Style investment berbasis size-book to market dan size-asset growth dan momentum return saham di bursa efek Indonesia

Shubhan, Wahyu (2020) Style investment berbasis size-book to market dan size-asset growth dan momentum return saham di bursa efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini dilakukan untuk mengetahui hubungan Investment Style berbasis size-book to market dan size-asset growth dan momentum return saham di bursa efek di Indonesia. Style investment mengacu pada set tertentu aset berisiko yang dikategorikan oleh investor yang berbagi beberapa ciri yang biasa. Proses dimana investor mengalokasikan dana berdasarkan kinerja relative perusahaan. Data yang dipergunakan dalam penelitian ini adalah data perusahaan yang terdaftar dalam Bursa Efek Indonesia dalam selam periode 2009-2017. Hasil pengujian menunjukan bahwa style investment berbasis size-AG dan style size-BM memiliki pengaruh yang signifikan terhadap return t+1, t+3, t+6 dan t+12. / This research was conducted to determine the relationship of Style Investment Style based on size-book to market and size-asset growth and momentum return of shares in stock Exchange in Indonesia. Style investment refers to a specific set of risky assets that are categorized by investors who share some of the usual features. The process by which investors allocate funds based on company relative performance. The data used in this research is the company's data listed on the Indonesia Stock Exchange in the 2009-2017 period. The test results showed that the style investment based on size-AG and style size-BM had a significant effect on return T + 1, T + 3, T + 6 and T + 12.

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