Papers by Dionysia Kowanda
Interaksi antara bursa saham internasional nilai tukar valuta asing, dan indeks industri memiliki... more Interaksi antara bursa saham internasional nilai tukar valuta asing, dan indeks industri memiliki
implikasi yang berbeda-beda antara satu industri dengan yang lainnya. Karenanya, tujuan
penelitian ini adalah untuk mengetahui signifikansi pengaruh simultan dan parsial dari bursa
asing dan nilai tukar valas terhadap indeks industri di BEI. Implikasi tersebut diukur dengan
pendekatan multiregresi. Dari hasil kalkulasi empiris, diperoleh informasi bahwa secara
simultan, kecuali bursa NIKKEI dan nilai tukar Yen, bursa saham internasional dan nilai tukar
valas berpengaruh signifikan terhadap fluktuasi indeks industri di bursa efek Indonesia. Hasil
penelitian lainnya juga menyatakan bahwa model persamaan yang terbentuk menyatakan
kemampuan bursa asing dan nilai tukar valas dalam menjelaskan fluktuasi indeks industri di
BEI sangat beragam.
Kata kunci: Risiko Pasar, Risiko Nilai Tukar, Indeks Industri, IHSG, fundamental ekonomi
Future uncertainties and the uneven distribution of
information is a phenomenon that becomes bac... more Future uncertainties and the uneven distribution of
information is a phenomenon that becomes background
of the emergence of various concepts and approaches
regarding investment strategies, and a popular one is
the momentum strategy that was first introduced by
Jegadesh and Titman in 1993. Momentum investment
strategy in a simple way, belief that the good performance
of stocks of the past winners is expected to
continue in the future. By implementing the Jegadesh
and Titman approach, this study aims to find momentum
profits of the winner-loser portfolios are formed
and the time period of ownership that gives the highest
return of the winner-loser portfolios are formed. In
addition it also conducted the testing momentum as
risk factors in the framework of asset pricing models of
the four factors. Empirical calculation results that the
winner portfolio is effective for the formation of a threemonth
period with ownership of a nine-month period,
while for the loser portfolio, the effectiveness is the
establishment of nine-month period to twelve months
of ownership. The findings reinforce other research,
which despite the differences, profit performance difference
between the two portfolios statistically insignificant.
From the four factor asset pricing models, simultaneously
the model has a significant effect on stock
portfolio, except the three large cap stock portfolios.
From replication the four risk factors partially; it appears
that size is the dominant factor concerning the
significance influence statistically.
STRATEGI INVESTASI MOMENTUM: PROFIT MOMENTUM
PORTOFOLIO PEMENANG-PECUNDANG DI INDONESIA
Dionysia Kowanda
Universitas Gunadarma
Rowland Bismark Fernando Pasaribu
ABFI PERBANAS Institute Jakarta
E-mail: [email protected]
Keywords: stock portfolio, winner-loser portfolio, overreaction
Jurnal Ekonomi & Bisnis (JEB) terbit sejak tahun 2007. JEB merupakan jurnal ilmiah yang diterbitk... more Jurnal Ekonomi & Bisnis (JEB) terbit sejak tahun 2007. JEB merupakan jurnal ilmiah yang diterbitkan oleh Pusat Penelitian dan Pengabdian Masyarakat Sekolah Tinggi Ilmu Ekonomi Yayasan Keluarga Pahlawan Negara (STIE YKPN) Yogyakarta. Penerbitan JEB dimaksudkan sebagai media penuangan karya ilmiah baik berupa kajian ilmiah maupun hasil penelitian di bidang ekonomi dan bisnis. Setiap naskah yang dikirimkan ke JEB akan ditelaah oleh MITRA BESTARI yang bidangnya sesuai. Daftar nama MITRA BESTARI akan dicantumkan pada nomor paling akhir dari setiap volume. Penulis akan menerima lima eksemplar cetak lepas (off print) setelah terbit. JEB diterbitkan setahun tiga kali, yaitu pada bulan Maret, Juli, dan Nopember. Harga langganan JEB Rp7.500,-ditambah biaya kirim Rp17.500,-per eksemplar. Berlangganan minimal 1 tahun (volume) atau untuk 3 kali terbitan. Kami memberikan kemudahan bagi para pembaca dalam mengarsip karya ilmiah dalam bentuk electronic file artikel-artikel yang dimuat pada JEB dengan cara mengakses artikel-artikel tersebut di website STIE YKPN Yogyakarta (http://www.stieykpn.ac.id).
Published Journals by Dionysia Kowanda
The objectives of this study are examining the influence of environmental performance, good corpo... more The objectives of this study are examining the influence of environmental performance, good corporate governance mechanism and earning management on Corporate Social Responsibility Disclosure. The population used in this study was companies that listed in Indonesian Stock Exchange (IDX) in 2009- 2013. Samples were selected using purposive sampling method and there are 24 manufacture companies were able to fulfill the criteria. The analysis method of this research use multiple linear regression. Data used are secondary data from Bursa Efek Indonesia, Indonesian Capital Market Directory, and menlh.go.id. The result of this research found that environmental performance, public ownership and earning management have insignificant influence to Corporate Social Responsibility Disclosure. board of commissioners, independence of commissioner, and managerial ownership have significantly influence on the disclosure of Corporate Social Responsibility
Penelitian ini bertujuan mendapatkan bukti empiris indeks bursa saham asing: Dow Jones Industrial... more Penelitian ini bertujuan mendapatkan bukti empiris indeks bursa saham asing: Dow Jones Industrial Average, Shanghai Stock Exchange Composite, Strait Times Index, dan variabel makro ekonomi: inflasi, BI Rate, harga minyak dunia, nilai tukar IDR/USD mempengaruhi IHSG. Penelitian ini dilakukan dengan menguji data pada periode Januari 2010 – Desember 2014. Teknik analisis menggunakan regresi linear berganda. Didapatkan hasil Strait Times Index dan nilai tukar IDR/USD berpengaruhterhadap IHSG, sedangkan variabel Dow Jones Industrial Average, Shanghai Stock Exchange, inflasi, BI rate, dan harga minyak dunia tidak berpengaruh terhadap IHSG.
This study aims to examine and analyze empirically the effect of net profit margin, debt to equit... more This study aims to examine and analyze empirically the effect of net profit margin, debt to equity ratio, company size, type of industry, reputable company KAP, the audit committee, the age of the company, and insider ownership in the issuer's audit delay LQ45 in Indonesia Stock Exchange period 2008 -2013. Results of the study are partially, DER, CLASS, COMMITTEE, and Age significant effect on Audit Delay, while NPM, Size, and Insider Ownership no significant effect on the Audit Delay. Based on the coefficient of determination, it turns out all independent variables can only explain Audit Delay variation of 10.4 percent.
Penelitian ini bertujuan meneliti hubungan variabel independen: konservatisme akuntansi, kepemili... more Penelitian ini bertujuan meneliti hubungan variabel independen: konservatisme akuntansi, kepemilikan manajerial, kebijakan dividen, ukuran perusahaan, leverage, price earning ratio (per), price to book value (pbv) dan earning per share (eps) terhadap manajemen laba. Teknik analisa yng digunakan adalah regresi linier berganda yang terlebih dahulu dilakukan uji asumsi klasik. Adapun data yang digunakan adalah data sekunder yang diperoleh dari Indonesia Stock Exchange dan berbagai web dari perusahaan. Hasil penelitian menemukan bahwa pengaruh yang signifikan pada variabel kepemilikan manajerial, leverage dan Price Earning Ratio (PER). Sedangkan untuk variabel konservatisme akuntansi, kebijakan dividen, ukuran perusahaan, price to book value (PBV) dan earning per share (EPS) berpengaruh tidak signifikan terhadap manajemen laba.
This study aims to analyze and empirically test the significance of partial and simultaneous effe... more This study aims to analyze and empirically test the significance of partial and simultaneous effect of insider ownership, DER, ROE, firm size, IOS, PER, and EPS dividend payout ratio (DPR) in manufacturing companies in Indonesia Stock Exchange of 2008-2013 period. The results showed that partially turned out just ROE, IOS, PER, and EPS significantly influence of dividend payout ratio, while the insider ownership, DER, and firm size does not affect significant. Meanwhile simultaneously, all variables INSDOWN, DER, ROE, FSIZE, IOS, PER, EPS significantly influence DPR. From coefficient of determination can be concluded that the ability of Insider Ownership, DER, ROE, Firm Size, IOS, PER and EPS in explaining dividend payout ratio amounted to 71.1 per cent while the remaining 28.9 per cent influenced or explained by other variables not used in this study.
This research presents a meta analysis study of Enterprise Resource Planning (ERP) system impleme... more This research presents a meta analysis study of Enterprise Resource Planning (ERP) system implementation in small and medium-sized enterprises (SMEs). Compared to large enterprises, SMEs represent fundamentally different environments, with a number of characteristics typifying the SME context. Because of these distinguishing differences, the findings from studies of ERP implementation in large enterprises cannot be fully applied to SMEs. The purpose of this research is to explore the influences of the SME context on the ERP system implementation through previous study, addressing the following overall research question: How does the SME context affect ERP system implementation? The implementation term in this study refers to the entire ERP life-cycle, denoting the complete implementation process. A qualitative exploratory research approach is applied to answer the research question. The research is conducted through of literature review. The research strategy applied is to investigate influences of the contextual factors on various activities across the ERP life-cycle. A list of characteristics, which typify the SME context and could potentially influence on ERP implementation, is synthesized from relevant literature. The SME characteristics are grouped into three contextual dimensions: organizational, environmental, and technological. Then, the influences of the SME characteristics on various activities across the ERP life-cycle are explored. In particular, the applied strategy of investigating influences of SME characteristics on activities within the ERP life-cycle may serve as a useful perspective for further studies on ERP system implementation in SMEs.
This study aims to investigate the relationship earnings management and mechanisms of good corpor... more This study aims to investigate the relationship earnings management and mechanisms of good corporate governance (managerial ownership, institutional ownership, public ownership, the audit committee, board size, and proportion of independent board) on the disclosure of corporate social responsibility on companies listed in Indonesia Stock Exchange period 2009-2013. From the empirical result, the study found that in partial managerial ownership, board size, and proportion of independent board significant influence, while variable earnings management, public ownership, and the audit committee did not significantly affect the disclosure of corporate social responsibility.
This research aims to analyze the influence of Risk Based Bank Rating to the Profitability of gen... more This research aims to analyze the influence of Risk Based Bank Rating to the Profitability of general bank go public listed in the Indonesia Stock Exchange. Factor tested are Non Performing Loan (NPL), Liquidity to Deposit Ratio (LDR), Proportion of the Independent Board of Commissioners, Audit Committee, Institutional Ownership, Operating Expense and Operating Income (BOPO) and Capital Adequacy Ratio (CAR) towards Return On Assets (ROA).The sample of this study using purposive sampling method, with the number of sample used were 20 general banks go public listed in the Indonesia Stock Exchange (IDX) in the periods 2008 - 2014. Result of this study indicate that NPL, Audit Committee, and BOPO has significant effect on ROA, while the LDR, proportion of independent board, institutional ownership, and CAR has no significant effect on ROA. The result of this analysis showed about 60,3% from the adjusted R2 that ROA can be explained by NPL,LDR,GCG,BOPO, and CAR. The rest 49,7% influenced by other variables outside the model.
This study aims to determine the significant influence of SBI interest rate, inflation rate, stoc... more This study aims to determine the significant influence of SBI interest rate, inflation rate, stock price index and foreign exchange (KLSI and HSI) on return of equity mutual funds of 2008-2012 periods. From the calculation results as follows: a) SBI rate , inflation rate, stock price index and foreign stock exchange (KLSI and HSI) simultaneously has significant effect to rate of return of equity mutual funds; b) Generally, SBI, inflation, stock index and foreign exchange can explain the variation in equity fund return with a range of 21 % to 97.6 % . This means, SBI interest rate, inflation, stock index and foreign exchange can be used to estimate the rate of return on equity mutual fund; c) results of partial test generated several findings as follows: 1) SBI interest rate significantly influence the rate of return on almost all equity mutual fund; 2) rate of inflation did not significantly influence the rate of return on equity mutual funds; 3) JCI turned out to significantly influence the overall level of equity fund returns; 4) KLSE Composite index has a significant effects of six equity mutual funds (YPDP, YGSP , YBDS, YPS, YSDPP, and YGDE), while HIS composite index, has no significant effect on rate of return on equity funds.
The development of the interaction of monetary indicators, foreign stocks, and the stock price in... more The development of the interaction of monetary indicators, foreign stocks, and the stock price index in the context of the dynamics of the relationship are discussed short and long term. The analysis technique used is cointegration analysis and error correction mechanisms for the period 2003-2010. From the research results that: a) in the short term, rising inflation will lead to decline in the stock price index, but in the long run, instead of rising inflation, ceteris paribus, it will increase the stock price index. Partially, the inflation rate did not significantly influence the stock price index in both the short-and long-term, b) 3-month SBI rate negative, but not significant effect on the stock price index in both the short and long term, c) increase in the number of money supply in the short term, will increase the stock price index, both in short and long term; d) the exchange value of rupiah against the U.S. dollar has significant negative effect on stock price index, both short and long term; e) reserves countries have positive and significant impact on the stock price index in both the short-and long-term; f) for foreign exchange, short-term period, the increase in the composite index of stock markets of Malaysia and Singapore ceteris paribus, it will reduce Indonesia's stock index, while for two other exchanges, PSEI and Shanghai, have positive implications of IDX fluctuations. Fluctuations in both the exchange of each will improve the IDX Composite Index. In the long term, unless the Singapore stock market, fluctuations in the three stock exchanges will improve IDX; g) simultaneously, the monetary indicators and the foreign exchanges have positive and significant impact on the stock price index, both short term and long term.
The aim of this paper to examine the factors determining dividend represented by Dividends per sh... more The aim of this paper to examine the factors determining dividend represented by Dividends per share for companies in Indonesian stock exchanges. In this study we run a regression model and used a panel data covering the period from of 2007 to 2011 for LQ-45 firms listed in the stock market. The model investigate the impact of Cash Ratio (CaR), Return on Investment (ROI), Asset Turn Over, Debt to Equity (D/E) ratio, Debt to Total Asset, Net Profit Margin, and Size on Dividends Payout Ratio. The results consistently support that Indonesia LQ-45 listed firms rely on Asset Turn Over, Debt Ratio, and Return of Investment of company to set their dividend payments.
Traditionally, risky assets and riskless asset are treated as two distinct classes. Observing the... more Traditionally, risky assets and riskless asset are treated as two distinct classes. Observing the Indonesian liquid stock with very close maturity dates, we view riskless asset as its natural limit. This unifying viewpoint is not only theoretically appealing, but also practically important. The purpose of research are to recapitulate the single-period results of Markowitz and Sharpe in the context of iso-elastic utility, and formally derive the solution to the unconstrained optimization problem and examine the mathematical properties of the resulting efficient frontier and efficient portfolios. This work relieves the burden of constructing efficient frontiers in asset allocation problems. More important, removing the restriction posed by the efficient frontiers, it allows for much better asset allocation decisions than the traditional methods.
Future uncertainties and the uneven distribution of information is a phenomenon that becomes back... more Future uncertainties and the uneven distribution of information is a phenomenon that becomes background of the emergence of various concepts and approaches regarding investment strategies, and a popular one is the momentum strategy that was first introduced by Jegadesh and Titman in 1993. Momentum investment strategy in a simple way, belief that the good performance of stocks of the past winners is expected to continue in the future. By implementing the Jegadesh and Titman approach, this study aims to find momentum profits of the winner-loser portfolios are formed and the time period of ownership that gives the highest return of the winner-loser portfolios are formed. In addition it also conducted the testing momentum as risk factors in the framework of asset pricing models of the four factors. Empirical calculation results that the winner portfolio is effective for the formation of a three-month period with ownership of a nine-month period, while for the loser portfolio, the effectiveness is the establishment of nine-month period to twelve months of ownership. The findings reinforce other research, which despite the differences, profit performance difference between the two portfolios statistically insignificant. From the four factor asset pricing models, simultaneously the model has a significant effect on stock portfolio, except the three large cap stock portfolios. From replication of the four risk factors partially; it appears that size is the dominant factor concerning the significance influence statistically.
The objectives of this study are to analyze the impact of intellectual capital, Operating Expense... more The objectives of this study are to analyze the impact of intellectual capital, Operating Expense to Operating Income (BOPO), Debt to Equity Ratio (DER) dan Loan to Debt Ratio (LDR) on company’s performance-Return on Assets (ROA). The population used in this study was companies that listed in Indonesia Stock Exchange (IDX) in 2008-2012. Samples were selected using purposive sampling method and 22 banking companies were able to fulfill the criteria used as sample. The analysis method used is multi linear regression, multicollinearity test, autocorrelation test, F-test, t-test and determination test. The model that used to measure intellectual capital was Pulic model separately-using Value Added Human Capital (VAHU), Structural Capital Value Added (STVA), dan Value Added Capital Employed (VACA). The result of F test showed that VAHU, STVA, and VACA, BOPO, DER and LDR have significant influence on ROA. The result of t tes showed that VAHU had no significant influence on ROA, but STVA and VACA have significant influence on ROA. BOPO and DER have negative and significant influence on ROA but LDR had positive and significant influence on ROA.
PROCEEDINGS by Dionysia Kowanda
The 3rd International Congress on Interdisciplinary Behavior & Social Science 2014
A financial distress of company should be able anticipated smartly by its management to rerun the... more A financial distress of company should be able anticipated smartly by its management to rerun the business without having any loss due to business failure. Thus, we need a model which could provide an early signal to company the probability of financial distress so that remedial efforts can be run immediately. This study aims to explore CAMEL’s ratio as an early classificator, and also to reexamine the capacity of CAMEL ratio as a predictor of banks distress. Using a logit binary to classified the probability of distress and non-distress, then multiple regression to determines the ability of financial ratios as a predictor of distress issuers which obtained the following results: a) An exploration CAMEL ratios as an early classificator resulting high classification capacity with a range of 78.7%-91.4%, Furthermore, when CAMEL ratio were used as a predictors, still resulted a high of capability to classify samples accurately by 82.4%.
Research Inovation dan Commercialitation for Better Life 2015
In today's world, IT is a source of differentiation from competitors. The tendency is to produce ... more In today's world, IT is a source of differentiation from competitors. The tendency is to produce more, with the least possible cost and be reactive to the need to continue to change and the requirements of internal and external customers. That is why flexibility, adaptability and cost-cutting is the main reason that drives more and more companies to adopt Open-Source Enterprise Resource Planning (ERP). The main objective of this study was to investigate whether the Open Source ERP system can meet the needs of large organizations and SMEs. The study also attempts to answer the question whether Open-Source ERP vendors offer adequate levels of support to their clients. First, an explanation of research background and the motivation behind it. Then, the research hypothesis is presented. Last, discussion about Open Source concepts, history and advantages of Open Source ERP system. In order to verify research hypothesis, a comprehensive literature review focus on ERP selection criteria of large organizations and SMEs. This review resulted in a number of dimensions that served to build evaluation model. Another component of the evaluation is a "feature" offered from different ERP systems. This model became the principle when evaluating a selected Open Source ERP system. Three Open Source ERP system were chosen being evaluated, namely OpenERP, EpenBravo and Adempiere. Here are answers to the research hypothesis: we can say that the selected of Open Source ERP system offers an adequate level of support to their clients. In addition, they are suitable for SMEs as they can answer all the needs of most SMEs. However, the Open Source ERP which elected has limitation in large organizations: such limitations can be summarized regarding their scalability because there are still doubts the ability of these systems to handle large volumes of users or requests, and their ability to be improved as the cluster model. Other limitations that have an impact on large organizations are the lack of support for the international accounting rules which essential for public business organizations.
Interaksi antara bursa saham internasional nilai tukar valuta asing, dan indeks industri memiliki... more Interaksi antara bursa saham internasional nilai tukar valuta asing, dan indeks industri memiliki implikasi yang berbeda-beda antara satu industri dengan yang lainnya. Karenanya, tujuan penelitian ini adalah untuk mengetahui signifikansi pengaruh simultan dan parsial dari bursa asing dan nilai tukar valas terhadap indeks industri di BEI. Implikasi tersebut diukur dengan pendekatan multiregresi. Dari hasil kalkulasi empiris, diperoleh informasi bahwa secara simultan, kecuali bursa NIKKEI dan nilai tukar Yen, bursa saham internasional dan nilai tukar valas berpengaruh signifikan terhadap fluktuasi indeks industri di bursa efek Indonesia. Hasil penelitian lainnya juga menyatakan bahwa model persamaan yang terbentuk menyatakan kemampuan bursa asing dan nilai tukar valas dalam menjelaskan fluktuasi indeks industri di BEI sangat beragam.
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Papers by Dionysia Kowanda
implikasi yang berbeda-beda antara satu industri dengan yang lainnya. Karenanya, tujuan
penelitian ini adalah untuk mengetahui signifikansi pengaruh simultan dan parsial dari bursa
asing dan nilai tukar valas terhadap indeks industri di BEI. Implikasi tersebut diukur dengan
pendekatan multiregresi. Dari hasil kalkulasi empiris, diperoleh informasi bahwa secara
simultan, kecuali bursa NIKKEI dan nilai tukar Yen, bursa saham internasional dan nilai tukar
valas berpengaruh signifikan terhadap fluktuasi indeks industri di bursa efek Indonesia. Hasil
penelitian lainnya juga menyatakan bahwa model persamaan yang terbentuk menyatakan
kemampuan bursa asing dan nilai tukar valas dalam menjelaskan fluktuasi indeks industri di
BEI sangat beragam.
Kata kunci: Risiko Pasar, Risiko Nilai Tukar, Indeks Industri, IHSG, fundamental ekonomi
information is a phenomenon that becomes background
of the emergence of various concepts and approaches
regarding investment strategies, and a popular one is
the momentum strategy that was first introduced by
Jegadesh and Titman in 1993. Momentum investment
strategy in a simple way, belief that the good performance
of stocks of the past winners is expected to
continue in the future. By implementing the Jegadesh
and Titman approach, this study aims to find momentum
profits of the winner-loser portfolios are formed
and the time period of ownership that gives the highest
return of the winner-loser portfolios are formed. In
addition it also conducted the testing momentum as
risk factors in the framework of asset pricing models of
the four factors. Empirical calculation results that the
winner portfolio is effective for the formation of a threemonth
period with ownership of a nine-month period,
while for the loser portfolio, the effectiveness is the
establishment of nine-month period to twelve months
of ownership. The findings reinforce other research,
which despite the differences, profit performance difference
between the two portfolios statistically insignificant.
From the four factor asset pricing models, simultaneously
the model has a significant effect on stock
portfolio, except the three large cap stock portfolios.
From replication the four risk factors partially; it appears
that size is the dominant factor concerning the
significance influence statistically.
STRATEGI INVESTASI MOMENTUM: PROFIT MOMENTUM
PORTOFOLIO PEMENANG-PECUNDANG DI INDONESIA
Dionysia Kowanda
Universitas Gunadarma
Rowland Bismark Fernando Pasaribu
ABFI PERBANAS Institute Jakarta
E-mail: [email protected]
Keywords: stock portfolio, winner-loser portfolio, overreaction
Published Journals by Dionysia Kowanda
PROCEEDINGS by Dionysia Kowanda
implikasi yang berbeda-beda antara satu industri dengan yang lainnya. Karenanya, tujuan
penelitian ini adalah untuk mengetahui signifikansi pengaruh simultan dan parsial dari bursa
asing dan nilai tukar valas terhadap indeks industri di BEI. Implikasi tersebut diukur dengan
pendekatan multiregresi. Dari hasil kalkulasi empiris, diperoleh informasi bahwa secara
simultan, kecuali bursa NIKKEI dan nilai tukar Yen, bursa saham internasional dan nilai tukar
valas berpengaruh signifikan terhadap fluktuasi indeks industri di bursa efek Indonesia. Hasil
penelitian lainnya juga menyatakan bahwa model persamaan yang terbentuk menyatakan
kemampuan bursa asing dan nilai tukar valas dalam menjelaskan fluktuasi indeks industri di
BEI sangat beragam.
Kata kunci: Risiko Pasar, Risiko Nilai Tukar, Indeks Industri, IHSG, fundamental ekonomi
information is a phenomenon that becomes background
of the emergence of various concepts and approaches
regarding investment strategies, and a popular one is
the momentum strategy that was first introduced by
Jegadesh and Titman in 1993. Momentum investment
strategy in a simple way, belief that the good performance
of stocks of the past winners is expected to
continue in the future. By implementing the Jegadesh
and Titman approach, this study aims to find momentum
profits of the winner-loser portfolios are formed
and the time period of ownership that gives the highest
return of the winner-loser portfolios are formed. In
addition it also conducted the testing momentum as
risk factors in the framework of asset pricing models of
the four factors. Empirical calculation results that the
winner portfolio is effective for the formation of a threemonth
period with ownership of a nine-month period,
while for the loser portfolio, the effectiveness is the
establishment of nine-month period to twelve months
of ownership. The findings reinforce other research,
which despite the differences, profit performance difference
between the two portfolios statistically insignificant.
From the four factor asset pricing models, simultaneously
the model has a significant effect on stock
portfolio, except the three large cap stock portfolios.
From replication the four risk factors partially; it appears
that size is the dominant factor concerning the
significance influence statistically.
STRATEGI INVESTASI MOMENTUM: PROFIT MOMENTUM
PORTOFOLIO PEMENANG-PECUNDANG DI INDONESIA
Dionysia Kowanda
Universitas Gunadarma
Rowland Bismark Fernando Pasaribu
ABFI PERBANAS Institute Jakarta
E-mail: [email protected]
Keywords: stock portfolio, winner-loser portfolio, overreaction