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"Tesis ini membahas mengenai pengaruh stock mispricing terhadap keputusan investasi perusahaan-perusahaan di Bursa Efek Indonesia. Penelitian ini merupakan penelitian kuantitatif dengan menggunakan panel data dari tahun 2000 hingga tahun 2010. Variabel mispricing diukur dengan menggunakan harga saham yang dirumuskan dalam variance ratio. Dalam penelitian ini, terdapat satu variabel dependen yaitu rasio capital expenditure (belanja modal) terhadap investasi riil perusahaan. Hasil dari penelitian ini menyimpulkan bahwa mispricing yang terjadi pada pasar saham dan cash perusahaan tidak berpengaruh terhadap keputusan investasi perusahaan-perusahaan di Bursa Efek Indonesia. Di pihak lain, variabel-variabel fundamental perusahaan seperti cash flow, leverage, dan sales memiliki pengaruh yang signifikan terhadap keputusan investasi perusahaan.

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This thesis discusses about the effect of mispricing on corporate investment decisions in Indonesia Stock Exchange. This is a quantitative study using panel data from 2000 until 2010. Mispricing variable is measured using stock price which is defined in the variance ratio. In this study, dependent variable is ratio of firm's capital expenditures to its real investment. The results of this study concluded that the mispricing that occurred in the stock market and corporate?s cash do not affect the corporate investment decisions in Indonesia Stock Exchange. On the other hand, the fundamental variables such as the firm's cash flow, leverage, and sales have a significant effect on corporate investment decisions."

"Tesis ini membahas mengenai pengaruh stock mispricing terhadap return reversal saham-saham di Bursa Efek Indonesia. Penelitian ini merupakan penelitian kuantitatif dengan menggunakan panel data dari tahun 2006 hingga tahun 2011. Variabel mispricing diukur melalui proksi volatilitas atau standar deviasi dari nilai residual. Terdapat empat variabel dependen di dalam penelitian ini untuk melihat mean reverting saham, yaitu return minggu pertama, return minggu kedua, return minggu ketiga dan return minggu keempat seletah periode mispricing. Hasil dari penelitian ini menyimpulkan bahwa tingkat mispricing suatu saham berpengaruh positif dan signifikan terhadap return reversal. Berdasarkan analisa t-statistic untuk setiap regresi, maka didapatkan hasil bahwa variabel mispricing paling berpengaruh terhadap return reversal saham terhitung pada minggu kedua setelah periode mispricing. Pada minggu ketiga dan keempat setelah periode mispricing, return saham telah mengikuti proses mean reverting, yaitu return berangsurangsur kembali perlahan kepada return semestinya.

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This thesis discusses the effect of mispricing to return reversal stocks in the Indonesia Stock Exchange. This is a quantitative method using panel data from 2006 until 2011. Mispricing variable was measured by the residual volatility (standar deviation) proxy. There are four dependent variables in this study to look at the mean reverting of stocks, which are return on the first week, return on the second week, return on the third week and return on the fourth week after the mispricing period.

This study concludes that the stock mispricing has a positive and significant impact on return reversal. Based on t-statistic analysis for each regression, the most influence effects starts in the second week after mispricing period. In the third and fourth weeks after mispricing period, stock returns have been following the mean reverting process, which gradually return to the supposed return."

"Penelitian ini bertujuan untuk menguji pengaruh likuiditas saham terhadap mispricing saham di Indonesia. Likuiditas saham diukur dengan mengunakan tiga ukuran yaitu, amihud illiquidity, amihud risk dan share turnover. Pengujian dilakukan dengan menggunakan regresi berganda dan panel data dengan sampel sebanyak 92 perusahaan yang tercatat di bursa efek Indonesia selama periode 2004-2011. Hasil penelitian ini membuktikan bahwa ukuran (size) perusahaan berpengaruh negatif dan signifikan terhadap mispricing saham. Book to market ratio perusahaan berpengaruh negatif dan signifikan terhadap mispricing saham. Likuiditas saham dengan ukuran amihud illiquidity berpengaruh negatif dan signifikan terhadap mispricing saham. Likuiditas saham dengan ukuran amihud risk berpengaruh negatif dan signifikan terhadap mispricing saham. Namun Likuiditas saham dengan ukuran share turnover berpengaruh positif dan signifikan terhadap mispricing saham.

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The objective of this research is to analyze the effect of stock liquidity on stock mispricing at indonesia stock exchange. This Research uses multiple regression and panel data with 92 company listed at Indonesia Stock Exchange taken as a sample.

The result of this research shows that size and book to market ratio have negative effect and significantly influence stock mispricing. Stock Liquidity measured by amihud illiquidity shows that liquidity has negative effect and significantly influence stock mispricing.

Stock Liquidity measured by amihud risk also shows that liquidity has negative effect and significantly influence stock mispricing. However, Stock Liquidity measured by share turnover shows that liquidity has positive effect and significantly influence stock mispricing."

"Mispricing harga saham merupakan salah satu dampak dari lemahnya bentuk efisiensi pasar modal Indonesia. Penelitian terdahulu yang menggunakan indeks sentimen pasar Baker dan Wurgler (2006) menunjukkan bahwa hal tersebut dipengaruhi oleh sentimen investor. Namun seiring dengan perkembangan teknologi, Twitter menjadi salah satu media sosial yang dapat digunakan untuk mengukur sentimen investor yang akurat. Penelitian dengan 600 observasi ini bertujuan untuk mengetahui bagaimana pengaruh sentimen investor pada Twitter terhadap mispricing harga saham Indonesia tahun 2017. Dengan menggunakan Vector Autoregressive (VAR), mispricing harga saham dibagi menjadi dua komponen, yaitu earning mispricing dan required return mispricing. Hasil penelitian menunjukkan bahwa harga saham Indonesia tahun 2017 mengalami undervalue sebesar 19,5% dan sentimen investor berhubungan negatif signifikan terhadap mispricing harga saham di Indonesia. Oleh karena itu, investor disarankan untuk memperhatikan kondisi pasar modal dan sentimen pada Twitter sebelum mengambil keputusan investasi.

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Stock mispricing is one of the effects of the weak form of Indonesia's capital market efficiency. Previous research using market sentiment index by Baker and Wurgler (2006) shows that it was affected by investor sentiment. However, along with the development of technology, Twitter has become one of the social media that can be used to measure investor sentiment accurately. This study, using 600 observations, aims to analyze the impact of investor sentiment on Twitter on Indonesia’s stock mispricing in 2017. By using Vector Autoregressive (VAR), stock mispricing is divided into two components, earning mispricing and required return mispricing. The results show that Indonesia's stock price in 2017 experienced undervalue of 19,5% and investor sentiment had a significantly negative relationship with stock mispricing in Indonesia. Therefore, investors are advised to pay attention to capital market conditions and sentiment on Twitter before making investment decisions."

"Nilai harga saham di Bursa Efek Indonesia (BEI) terkadang mengalami perubahan yang fluktuatif tergantung dari kondisi perekonomian indonesia yang juga dipengaruhi oleh kondisi perekonomian global. Diversifikasi merupakan suatu hal yang tepat dalam mengatasi kondisi yang kurang tepat ketika adanya kondisi global yang tidak menentu terutama faktor perekonomian. Reksa Dana adalah instrumen pasar modal yang diatur oleh Manajer Investasi (MI) namun sifat mekanisme transaksinya diperjual belikan oleh dealer partisipan pada pasar primer. Exchange-Traded Fund (ETF), salah satu produk Reksa Dana yang karakteristiknya berbeda terutama dari segi mekasnisme jual belinya dan kehadirannya masih baru di Indonesia dan saat pengerjaan penelitian ini yang terdaftar di BEI yang berjumlah 45 ETF. Nilai Aktiva Bersih (NAB) pada ETF memiliki perbedaan dengan harga pasarnya, namun jika berdasarkan Efficient Market Hypotesis menjelaskan nilai intrinsik suatu sekuritas mencerminkan harga pasarnya. Maka untuk melihat terkait masalah tersebut pada tesis ini bertujuan untuk melakukan analisis faktor disparitas yang dapat berpengaruh antara NAB pada ETF dengan harga pasarnya dengan menggunakan data sekunder. Metode yang dilakukan dengan regresi Ordinary Least Square (OLS) dengan hipotesis penelitian yaitu faktor disparitas meliputi fund age, volume, selisih high dan low price, dan return IHSG. Hasil penelitian ini menemukan bahwa fund age, volume, selisih high dan low price tersebut berpengaruh signifikan terhadap perbedaan harga terhadap NAB (mispricing ETF) dengan R squared sebesar 3.13 % yang tidak jauh berbeda dengan peneltian Atanasova dan Weisskopf (2020) dan penelitian Shin dan Soydemir (2010). Implikasi penelitian ini memberikan gambaran pada investor, Manajer Investasi, dan dealer partisipan untuk berinvestasi dan mengembangkan ETF di Indonesia.

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The value of share prices on the Indonesia Stock Exchange (IDX) sometimes fluctuates depending on the condition of the Indonesian economy which is also influenced by global economic conditions. Diversification is the right thing to overcome inaccurate conditions when there are uncertain global conditions, especially economic factors. Mutual Funds are capital market instruments that are regulated by the Investment Manager (MI) but the nature of the transaction mechanism is traded by and participating dealers in the primary market. Exchange- Traded Fund (ETF), one of the Mutual Fund products with different characteristics, especially in terms of its trading mechanism and its new presence in Indonesia, and at the time of this research were listed on the IDX, totaling 45 ETFs. Net Asset Value (NAV) in ETF is different from its market price, however, based on the Efficient Market Hypothesis, it explains that the intrinsic value of a security reflects its market price. So to see the cause of this issue, the objective of this thesis is to analyze the disparity factors that can affect the NAV in ETFs and their market prices using secondary data. The method used is Ordinary Least Square (OLS) regression with the research hypothesis that disparity factors include fund age, volume, the difference between high and low price, and IHSG return. The result of this research found that fund age, volume, the difference between high and low price had a significant effect on the difference in price on NAV (mispricing ETF) with R squared about 3.13% which is similar to previous reseach by Atanasova dan Weisskopf (2020) and another previous research by Shin dan Soydemir (2010). The implication of this research is to provide an overview of participating investors, investment managers and dealers to invest in and develop ETFs in Indonesia."

"ABSTRAKPenelitian ini membahas mengenai strategi "decile" portofolio yang terdiri dari saham-saham mispriced untuk meneliti pengaruhnya terhadap return saham. Tingkat stock mispricing diukur menggunakan variance ratio model, dan return menggunakan return minggu pertama dan minggu kedua setelah periode mispricing. Regresi dilakukan menggunakan panel data dan per portofolio, dan hasil regresi keseluruhan portofolio mengindikasikan tingkat stock mispricing memiliki pengaruh positif signifikan terhadap return, sedangkan regresi untuk masing-masing portofolio menunjukkan hanya portofolio 1 sampai 3 yang berpengaruh positif signifikan, portofolio lainnya menunjukkan tidak ada pengaruh, bahkan portofolio 10 menunjukkan hasil negatif signifikan.

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AbstractThis study discusses the strategy of "decile" portfolio of mispriced stocks to examine its effect on stock returns. Stock mispricing levels were measured using the variance ratio model, and return using the return the first week and second week after a period of mispricing. Regression was performed using a panel data and a portfolio, and the overall regression results indicate the level of stock mispricing portfolios have significant positive influence on return, while the regression for each portfolio indicates the portfolio is only 3th to 5th portfolio have a significant positive effect, other portfolio showed no effect, even a 10th portfolio showed a significant negative effect."

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Penulisan ini membahas pengaruh sentimen twitter terhadap mispricing pada perusahaan terdaftar di Indonesia periode tahun 2013-2017. Penulisan ini membandingkan beberapa metode yaitu Naïve Bayes, Support Vector Machine, dan Decision Tree untuk mendapatkan metode klasifikasi sentimen dengan akurasi tertinggi. Hasil yang didapat menunjukkan tingkat akurasi Decision Tree paling tinggi dibandingkan metode lainnya. Pengukuran mispricing menggunakan metode skoring dari Stambaugh, Yu dan Yuan (2012)untuk 9 anomali dengan strategi long/short. Hasil menunjukkan bahwa sentimen berpengaruh rendah dan signifikan terhadap returns saham di Indonesia. Strategi long-leg lebih menguntungkan ketika sentimen rendah atau negatif, dan strategi short-leg lebih menguntungkan ketika sentimen rendah atau positif.

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This paper examines the impact of twitter sentiment on mispricing in Indonesia listed firms over period 2013-2017. This study also compares machine learning methods for sentiment classification based on Na ve Bayes, Support Vector Machine and Decision Tree algorithm. The results show that Decision Tree has the highest accuracy than other methods. To measure mispricing, we use mispricing score method from Stambaugh, Yu and Yuan (2012)associated with 9 long/short anomalies. The results of this studies show that sentiment exhibits low and significant relation to returns on the long/short strategies. The long-leg strategy is more profitable following low sentiments or negative sentiments. The short-leg strategy is more profitable following low sentiments or positive sentiments.

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"Penelitian ini membahas mengenai pengaruh stock mispricing terhadap keputusan investasi perusahaan non keuangan yang terdaftar di Bursa Efek Indonesia. Penelitian kuantitatif ini menggunakan data panel dari tahun 2006 hingga tahun 2015. Variabel dependen dari penelitian ini yaitu keputusan investasi yang diproksikan oleh rasio capital expenditure belanja modal terhadap net property, plant, and equipment. Selain itu, terdapat tiga variabel independen dalam penelitian ini yaitu Tobin Q, Discretionary Accrual, dan Composite Share Issuance. Penelitian ini juga menggunakan variabel leverage, cashflow, cash, dan sales sebagai variabel kontrol. Hasil dari penelitian ini mengindikasikan bahwa stock mispricing yang diproksikan dengan Tobin Q dan Discretionary Accrual berpengaruh signifikan terhadap keputusan investasi dari perusahaan non keuangan di Bursa Efek Indonesia.

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This study examines the effect of stock mispricing on corporate investment decisions in Indonesian stock exchange. This quantitative study is using panel data from the period of 2006 until 2015. The dependent variable of this study is proxied by the ratio of investment capital expenditure capex to net property, plant, and equipment. There are three independent variables in this study, which are Tobin Q, Discretionary Accrual, and Composite Share Issuance. This study also uses leverage, cashflow, cash, and sales as control variables. The results of this study indicate that the stock mispricing proxied by Tobin Q and Discretionary Accrual have significantly effect on investment decisions of non financial companies in Indonesian stock exchange."

"This study aims to analyze the impact of modernization of taxation system and amendment of income tax law on the components of the book-tax conformity accruals, whether there are any differences in the earnings persistence of book-tax conformity accruals (which have higher tax conformity) and book-only accruals (which have lower tax conformity). This study also demonstrates whether the market anomalies occur on those accruals component in the context of taxation in Indonesia. By using 1.729 observations over the years of 2002-2014, this study shows that strategy in book-tax conformity accruals is generally income increasing, while strategy in book-only accruals is income decreasing. The company?s policy on accrual components has different characteristics before and after the implementation of this phase. Governance improvement of taxation authority can increase corporate book-tax conformity accruals. However, when corporate is facing changes in tax laws such as simplification and lower tax rate, they decrease book-tax conformity accruals. Therefore, discretionary book-tax conformity accruals are mispriced by market."

"ABSTRAKPenelitian ini bertujuan untuk melihat apakah terdapat mispricing pada saham syariah di empat negara anggota ASEAN, yaitu Indonesia, Malaysia, Singapura dan Thailand. Penelitian dilakukan dengan menggunakan Three-factor Asset Pricing Model oleh Fama dan French 1993 dengan data harga saham harian yang kemudian diagregasi ke dalam 25 portofolio saham yang disusun berdasarkan size dan book-to-market equity. Penelitian ini menemukan bahwa saham syariah di Indonesia dan Malaysia cenderung efisien karena tidak terdeteksi keberadaan mispricing pada kedua negara tersebut, sedangkan terdeteksi mispricing yang signifikan di Thailand dan mispricing yang marginally significant pada saham syariah di Singapura sehingga kedua pasar saham syariah tersebut terindikasi tidak efisien. Selain itu, krisis keuangan 2008 memiliki pengaruh terhadap keberadaan mispricing dan efisiensi pada pasar saham syariah di Indonesia dan Thailand. Penelitian ini melengkapi penelitian-penelitan efisiensi pada saham syariah karena menggunakan sampel yang belum pernah diteliti sebelumnya, yaitu saham syariah di ASEAN yang mayoritasnya merupakan emerging markets dan menggunakan data harian pada level individual saham bukan indeks.

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ABSTRACTThe purpose of this study is to detect any mispricing on Islamic stock in four countries which are founding fathers of ASEAN Indonesia, Malaysia, Singapore, and Thailand . Fama french 1993 Three factor Asset Pricing Model is being used to held this study with daily individual stock price from June 2005 until December 2017 and later being categorized into 25 portfolios based on their size and book to market equity. This study found no evidence of mispricing on Indonesia and Malaysia Islamic stocks so that these market are efficient markets. Different evidence found on Singapore and Thailand as in those stock market significant mispricing can be found on Thailand Islamic Stock Market and marginally significant mispricing on Singapore Islamic Stock Market that indicates those markets are not efficient. Moreover, this study also found that Financial Crisis 2008 only have a significant effect in Indonesia and Thailand Islamic Stock Market. This paper gives a new insight of Islamic Stock Market Efficiencies by focusing on Islamic stock in ASEAN which is a region dominated by emerging markets and this study also use daily stock price of individual stock and not index level data. "