Pasaribu, Rowland Bismark Fernando (2010): Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45. Published in: Jurnal Ekonomi dan Bisnis , Vol. 5, No. 2 (July 2011): pp. 87-115.
Download (712Kb) | Preview
As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio will experience of rebound conversely degradation at share winner portfolio. This study aim to prove existency of overreaction anomaly effect in Indonesia Stock Market specially the LQ-45 during 2003-2007. By using Debont-Thaler approach, empirical result express that there is no symptom of overreaction anomaly at three-month, six-month, and annual period. Therefore the study recommend the investor to avoid contrarian strategy specially of LQ-45 stocks.
|Item Type:||MPRA Paper|
|Original Title:||Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45|
|English Title:||Overreaction Anomaly in Indonesia Stock Exchange: Case Study of LQ-45 Stocks|
|Keywords:||Market Efficiency, Overreaction, Portfolio, Return, Risk, Indonesia|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions
|Depositing User:||Rowland Pasaribu|
|Date Deposited:||09. Jul 2012 02:46|
|Last Modified:||12. Feb 2013 05:17|
Abarbanell, Jeffery S. 1991. Do analysts' earnings forecasts incorporate information in prior stock price changes? Journal of Accounting and Economics 14, 147-165.
Abarbanell, Jeffery S dan Victor L. Bernard. 1992, Tests of analysts' overreaction / underreaction to earnings information as an explanation for anomalous stock price behavior, Journal of Finance 47, 1181-1207.
Ackert, Lucy F dan George Athanassakos, 1997, Prior uncertainty, analyst bias, and subsequent abnormal returns, Journal of Financial Research 20, 263-273.
Alexander, Jr dan John C, 1992, Earnings surprise, market efficiency, and expectations, The Financial Review 27, 475-502. Ali, Ashiq, April Klein, dan James Rosenfeld, 1992, Analysts' use of information about permanent and transitory earnings components in forecasting annual EPS, Accounting Review 67, 183-198.
Atkins, A.B dan Dyl, E.A. 1990. Price Reversal, Bid-Ask Spreads, and Market Efficiency. Journal of Financial and Quantitative Analysis, December: 535-548.
Beaver, W dan Landsman, W. 1981. Note on The Behavioural of Residual Security Return for Winner and Loser Portfolios. Journal of Accounting and Economics, December: 233-241.
Bernard, V dan J. Thomas. 1990. Evidence that stock prices do not fully reflect the implications of current earnings for future earnings, Journal of Accounting and Economics 13, 305-340.
Bremer, M.A dan Sweener, R.J. 1988. The Information Content of Extreme Negative Rates of Return. Working Paper, Claremount McKenna College, February.
Brown, K.C dan Harlow, W.V, dan Tinic, S.M. 1988. Risk Aversion, Uncertain Information, and Market Efficiency. Journal of Financial Economics, December: 335-385.
Brown, K.C dan Harlow, W.V, dan Tinic, S.M. 1990. How Rational Investors Deal with Uncertainty. Journal of Applied Corporate Finance, Fall: 45-48.
Brown, K.C dan Harlow, W.V. 1988. Market Overreaction: Magnitude and Intensity. Journal of Portfolio Management, Winter: 6-13
Brown, Lawrence D dan Michael S. Rozeff. 1978. The superiority of analyst forecasts as measures of expectations: Evidence from earnings, Journal of Finance 33, 1-16.
Brown, Lawrence D Robert Hagerman, Paul Griffin, dan Mark Zmijewski. 1987. Security analyst superiority relative to univariate time-series models in forecasting quarterly earnings, Journal of Accounting and Economics 9, 61-87.
Clement, Michael B. 1999. Analyst forecast accuracy: Do ability, resources, and portfolio complexity matter?, Journal of Accounting and Economics 27, 285-303.
Conroy, Robert dan Robert Harris. 1987. Consensus forecasts of corporate earnings: analysts' forecasts and time series methods, Management Science 33, 725-738.
Cornell, Bradford dan Wayne R. Landsman. 1989. Security price response to quarterly earnings announcements and analysts' forecast revisions, Accounting Review 64, 680-692.
De Bondt, Werner F dan Richard H. Thaler. 1985. Does the stock market overreact?, Journal of Finance 40, 793-808.
De Bondt, Werner F dan Richard H. Thaler. 1987. Further evidence on investor overreaction and stock market seasonality, Journal of Finance 42, 557-581.
De Bondt, Werner F dan Richard H. Thaler. 1990. Stock market volatility: Do security analysts overreact?, American Economic Review 80, 52-57.
Dechow, Patricia M., Amy P. Hutton dan Richard G. Sloan. 2000. The relation between analysts' forecasts of long-term earnings growth and stock price performance following equity offerings, Contemporary Accounting Research 17, 1-32. Dechow, Patricia M dan Richard G. Sloan. 1997. Returns to contrarian investment strategies: Tests of naïve expectations hypotheses, Journal of Financial Economics 43, 3-27.
Dyl, E dan Maxfield, K. 1987. Does the Stock Market Overreact? Additional Evidence. Working Paper, University of Arizona, June.
Easterwood, John C dan Stacey R. Nutt. 1999. Inefficiency in analysts' earnings forecasts: Systematic misreaction or systematic optimism?, Journal of Finance 54, 1777-1797.
Einhorn, Hillel J dan Robin M. Hogarth. 1985. Ambiguity and uncertainty in probabilistic inference, Psychological Review 92, 433-461.
Elliott, John A, Donna R. Philbrick, dan Christine I. Wiedman. 1995. Evidence from archival data on the relation between security analysts' forecast errors and prior forecast revisions, Contemporary Accounting Research 11, 919-938.
Fama, Eugene F. 1998. Market efficiency, long-term returns, and behavioral finance, Journal of Financial Economics 49, 283-306.
Givoly, Dan dan Josef Lakonishok. 1979. The information content of financial analysts' forecasts of earnings: Some evidence on semi-strong inefficiency, Journal of Accounting and Economics 1, 165-185.
Givoly, Dan dan Josef Lakonishok. 1980. Financial analysts' forecasts of earnings: Their value to investors, Journal of Banking and Finance 4, 221-233.
Howe, J.S. 1986. Evidence on Stock Market Overreaction. Financial Analyst Journal, July-August: 74-77.
Hughes, John S dan William E. Ricks. 1987. Associations between forecast errors and excess returns near to earnings announcements, Accounting Review 42, 158-175.
Kahneman, Daniel dan Amos Tversky. 1972. Subjective probability: A judgment of representativeness, Cognitive Psychology 3, 430-454.
Kahneman, Daniel dan Amos Tversky. 1973. On the psychology of prediction, Psychological Review 80, 237-251.
Kross, William, Byung Ro dan Douglas Schroeder. 1990. Earnings expectations: Analysts' information advantage, Accounting Review 65, 461-476.
La Porta, Rafael. 1996. Expectations and the cross-section of stock returns, Journal of Finance 51, 1715-1742.
Lehman, B.N. 1990. Fads, Martingales and Market Efficiency. The Quarterly Journal of Economics, February: 1-28.
Lim, Terence. 2001. Rationality and Analysts' Forecast Bias, Journal of Finance 56, 369-385.
MacDonald, R dan Power, D.M. 1992. Persistency in Stock Market Returns: Some Evidence using high-frequency data. Journal of Business Finance and Accounting, June:505-514.
MacDonald, R dan Power, D.M. 1993. Persistence in the UK Market Returns: A Disaggregate Perspective. Applied Financial Economics, March: 27-38.
Manurung, Adler Haymans dan Frederik Priotomo. 2005. Anomali Overreaction Di BEJ: Penelitian Saham Tekstil, Retailer dan Wholesaler. Jurnal Keuangan dan Perbankan, Bol.7, No.2 Desember: 109-130
Michaely, Roni, dan Kent Womack. 1999. Conflict of interest and the credibility of underwriter analyst recommendations, Review of Financial Studies 12, 653-686. O'Brien, Patricia C. 1988. Analysts' forecasts as earnings expectations, Journal of Accounting and Economics 10, 53-83.
Poterba, J.M dan Summers, L.H. 1988. Mean Reversion in Stock Prices. Journal of Financial Economics, October: 27-59.
Rosenberg, B dan Rudd, A. 1982. Factor-Related and Specific Returns of Common Stocks: Serial Correlation and Market Efficiency. Journal of Finance, May: 543-555.
Rosenberg, B, Reid K, dan Lanstein, R. 1985. Persuasive Evidence of Market Efficiency. Journal of Portfolio Management, Winter: 9-16.
Sartono, Agus. 2000. Overreaction of The Indonesian Capital Market: Is Market Rational. Gadjah Mada International Journal of Business.
Scharfstein, David S dan Jeremy C. Stein, 1990, Herd behavior and investment, American Economic Review 80, 465-479.
Teets, Walter. 1992. The association between stock market response to earnings announcements and regulation of electric utilities, Journal of Accounting Research 30, 274-285.
Tversky, Amos dan Daniel Kahneman. 1973. Availability: A heuristic for judging frequency and probability, Cognitive Psychology 5, 207-232.
Zarowin, Paul. 1989. Short-run market overreaction: Size and seasonality effects, Journal of Portfolio Management 15, 26-29.
Zarowin, Paul. 1990. Size, seasonality, and stock market overreaction, Journal of Financial and Quantitative Analysis 25, 113-125.