ANALISIS KINERJA VALUE STOCKS VERSUS GROWTH STOCKS DAN EFEK SIZE: STUDI PADA SAHAM-SAHAM DI BURSA EFEK INDONESIA

Pingki Saputra, Prof. Dr. Tandelilin Eduardus M.B.A.

2023 | Tesis | Magister Manajemen

Penelitian ini bertujuan untuk menguji perbedaan kinerja portofolio value stocks dan growth stocks, menguji perbedaan kinerja portofolio small-cap dan large-cap, dan menguji fenomena efek size pada value stocks dan growth stocks di Bursa Efek Indonesia. Pembentukan portofolio value stocks dan growth stocks didasarkan pada price to earnings ratio (PER) dan pembentukan portofolio small-cap-stocks dan large-cap stocks berdasarkan nilai kapitalisasi pasar. Kinerja portofolio diukur dengan Sharpe ratio. Kinerja portofolio diamati selama tahun 2017-2021 dengan holding period 1 kuartal, 2 kuartal, 3 kuartal, 1 tahun, 3 tahun, dan 5 tahun. Kinerja diuji secara statistik menggunakan alat uji Independent Sample T-test dan Mann-Whitney test. Hasil penelitian menyimpulkan bahwa kinerja portofolio value stocks lebih unggul dari kinerja portofolio growth stocks menunjukkan adanya value premium, tidak terdapat perbedaan antara kinerja portofolio small-cap dan portofolio large-cap stocks, dan fenomena efek size terdeteksi pada portofolio value stocks dengan kapitalisasi pasar besar mengungguli kinerja value stocks dengan kapitalisasi pasar kecil.

This study aims to test the difference in the performance of value stock portfolio and growth stock portfolio, test the difference in the performance of small-cap portfolio and large-cap portfolio, and test the phenomenon of the size effect on value stocks and growth stocks on the Indonesia Stock Exchange. Portfolio formation of value stocks and growth stocks is based on price to earnings ratio (PER) and portfolio formation of small-cap stocks and large-cap stocks based on market capitalization value. Portfolio performance is measured by the Sharpe ratio. Portfolio performance is observed during 2017-2021 with a holding period of 1 quarter, 2 quarters, 3 quarters, 1 year, 3 years, and 5 years. Performance is statistically tested using the Independent Sample T-test and Mann-Whitney test. The results concluded that the performance of the value stock portfolio is superior to the performance of the growth stock portfolio indicating the existence of a value premium, there is no difference between the performance of the small-cap portfolio and the large-cap stock portfolio, and the size effect phenomenon is detected in the value stocks portfolio with large market capitalization outperforming the performance of value stocks with small market capitalization.

Kata Kunci : value stocks, growth stocks, small-cap stocks, large-cap stocks, value premium, size effect