Hubungan Antara Excess Return dengan Price Earnings Ratio, Firm Size dan Market To Book Value-Ratio: Penelitian Terhadap 22 Saham Perusahaan yang Go Public Tahun 1995  

Oleh:

Husnan, Suad ; Raharjo, Budi Santoso ; Atmaja, Lukas Setia

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Kinerja: Jurnal Bisnis dan Ekonomi Program Pascasarjana Universitas Atma Jaya Yogyakarta vol. 3 no. 5 (1998), page 35-42.
Topik: Price Earnings Ratio; PER
Fulltext: Hubungan Antara Excess Return dengan Price Earnings Ratio.pdf (5.3MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: KK15.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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It has been found that a number of firm characteristics such as Price Earnings Ratio (PER), firm size, and Market to Book Value Ratio (MBV) are related to excess or abnormal return. This paper examines whether this phenomenon also exists in the Indonesian Primary Market. The data of 22 IPO stocks in 1995 is utilized. We found that investors could earn excess return by buying new stocks in the primary market and then sold them immediately in the first trading day in the secondary market (Jakarta Stock Exchange). The average return they could earn by exercising this strategy is about 10.3%. This finding indicates that most of stocks sold in the primary market in 1995 was undervalued. Moreover, it was not found that PER, size and MBV have statistically significant relationship with excess return. It means that investors could not utilize these firm cha¬racteristics to find undervalued stocks in the primary market.

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