ANALISIS VALUE STOCK DAN GROWTH STOCK DI BURSA EFEK INDONESIA SETELAH KRISIS GLOBAL 2008 Studi Kasus pada Perusahaan di Bursa Efek Indonesia periode 2002-2015
Abstract: This study was
conducted to determine whether there are differences between the stock return
of value stocks and growth stock in Indonesia before and after the world
financial crisis that occurred in 2008. To investigate the difference, the
stocks formed into a portfolio that is based on the 2002 calculated in 2002 and
2009 when the world financial crisis has ended.
The formation of the portfolio based on stocks that have gone public
before 2000 and have the complete data during the study period. For the
determination of the categories of stocks used Price-to-Earnings ratio,
price-to-book ratio and price-to-cash flow ratio. Shares of stock that has a
very high ratio will be eliminate to avoid bias that may occur if the stocks
are still included. Similarly, the stocks of which are negative because they do
not meet the criteria as a value stock. Then ANOVA test conducted to determine
differences in returns and Sharpe ratio on the portfolio which was formed in
2002 and in 2009.
Results from this studies are not found differences in returns and Sharpe
ratio on both the portfolio. This indicates that the formation of the portfolio
by value stocks and growth stock can not be used as a guide to get a high
return.
Keywords: value stock, growth
stock, returns, Sharpe ratio
Penulis: Muhammad Fadhil
Rabbani, Harjum Muharam
Kode Jurnal: jpmanajemendd170883
