Path: TopS1-Final ProjectSchool of Business and Management2007

BOOK TO MARKET STRATEGY REVISITED: EMPIRICAL STUDY ON JAKARTA STOCKS EXCHANGE

Undergraduate Theses from JBPTITBPP / 2011-05-11 17:48:37
Oleh : Widita Rarasati (NIM 19004115), School of Business and Management
Dibuat : 2007-08-07, dengan 7 file

Keyword : Book to Market Strategy, Efficiency Market Hypothesis, CAPM
Subjek : Business and Management
Kepala Subjek : Management

ABSTRAK:



Pasar Modal Indonesia telah berkembang dengan sangat cepat. Banyak teori yang berkembang di antara investor dan akademik. Pada tahun 1992, Fama and French menbuat penelitian yang berpengaruh terhadap teori pasar modal. Mereka mengubah pandangan para akademik tentang Capital Asset Pricing Model dan Effisiensi Pasar modal. Fama and French mengatakan bahwa risiko pasar (beta) tidak cukup menjelaskan keuntungan (expected return), ada bebaerapa factor selain market beta yang mempengaruhi keuntungan (expected return), seperti size dan ratio book to market. Mereka adalah sebagai alternative dari systematic risk. Fama and French mengatakan bahwa perusahaan kecil dan yang mempunyai book to market yang tinggi, memberikan keuntungan yang lebih tinggi dibandingkan perusahaan besar dan mempunya book to market yang rendah. Pernyataan ini juga menjadi bukti melawan pasar effisiensi. Efek musiman seperti bulan Januari juga menjadi bukti melawan pasar effisiensi. Perusahaan kecil dan yang mempunyai book to market tinggi, biasanya menghasilkan return yang lebih tinggi dibanding bulan-bulan lainnya. Dengan menggunakan metode book to market, riset ini mempelajari tentang teori Fama dan French. Riset ini untuk meneliti tentang Model Fama dan French (multifactor model), effisiensi pasar modal, dan effek Januari untuk pasar modal Indonesia.



Hasil dari riset ini tidak 100persen sama dengan hasil Fama dan French. Mereka menemukan bahwa saham/portofolio dengan book to market tinggi memberikan keuntungan dan resiko yang lebih besar dibandingkan saham/portofolio dengan book to market rendah. Akan tetapi, hasil di Indonesia merupakan kebalikan dari teori Fama dan French. Di Indonesia saham/portofolio yang memberikan keuntungan dan resiko yang lebih besar adalah saham dengan book to market yang rendah. Walaupun hasil yang didapatkan berbeda dengan teori Fama dan French, hasil ini tetap menunjukan bahwa pasar modal di Indonesia tidak effisien. Hal ini dikarenakan saham/portofolio dengan book to market rendah dapat melebihi keuntungan pasar. Riset ini juga menunjukan bahwa teori fama dan French berlaku di pasar modal Indonesia. Hal ini berarti satu factor resiko tidak cukup menjelasakan rata-rata keuntungan. Riset ini menujukan bahwa book to market menjadi salah satu faktor untuk menjelaskan keuntungan. Dalam test untuk efek January, riset ini juga menunjukan kecenderungan yang sama dengan Fama dan French. Saham dengan high book to market memiliki kecenderungan untuk menghasilkan keuntungan yang lebih dibandingkan bulan lainnya. Akan tetapi, efek January di Indonesia tidak dapat menjelaskan multifactor model. Hal ini berarti multifactor model dapat digunakan untuk bulan-bulan yang lain.



Hasil akhir dari paper ini menyarankan para investor untuk memilih saham/portofolio yang memiliki fundamental yang kuat dan diharapkan dapat memberikan keuntungan yang melebihi pasar. Kesimpulan dari riset ini, dalam periode Juni 2003 sampai Mei 2007, saham/portofolio dengan book to market yang rendah memberikan rata-rata keuntungan yang lebih tinggi dibandingan saham dengan book to market yang rendah.

Deskripsi Alternatif :

ABSTRACT:



Nowadays, Indonesian Capital market has been growing rapidly. Many theories exist among the academician and investors. Fama and French (1992) made an influence paper according to capital market theory. They disposed many academics thinking on Capital Asset Pricing Model and Efficiency Market hypothesis. Fama and French stated that market risk (beta) did not enough to explain expected return; there are some factors that influence it, such as size and book to market. Therefore, they are proxy for systematic risk which implied that small firm and high book to market should have higher return than big firm and low book to market. This statement and finding also became evidence against efficient market hypothesis. Seasonal effect such as January effect also became evidence against efficiency market hypothesis. Usually, January bring higher return for small and high book to market firm. By using book to market strategy, this paper examines Fama and French theory on capital market. It examines efficiency market hypothesis, Fama and French model, and January effect for Indonesian Capital Market.



The result of this paper is not exactly the same as Fama and French. They found that stocks with high book to market have higher return than low book to market. The stocks with high book to market have higher risk compare to stocks with low book to market. In Indonesia, however, the result is contrary to Fama and French theory. Indonesia produces higher return and risk in low book to market portfolio. However, the result shows that Indonesian Capital Market is inefficient because low book to market stocks can outperform market return. This paper also finds that Fama and French multifactor model are applicable for Indonesian Capital Market. It means that one risk factor did not enough to explain average return. This research shows that book to market became one of the factor to explain expected returns. This paper also found that the test for January effect shows a similar pattern with Fama and French, who state that high book to market firm tend to have higher return compare to low book to market in January. Therefore, in Indonesia show the similar tendency for January effect. However, January effect on Indonesia cannot explain multifactor model. The statistics results show while January only is tested, the result is not significant for all variables. Then, when exclude January is tested the result is significant and similar with full sample result. Therefore, it implies that book-to-market strategy is not seasonal phenomenon in Indonesia.



In the end of this paper, the results encourage the investor to pick portfolio based on fundamental research and analysis in the expectation that a portfolio of selected stocks can consistently outperform the market. This result suggest that for the period of June 2003 until May 2007, low book to market stocks (growth stock) give higher return compare to high book to market. So, for long term period, it is better for Indonesian investor to hold growth stocks, which have low book to market ratio, and strong in fundamental.

Copyrights : Copyright (c) 2007 SBM ITB, Information Dissemination Right @ 2007 ITB Central Library, Jl. Ganesha 10 Bandung, 40132, Indonesia. Verbatim copying and distribution of this entire article is permitted by author in any medium, provided this notice is preserved.

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PropertiNilai Properti
ID PublisherJBPTITBPP
OrganisasiSchool of Business and Management
Nama KontakUPT Perpustakaan ITB
AlamatJl. Ganesha 10
KotaBandung
DaerahJawa Barat
NegaraIndonesia
Telepon62-22-2509118, 2500089
Fax62-22-2500089
E-mail Administratordigilib@lib.itb.ac.id
E-mail CKOinfo@lib.itb.ac.id

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  • Pembimbing: Deddy P. Koesrindartoto, Ph.D.



    Scanner: Arnaz Driyastika M.



    (2007-12-07), Editor: driyastika

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