Pengaruh nilai prospect tversky-kahneman terhadap return saham = Effects of tversky-kahneman prospect value on stock returns

Tjin, Elly S. (2019) Pengaruh nilai prospect tversky-kahneman terhadap return saham = Effects of tversky-kahneman prospect value on stock returns. Masters thesis, Universitas Pelita Harapan.

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Abstract

Prospect Theory is a behavior which affects an investor to make a decision based on the potential value of losses and gains rather than the final outcome when the investor takes a decision in stock investment. Kahneman and Tversky (1979) criticized Expected Utility Theory as a descriptive model of decision making under risk, and developed an alternative model which called Prospect Theory. In 1992, Tversky and Kahneman proposed a modified version of Prospect Theory known as the Cumulative Prospect Theory, using a value function and weighting function to determine the presence or absence of a Prospect Theory behavior in the sample group. To compute the stock’s Prospect Theory value labelled TK Factor, this study implemented the formula “TK” which means Tversky and Kahneman (1992). The parameters implemented in this study was according to Tversky and Kahneman (1992). This study was conducted to determine the effect of TK Factor on stock returns. This study collected data from companies listed on The Indonesia Stock Exchange (IDX) for the year 2002-2016 and data from The Indonesia Capital Market Institute (TICMI). The findings of TK Factor using Fama French Three-Factors on portfolios of stock returns shows that TK Factor has negative effect on stock returns however with a very small difference so that it can be considered that the effect of TK Factor is small on the portfolios of stock returns. Nevertheless, the findings of TK Factor using FamaMacBeth process shows the predictive power of TK Factor on stock returns which proves the effect of Prospect Theory on stock returns in Indonesia. / Prospect Theory merupakan suatu kecenderungan pada seorang investor untuk membuat keputusan berdasarkan nilai potensial keuntungan dan kerugian daripada hasil akhir ketika investor mengambil keputusan dalam berinvestasi saham. Kahneman dan Tversky (1979) mengkritik Expected Utility Theory sebagai model deskriptif pengambilan keputusan di bawah resiko, dan mengembangkan model alternatif yang disebut Prospect Theory. Pada tahun 1992, Tversky dan Kahneman mengusulkan versi Propect Theory yang telah dimodifikasi yang dikenal sebagai Cumulative Prospect Theory, dengan menggunakan metode perhitungan fungsi nilai (value function) dan fungsi pembobotan (weighting function) yang digunakan untuk mengetahui ada tidaknya kecenderungan Prospect Theory pada kelompok sampel. Untuk menghitung nilai Prospect Theory saham yang disebut Faktor TK, penelitian ini menggunakan formula “TK” yang berarti Tversky dan Kahneman (1992). Parameter yang digunakan dalam penelitian ini sesuai dengan parameter Tversky dan Kahneman (1992). Penelitian ini dilakukan untuk mengetahui pengaruh Faktor TK terhadap return saham. Penelitian ini menggunakan data perusahaan-perusahaan yang terdaftar di Bursa Efek Indonesia (BEI) pada tahun 2002-2016 dan data yang berasal dari The Indonesia Capital Market Institute (TICMI). Hasil perhitungan Faktor TK dengan menggunakan Fama French Three-Factor terhadap portofolio return saham menunjukkan Faktor TK berpengaruh negatif terhadap return saham, akan tetapi dengan perbedaan yang sangat kecil sehingga bisa dianggap pengaruh Faktor TK kecil terhadap portofolio return saham. Walaupun demikian, hasil perhitungan Faktor TK dengan menggunakan proses Fama-MacBeth menunjukkan kekuatan prediktif Faktor TK terhadap return saham yang membuktikan pengaruh Prospect Theory berlaku pada return saham di Indonesia.

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