ABSTRACT: The research is
intended to find out the performance of stock listed in Indonesia Stock
Exchange during period of 2003 to 2007 by using M²’s model and Sharpe’s model.
The other objective of this research is to find empirical evidence for the
different performance of stock between M²’s model and Sharpe’s model.. This
research used a number sample of 301 kind of stocks which already listed since
before end of the year of 2002 up to end of 2007. This research used monthly
data of : stock index prices, market index LQ45, and risk free rate of
Indonesia Bank Certificate. Four hypothesis are in this research: (1) the monthly
excess return of stock due to M²’s model and Sharpe’s model is different; (2)
the risk of stock due to M²’s model and Sharpe’s model is different; (3) the
reward to variability ratio due to M²’s model and Sharpe’s model is different;
(4) the M² value due to M²’s model and Sharpe’s model is different. The finding
of this research show that the number of undervalued stock is 5 stocks and 252
stock according to rank of M²’s model and Sharpe’s model respectively.which the
details result as below: The monthly excess return of stock is 0,074 and 0,038
due to M²’s model and Sharpe’s model respectively. The difference is
statistically not significant. The risk of stock of 0,155 and 0,237 due to M²’s
model and Sharpe’s model respectively. The difference is statistically
significant. The reward to variability ratio is 0,478 and 0,166 due to M²’s
model and Sharpe’s model respectively. The difference is statistically
significant. The M² value is 0,0036 and (0,0157) due to M²’s model and Sharpe’s
model respectively. The difference is statistically significant.
Keywords: Sharpe’s model, M²’s
model, reward to variability ratio, M² value
Penulis: Mohamad Samsul
Kode Jurnal: jpmanajemendd100030
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