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All Journal E-Jurnal Akuntansi Universitas Udayana JURNAL EMBA : JURNAL RISET EKONOMI, MANAJEMEN, BISNIS DAN AKUNTANSI International Conference on Law, Business and Governance (ICon-LBG) JURNAL SOSIAL HUMANIORA (JSH) Management Studies and Entrepreneurship Journal (MSEJ) Enrichment : Journal of Management Proceeding National Conference Business, Management, and Accounting (NCBMA) Proceeding of International Conference on Entrepreneurship (IConEnt)
William Tjong
Universitas Pelita Harapan
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Law, Crime, Criminology & Criminal Justice Social Sciences

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Journal : JURNAL SOSIAL HUMANIORA (JSH)

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PENGARUH STRATEGI VALUE, SIZE DAN MOMENTUM TERHADAP EXCESS RETURN DI INDONESIA Gleny Gleny; William Tjong
JURNAL SOSIAL HUMANIORA (JSH) Vol 7, No 2 (2014)
Publisher : Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (393.393 KB) | DOI: 10.12962/j24433527.v7i2.587

Abstract

The purpose of this research is to investigate the impact from the strategies that used by investors in Indonesia, such as value, size and momentum strategy. Sample data is a monthly data of 100 non-financial individual stocks which fulfill the requirement, from July 2006 – December 2010 and use 12 months holding period. This research also use ARCH method to test heteroscedasticity and VIF method to test multicolinearity. The outcome form this research is value strategy based on book to market ratio, size strategy based on market capitalization and momentum strategy based on past six months price are not significant in Indonesia. This can be happened because of the depreciation in Indonesia currency and crisis years. In addition, Indonesia is one of emerging market in Asia, so that some of the information must be difficult and make imperfect market.
Co-Authors ., Meilina Anry Umar Caroline Caroline chandra wijaya Chrysant Lambok Chandra Citra Lius Winardi Donny Donny Gleny Gleny Herlina Lusmeida Ignatius Reysa Nugroho Michael Michael Rion Kurniawan Rosinta Romauli Situmeang Stevanie Stevanie