguli abnormal return portofolio winner sebanyak 21 kali. Berdasarkan peringkat PER, secara kumulatif abnormal return portofolio loser menggungguli portofolio winner sebesar 57,85 persen. Ketiga, fenomena pembalikan harga pada saham-saham di BEJ dengan mempertimbangkan peringkat EPS terjadi. Dari 36 bulan periode pengujian, fenomena pembalikan harga terjadi sebanyak 15 kali. Secara kumulatif, abnormal return portofolio winner lebih besar daripada portofolio loser. Meskipun demikian, pada pengamatan grafik garis dan perbandingan abnormal return pada bulan-bulan pengujian ditemukan adanya fenomena
pembalikan harga. Kata kunci: fenomena pembalikan harga; abnormal return; price earning ratio; earnings per share.
Capital market anomaly showed that there is an anomaly in efficient capital market hypothesis. One of its type is price reversal phenomenon, which shows that previous
winner portfolio becomes loser portfolio and vice versa. Price reversal phenomenon is also known as overreaction market hypothesis (OMH). The hypothesis stated that if
stock prices systematically are valued overly as a consequence of investors' over pessimism or optimism, price reversal certainly is come from previous stock price
performance. In this research, researcher will analyze price reversal phenomenon on Jakarta Stock Exchange (JSX) by considering abnormal return, price earning ratio
(PER) and earnings per share (EPS) ranking. By using purposive sampling method, sample stocks can be fulfilled the requirements are 135 stocks. From those samples, researcher allocated 30% up of it as a winner portfolio, meanwhile the 30% lowest of stock samples are categorized as loser portfolio. Each portfolio (loser and winner) consists of 40 stocks. Formation of portfolio can be done by using ranking method which considering abnormal return,
PER, and EPS separately. Winner-loser portfolio testing based on abnormal return, PER, and EPS ranking are done by using average cumulative abnormal return (ACAR) method.
The results showed that first, there was a price reversal phenomenon on stocks in JSX by considering abnormal return ranking. It was investigated from loser portfolio movement pattern which exceeded winner portfolio. Based on abnormal return ranking, abnormal return of loser portfolio cumulatively exceeded winner portfolio 47.13%. Second, price reversal phenomenon also occurred on stocks in JSX by
considering PER. During 36 months testing periods, abnormal return of loser portfolio frequency exceeded abnormal return of winner portfolio were 21 times. Based on PER ranking, cumulatively abnormal return of loser portfolio exceeded abnormal return of winner portfolio 57.85%. Third, price reversal phenomenon on stocks in JSX by considering EPS ranking was happened. During 36 months testing periods, phenomenon of price reversal was happened 15 times. Cumulatively, abnormal return of winner portfolio was bigger than loser portfolio. Nevertheless, based on line chart observation and abnormal return comparison on testing periods researcher found price reversal phenomenon. Keywords: price reversal phenomenon; abnormal return; price earning ratio; earnings per share.
Kata Kunci : fenomena pembalikan harga; abnormal return; price earning ratio; earnings per share
