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"Penelitian ini bertujuan untuk menyelidiki kinerja strategi investasi Magic Formula yang diperkenalkan oleh Joel Greenblatt (2006) yang diaplikasikan pada Bursa Efek Indonesia. Magic formula adalah strategi pemilihan saham sederhana dengan cara memeringkatkan saham berdasarkan return on capital dan earning yield. Langkah selanjutnya adalah memilih tiga puluh saham teratas dari peringkat gabungan untuk dijadikan portofolio. Indeks KOMPAS100 dipilih untuk pasar saham Indonesia. Pengembalian dari portofolio Magic Formula kemudian dibandingkan dengan pengembalian pasar. Rebalancing portofolio dilakukan tahunan. Analisis Sharpe, Treynor dan Jensen's Alpha digunakan untuk mengukur pengembalian yang disesuaikan dengan risiko. Secara keseluruhan, penelitian ini menunjukkan bahwa dengan menggunakan return on capital dan earning yield mampu menghasilkan pengembalian rata-rata yang lebih tinggi daripada indeks pasar dari April 2013 sampai dengan April 2018 namun tidak signifikan. Portofolio magic formula menghasilkan pengembalian rata-rata 12.67% dan pasar menghasilkan pengembalian rata-rata 5.31% selama periode yang diuji.

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This study aims to investigate the performance of the Magic Formula investment strategy introduced by Joel Greenblatt (2006) which was applied to the Indonesia Stock Exchange. Magic Formula is a simple stock selection strategy by ranking stocks based on return on capital and earnings yield. The next step is to choose the top thirty stocks from the combined rank to become a portfolio. The KOMPAS100 index was chosen for the Indonesia stock market. Returns from the magic formula portfolio are then compared to market returns. Portfolio rebalancing is conducted annually. Sharpe, Treynor, and Jensen's Alpha analysis is used to measure returns adjusted for risk. Overall, this study shows that using return on capital and earnings yields can produce higher average returns than the market index from April 2013 to April 2018 but not significant. The Magic Formula portfolio yields an average return of 12.67% and the market produces average returns 5.31% during the period under test."

"Penelitian ini bertujuan untuk menyelidiki kinerja strategi investasi Magic Formula yang diperkenalkan oleh Joel Greenblatt (2006) yang diaplikasikan pada Bursa Efek Indonesia. Magic formula adalah strategi pemilihan saham sederhana dengan cara memeringkatkan saham berdasarkan return on capital dan earning yield. Langkah selanjutnya adalah memilih tiga puluh saham teratas dari peringkat gabungan untuk dijadikan portofolio. Indeks Kompas100 dipilih untuk pasar saham Indonesia. Pengembalian dari portofolio Magic Formula kemudian dibandingkan dengan pengembalian pasar. Rebalancing portofolio dilakukan tahunan. Analisis Sharpe, Treynor dan Jensen's Alpha digunakan untuk mengukur pengembalian yang disesuaikan dengan risiko (RAR).Secara keseluruhan, penelitian ini menunjukkan bahwa dengan menggunakan return on capital dan earning yield mampu menghasilkan pengembalian rata-rata yang lebih tinggi daripada indeks pasar dari April 2007 sampai dengan April 2019 namun tidak signifikan. Portofolio magic formula menghasilkan pengembalian rata-rata 35,11% dengan RAR 72% dan pasar menghasilkan pengembalian rata-rata 15,01% dengan RAR 76% selama periode yang diuji.

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This study aims to investigate the performance of the Magic Formula investment strategy introduced by Joel Greenblatt (2006) which was applied to the Indonesia Stock Exchange. Magic Formula is a simple stock selection strategy by ranking stocks based on return on capital and earnings yield. The next step is to choose the top thirty stocks from the combined rank to become a portfolio. The Kompas100 index was chosen for the Indonesia stock market. Returns from the magic formula portfolio are then compared to market returns. Portfolio rebalancing is conducted annually. Sharpe, Treynor, and Jensen's Alpha analysis is used to measure returns adjusted for risk (RAR).

Overall, this study shows that using return on capital and earnings yields can produce higher average returns than the market index from April 2007 to April 2019 but not significant. The Magic Formula portfolio yields an average return of 35.11% with RAR 72% and the market produces average returns 15.01% with RAR 76% during the period under test."

"Penelitian ini bertujuan untuk menguji apakah strategi investasi yang didasarkan past volume dan past return mampu menghasilkan nilai abnormal return yang signifikan atau tidak pada Bursa Efek Indonesia dalam periode penelitian dari tahun 2006 hingga 2015. Metode yang digunakan dengan menguji strategi pada setiap portofolio yang dibentuk pada periode observasi dari 1M, 3M, 6M, 9M, dan 12M yang kemudian menerapkan holding periode 3M, 6M, 9M, dan 12M. Sehingga gross return dari setiap portofolio tersebut kemudian dievaluasi dengan singel index model, fama-french three factors, carhart four factors, dan fama-french five factors. Hasilnya, diperoleh nilai abnormal return yang positif dan negatif dengan signifikan secara konsisten pada semua model.

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This study aims to find out whether the investment strategies based on past volume and past returns are able to generate a significant abnormal return on Indonesia Stock Exchange in the period of 2006-2015. The research methodology is testing the strategies for each portfolio which was formed in the observation period of 1M, 3M, 6M, 9M and 12M which then apply the holding period of 3M, 6M, 9M and 12M. Therefore, the gross return of each portfolio is evaluated by singel index model, fama-french three factors, carhart four factors, dan fama-french five factors. The results of this study explain that the value of abnormal return is positive and negative, they are significantly consistent on all models."

"Tujuan tesis ini adalah untuk menguji efisiensi dari Bursa Efek Indonesia dengan melihat perilaku random walk pada Indeks Harga Saham Gabungan dan Indeks sektoral yang terjadi dalam periode harian. Pengujian atas perilaku random walk salah satunya adalah dengan menggunakan korelasi antara perubahan harga sekarang dengan harga sebelumnya. Penelitian ini menggunakan dua metode korelasi. Metode korelasi yang pertama adalah yang umum digunakan yaitu korelasi dengan menggunakan statistik deskriptif dan rnetode kedua adalah dengan menggunakan korelasi wavelet. Hasil dari kedua metode tersebut memperlihatkan adanya pola random walk untuk periode harian.

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The purpose of this thesis is to test the efficiency of the Indonesia Stock Exchange particular with a random walk behavior for Composite Index and Sectoral lndices that occurred in daily period. One of method to Tests random walk behavior is to use correlation between changes in current prices with previous prices. This thesis used two methods of correlation. The first method is commonJy used in statistics and the second method is by using wavelet correlation. Results from both methods showed random walk behaviour for daily period."

"Penelitian ini menganalisis perbandingan strategi investasi antara pendistribusian modal secara sekaligus atau biasa disebut dengan Lump-Sum LS dan pendistribusian modal secara bertahap atau biasa disebut dengan Dollar-Cost Averaging DCA . Penerapan setiap strategi investasi harus didasarkan pada karakteristik dari instrumen investasi yang dipilih oleh investor dan karakteristik dari investor atas investasi yang dilakukan. Tujuan dari penelitian ini adalah menganalisis return dan risk pada portofolio instrumen investasi yang menerapkan LS dan DCA. Metode penelitian yang digunakan dalam penelitian ini adalah uji-t t-test atau biasa disebut dengan uji parsial untuk menguji hipotesis mengenai return dan risk pada portofolio instrumen investasi yang menerapkan LS dan DCA. Sampel penelitian ini adalah portofolio instrumen investasi terdiri dari saham yang terdaftar di indeks Kompas100 pada periode Agustus 2007-Januari 2017. Hasil dari penelitian ini menyatakan bahwa selama periode penelitian portofolio instrumen investasi yang menerapkan LS memiliki return yang lebih tinggi, jika dibandingkan dengan return pada portofolio instrumen investasi yang menerapkan DCA. Hasil dari penelitian ini kemudian menyarankan kepada investor untuk menerapkan strategi investasi LS pada portofolio instrumen investasi yang dimiliki.

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These studies analyze the comparison between the distribution of capital investment strategy at once or commonly known as Lump Sum LS and the distribution of capital investment strategy gradually or commonly known as Dollar Cost Averaging DCA . The application of any investment strategy should be based on the characteristics of the chosen investment instruments by investors and the characteristics of investors over the investments made. The purpose of this research is to analyze the return and risk on portfolio investment instruments that apply the LS and DCA. Research methods used in this research is t test or commonly referred to as a partial test for testing the hypothesis concerning the return and risk on portfolio investment instruments that apply the LS and DCA. The sample of this research is the investment instruments portfolio consists of stocks listed on the Kompas100 index in the period August 2007 January 2017. The results of this study stated that during the period of the research portfolio investment instruments that apply the LS has higher return, if compared to the return on a portfolio of investment instruments that implement the DCA. The results of this research later suggests to investors to implement investment strategies investment instruments portfolio in LS."

"ABSTRAKPenelitian ini bertujuan untuk menguji apakah strategi pemilihan asetdalam portofolio yang didasarkan pada likuiditas turnover ratio dan AmihudIlliquidity mampu menghasilkan abnormal return atau tidak. Setiap portofolioyang dibentuk kemudian di-hold dengan masa kepemilikan selama 6 bulan (6M)dan 12 bulan (12M). Excess return dari setiap portofolio kemudian dievaluasidengan model CAPM, Fama-French Three Factors, dan Carhart Four Factors.Hasilnya, diperoleh nilai abnormal return yang positif dan signifikan padaportofolio least ? most liquid strategi 6 ? 6M yang disusun berdasarkan turnoverratio.

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ABSTRACTThis paper aimed to test whether stock selection strategy based onliquidity namely turnover ratio and Amihud Illiquidity could generate abnormalreturn or not. Holding periods for every formed portfolio are 6 months (6M) and12 month (12M). Each portfolio excess return then evaluated with CAPM, Fama-French Three Factors Model, and Carhart Four Factors Model. The results showthat positive alpha consistently generated from least ? most liquid portofolio withformation and holding strategy 6 ? 6M which arranged by turnover ratio"

"[ABSTRAKPenelitian ini bertujuan untuk menguji apakah strategi pemilihan aset dalam portofolio yang didasarkan pada informasi pertumbuhan pendapatan historis (4Q, 8Q, dan 12Q terakhir) mampu menghasilkan abnormal return atau tidak. Setiap portofolio yang dibentuk kemudian di-hold dengan masa kepemilikkan 1M, 3M, 6M, 9M, dan 12M. Gross return dari setiap portofolio kemudian dievaluasi dengan model fama-french three factors, carhart four factors, dan fama-french five factors. Hasilnya, diperoleh nilai abnormal return yang negatif dan konsisten dari saham-saham yang mencatatkan pertumbuhan pendapatan rendah pada ketiga periode pengamatan dan terkoreksi dalam 9M hingga 12M. Sedangkan saham yang mencatatkan pertumbuhan pendapatan tinggi hanya mencatatkan nilai abnormal return yang negatif dari periode pengamatan jangka menengah (8Q) dan terkoreksi dalam 1M hingga 12M.

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ABSTRACTThis paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period., This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.]"

"ABSTRAKPenelitian ini bertujuan untuk menguji apakah strategi pemilihan asetdalam portofolio yang didasarkan pada likuiditas turnover ratio dan AmihudIlliquidity mampu menghasilkan abnormal return atau tidak. Setiap portofolioyang dibentuk kemudian di-hold dengan masa kepemilikan selama 6 bulan (6M)dan 12 bulan (12M). Excess return dari setiap portofolio kemudian dievaluasidengan model CAPM, Fama-French Three Factors, dan Carhart Four Factors.Hasilnya, diperoleh nilai abnormal return yang positif dan signifikan padaportofolio least ? most liquid strategi 6 ? 6M yang disusun berdasarkan turnoverratio.

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ABSTRACTThis paper aimed to test whether stock selection strategy based onliquidity namely turnover ratio and Amihud Illiquidity could generate abnormalreturn or not. Holding periods for every formed portfolio are 6 months (6M) and12 month (12M). Each portfolio excess return then evaluated with CAPM, Fama-French Three Factors Model, and Carhart Four Factors Model. The results showthat positive alpha consistently generated from least ? most liquid portofolio withformation and holding strategy 6 ? 6M which arranged by turnover ratio."

"Tesis ini membahas kemampuan penggunaan candlestick chart untuk memprediksi trend harga saham dan memperoleh return positif. Candlestick chart adalah salah satu metode analisis teknikal yang telah lama digunakan dalam kontrak futures beras di Jepang sejak tahun 1700-an. Sampel data yang digunakan dalam penelitian ini adalah data harian empat komponen harga saham (open, high, low, close) emiten LQ45 yang terdaftar di Bursa Efek Indonesia (BEI) selama periode Januari 1995 sampai Desember 2013. Data yang digunakan dalam penelitian ini diperoleh dari website thompsonreuters. Metode statistik yang digunakan untuk menguji hipotesis, meliputi one mean t-test dan binomial test dengan SPSS 16. Hasil penelitian menunjukkan bahwa rata-rata return dari tiap pola candlestick tidak sama dengan nol, dan nilainya akan semakin baik jika memperhatikan trend dan volume saham diperdagangkan. Probabilitas perolehan return positif tertinggi mencapai 76% untuk volume transaksi harian diatas 4.000.000 lembar. Untuk memperkuat hasil penelitian, dilakukan pengujian atas data sub periode krisis dan non krisis serta sub sampel kelompok harga saham dan ukuran perusahaan.

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This thesis explored predictive power of candlestick chart in the Indonesian Stock Market. Candlestick chart is one of technical analysis that has been used in Japanese rice market in the 1700s. The data used in this thesis is four daily price (open, high, low, close) of 45 stock which listed in Indonesian Stock Exchange within January 1995 untill December 2013. The data used is acquired from thompsonreuters website. The statistical method used to test the hypothesis are one mean t-test dan binomial test which is run by SPSS 16.

The result indicate that average return from each candlestick pattern is not zero, and the result is more significant when considering trend and minimal daily volume of stock traded. Probabillity to acquired highest positive return is 76% for data with minimal daily volume 4.000.000 shares. As an attempt to further analysis, we also test data for sub period which is crisis and non crisis and also sub sample test based on range of stock price and company size."

"Penelitian ini bertujuan untuk mengetahui kinerja portofolio saham Sustainable and Responsible Investment (SRI) di Bursa Efek Indonesia (BEI). SRI adalah suatu konsep dimana investor tidak hanya mempertimbangkan kinerja keuangan, namun juga aspek non-keuangan pada perusahaan seperti Environmental, Social, and Governance (ESG). Apakah kinerja portofolio SRI di BEI lebih baik dibandingkan dengan kinerja portofolio konvensional dan portofolio syariah? Pada penelitian ini akan dibentuk portofolio SRI dari indeks Sri-Kehati (SRI), portofolio konvensional dari indeks LQ45, dan portofolio syariah dari Jakarta Islamic Index (JII). Kinerja tiga portofolio tersebut akan dibandingkan berdasarkan nilai alpha yang diperoleh dari Capital Asset Pricing Model (CAPM), Fama and French Three Factor Model (FF3F), dan Fama and French Five Factor Model (FF5F), juga berdasarkan rasio sharpe, rasio treynor dan rasio sortino. Hasil penelitian ini menunjukkan bahwa kinerja potofolio SRI di BEI lebih baik dibandingkan dengan kinerja portofolio konvensional dan portofolio syariah. Kinerja yang baik tersebut terjadi karema rata-rata excess return portofolio SRI yang bernilai positif selama periode penelitian.

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This study aims to determine the performance of the Sustainable and Responsible Investment (SRI) stock portfolio on the Indonesia Stock Exchange (BEI). SRI is a concept in which investors not only consider financial performance, but also non-financial aspects of companies such as Environmental, Social, and Governance (ESG). Is the performance of the SRI portfolio on the IDX better than the performance of conventional portfolios and sharia portfolios? In this study, an SRI portfolio from the Sri-Kehati index (SRI) will be formed, a conventional portfolio from the LQ45 index, and a sharia portfolio from the Jakarta Islamic Index (JII). The performance of the three portfolios will be compared based on the alpha value obtained from the Capital Asset Pricing Model (CAPM), Fama and French Three Factor Model (FF3F), and Fama and French Five Factor Model (FF5F), also based on the sharpe ratio, treynor ratio and ratio sortino. The results of this study indicate that the performance of the SRI portfolio on the IDX is better than the performance of conventional portfolios and sharia portfolios. This good performance occurs because the average excess return of the SRI portfolio is positive during the study period."