Analisis pengaruh faktor risiko, Size dan Book to Market pada kondisi Market's Overreaction di pasar modal Indonesia

ANGGRAENI, Ika Septi Kurnia, Dr. Erni Ekawati, MSA.,MBA

2005 | Tesis | S2 Manajemen

Penelitian ini menguji overreaction hypothesis yang menyebutkan bahwa portofolio loser akan memiliki rata-rata abnormal return kumulatif yang lebih baik setelah perioda pengujian sedangkan rata-rata abnormal return kumulatif (ACAR) portofolio winner akan menunjukkan performance yang semakin memburuk setelah perioda pengujian. Dengan menggunakan perioda Formasi 1 bulanan dan 13 minggu serta metoda penghitungan return tang tidak bias (multiplicative buy and hold), hasil penelitian ini menemukan adanya fenomena overreaction selama perioda 1991 – 2003, fenomena pembalikan retunr ini dapat mengidentifikasi adanya contrarian profit yang akan diperoleh oleh investor jika terjadi overreaction. Penelitian ini juga menganalisis pengaruh faktor risiko, size dan book-to-market. Dengan menggunakan metoda penelitian dari Chan (1988) untuk pengontrolan risiko, hasil penelitian ini menemukan bahwa dengan menggunakan perioda formasi 1 bulanan maupun perioda formasi 13 minggu hasil penelitian ini menyimpulkan bahwa perbedaan risiko dapat menjelaskan perbedaan performance portofolio loser dan portofolio winner setelah perioda pengujian. Setelah melakukan pengontrolan size dan book to market hasil penelitian ini menemukan bahwa fenomena overreaction tidak dipengaruhi oleh faktor size dan book to market. Meskipun demikian hasil oenelitian ini konsisten dengan penelitian Lakonishok, Shleifer dan Vishny (1994) yang menjelaskan bahwa hubungan antara book-to-market dan stock return akan menimbulkan investor’s overreaction. Hasil penelitian ini menemukan bahwa saham-saham yang mempunyai nilai Book to Market (BE/ME) tinggi (high) akan lebih outperform dibandingkan saham-saham yang mempunyai nilai Book to Market (BE/ME) rndah (low) setelah perioda pengujian.

This paper investigates the evidence on the stock market overreaction, which predicts that stocks that securities with low average cumulative abnormal return (losers) will have high average cumulative abnormal return after subsequent period. Contrary, securities with high average cumulative abnormal return (winners) will have low average cumulative abnormal return after subsequent period. Using both one monthly overlapping, 13 weeks non overlapping formation period and unbiased methods of return computation (multiplicative buy and hold), this results found that overreaction is existent evident during the 1991-2003 period. This research also found that stock price reversals have typically been idenfified by evaluating the profitability of contrarian investment strategies. This paper also analyse the effect of risk, size and book to market factor. Using the methodology by Chan (1988) for risk adjustment, using the 1 monthly overlapping and 13 weeks non overlapping this research found that the diferrential risk can explained the diferrent test period performance of the loser and winner portofolios. After adjusment for size and book to market this research found that the phenomena of overreaction not affected by size and book to market factors. Consistent with Lakonishok, Shleifer and Vishny (1994) suggest that the relation between book-to-market and stock return is the result of investor overreaction, this research finding that securities with high book-to-market more outperform than the portofolios with low book-tomarket after subsequent period.

Kata Kunci : Pasar Modal,Efisiensi Pasar,Overreaction Market, Overreaction; Efficient markets; Anomalies; Contrarian strategies