PENGARUH STRATEGI VALUE, SIZE DAN MOMENTUM TERHADAP EXCESS RETURN DI INDONESIA

Abstrak

The purpose of this research is to investigate the impact from the strategies that
used by investors in Indonesia, such as value, size and momentum strategy.
Sample data is a monthly data of 100 non-financial individual stocks which fulfill the
requirement, from July 2006 – December 2010 and use 12 months holding period.
This research also use ARCH method to test heteroscedasticity and VIF method to
test multicolinearity. The outcome form this research is value strategy based on
book to market ratio, size strategy based on market capitalization and momentum
strategy based on past six months price are not significant in Indonesia. This can be
happened because of the depreciation in Indonesia currency and crisis years. In
addition, Indonesia is one of emerging market in Asia, so that some of the
information must be difficult and make imperfect market.