Value effect in indonesian stock returns: the implications for the equity mutual fund industry / Samuel Kristanto Utomo, Kevin Antony Tjandra
Samuel Kristanto Utomo;
Kevin Antony Tjandra
(Prasetiya Mulya Business School, 2015)
|
| We extend the persistence and pervasiveness of the presence of value effect to Indonesian stockreturns in the last two decades by utilizing data set that is relatively free of survivor bias and selectionbias. Our finding shows that value portfolios have been able to outperform growth portfolios.Furthermore, the presence of the effect as an asset pricing factor, along with the size effect, can significantlyexplain the returns of the aggregate equity mutual funds in Indonesia and unveil that theequity mutual fund industry does not provide sufficient risk-adjusted return to cover trading costs andfund expenses. Our proposition is that the equity mutual fund valuation will be better off to apply simplermodel shown in this paper to capture the value premium as opposed to the general applicationof traditional valuation method. |
| No. Panggil : | J-Pdf |
| Entri utama-Nama orang : | |
| Entri tambahan-Nama orang : | |
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| Penerbitan : | [Place of publication not identified]: Prasetiya Mulya Business School, 2015 |
| Sumber Pengatalogan : | LibUI eng rda |
| ISSN : | 23563818 |
| Majalah/Jurnal : | Indonesian Capital Market Review |
| Volume : | Vol 7 No 1 January 2015 |
| Tipe Konten : | text |
| Tipe Media : | computer |
| Tipe Carrier : | online resource |
| Akses Elektronik : | http://journal.ui.ac.id/index.php/icmr/article/view/4354 |
| Institusi Pemilik : | Universitas Indonesia |
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| No. Panggil | No. Barkod | Ketersediaan |
|---|---|---|
| J-Pdf | 03-20-857471270 | TERSEDIA |
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| Tidak ada ulasan pada koleksi ini: 20443724 |
