Overreaksi pasar terhadap harga saham Perusahaan-perusahaan di indonesia
(Studi Kasus pada Bursa Efek Indonesia)
Oleh
Azhar Ardi, Kiryanto, dan Dista Amalia )
Abstract
Researches about market overreact toward stock value emphasize that there is phenomenon of stock value reversal which have negative return for same period of time and then move toward positive return, at the other hand high-return stocks for while become worse and stock value go down. Hypothesize about this overreact usually use winner portfolio as parameter for stock value which have good performance and loser portfolio for the bad one. The objective of this research is to know market overreact toward company stock at BEJ.
This research reexamine, is there a market overreact toward stock value in 2004-2007 using market adjusted and mean adjusted model. Sample divide into two group; 20 companies as winner portfolio and 20 companies for loser portfolio.
The result show that market overreact signed loser porfolio exceed winner portfolio in 2005, after that both of groups stock value movement quite stabil. Independence analysis sample t-test indicate there is no significant difference between average return group of winner stock and loser stock.
Key word: Market overreact, winner-loser, mean adjusted model, market adjusted model
PENDAHULUAN
The motivation of investors to invest in the stock market is to obtain the return, to get optimal return, namely: that in accordance with the compensation received by the risk an investor is required to constantly follow the development of the market and have as much information related to the dynamics of stock prices. Therefore, the need for relevant information in decision-making in the capital market is becoming ever increasing along with the development of capital market itself. Investors should follow market developments and information since basically the success of the investment is to make an informed decision (making well-informed decision), whether the information available dipublik or personal information, because any information would affect the reaction on the stock exchange (information effect) and useful to get a portfolio that reflects the preferences of individual investors in obtaining the maximum return on a particular view of risk compensation.
Information used in capital markets is meaningful information for investors, in the context of information that can change the belief (belief) or hope (expectation) of investors and may assist in predicting outcomes in the future from a variety of alternative measures, all of which cause a person to perform capital market transactions. According to Weston and Copelland (1991: 141), an information is defined as: "A set of messages or news that can be used to change the recipient in order to improve their welfare." This means that information is needed to determine the price of securities that reflect the relationship of risk and return results. While the information is useful for investors to get a portfolio that reflects their own preferences in obtaining the maximum return with a certain degree of risk.
....................
Jurnal Simposium Nasional Akuntasi XI (SNA 11)
Download Link:
http://www.ziddu.com/download/12650022/paper17.doc.html
