[ABSTRAK
Penelitian ini membahas underreaction akibat bias konservatisme danoverreaction akibat representativeness heuristic terhadap informasi earningselama periode 2008-September 2014 pada Bursa Efek Indonesia. Metoda yangdigunakan adalah menguji strategi membeli saham dengan pertumbuhan EPStinggi dimasa lalu dan menjual saham dengan pertumbuhan EPS yang rendah ,untuk periode: 4, 8, 12 kuartal dengan masa kepemilikan 3,6, 9, 12 bulan.Hasilnya menunjukkan bahwa ke 12 strategi tersebut tidak menghasilkanabnormal return positif secara statistik, bahkan satu strategi menghasilkanabnormal return negatif yang signifikan, yang mengindikasikan adanyarepresentativeness heuristic.
ABSTRACT
This study discusses underreaction stemming from the conservatism bias andoverreaction due to the representativeness heuristic for earnings informationduring the period 2008-September 2014 on the Indonesia Stock Exchange. Themethod is examines trading strategies of buying past high EPS growth of stocksand selling past low EPS growth of stock, over 4, 8, 12 quarters with the holdingperiod of 3.6, 9, 12 months. The results showed that all 12 of these strategies didnot produce a statistically significant positive abnormal return, even one strategygenerates significant negative abnormal returns, which indicate the presence ofrepresentativeness heuristic.;This study discusses underreaction stemming from the conservatism bias andoverreaction due to the representativeness heuristic for earnings informationduring the period 2008-September 2014 on the Indonesia Stock Exchange. Themethod is examines trading strategies of buying past high EPS growth of stocksand selling past low EPS growth of stock, over 4, 8, 12 quarters with the holdingperiod of 3.6, 9, 12 months. The results showed that all 12 of these strategies didnot produce a statistically significant positive abnormal return, even one strategygenerates significant negative abnormal returns, which indicate the presence ofrepresentativeness heuristic.;This study discusses underreaction stemming from the conservatism bias andoverreaction due to the representativeness heuristic for earnings informationduring the period 2008-September 2014 on the Indonesia Stock Exchange. Themethod is examines trading strategies of buying past high EPS growth of stocksand selling past low EPS growth of stock, over 4, 8, 12 quarters with the holdingperiod of 3.6, 9, 12 months. The results showed that all 12 of these strategies didnot produce a statistically significant positive abnormal return, even one strategygenerates significant negative abnormal returns, which indicate the presence ofrepresentativeness heuristic., This study discusses underreaction stemming from the conservatism bias andoverreaction due to the representativeness heuristic for earnings informationduring the period 2008-September 2014 on the Indonesia Stock Exchange. Themethod is examines trading strategies of buying past high EPS growth of stocksand selling past low EPS growth of stock, over 4, 8, 12 quarters with the holdingperiod of 3.6, 9, 12 months. The results showed that all 12 of these strategies didnot produce a statistically significant positive abnormal return, even one strategygenerates significant negative abnormal returns, which indicate the presence ofrepresentativeness heuristic.] |
T-Jeconiah Hashfi Baronna.pdf :: Unduh