Consistent Earner Strategy Portofolio Saham Value-Glamour


  • Laila Wardani Fakultas Ekonomi dan Bisnis, Universitas Mataram
  • Iwan Kusmayadi Fakultas Ekonomi dan Bisnis, Universitas Mataram
  • Djoko Suprayetno Fakultas Ekonomi dan Bisnis, Universitas Mataram
  • Muhammad Ahyar Fakultas Ekonomi dan Bisnis, Universitas Mataram
  • Iwan Kusuma Negara Fakultas Ekonomi dan Bisnis, Universitas Mataram



Consistent Eraner Strategy,, Value-glamour, return and risk adjusted performance, abnormal return


This research aims to find empirical evidence through the evaluation of return and risk-adjusted performance in value and glamour stock portfolios formed with a consistent earner strategy. The research focuses on the Indonesia Stock Exchange (IDX), using the entire population of listed and actively traded stocks in the LQ-45 Index. Data sources include secondary data, consisting of company financial reports from 2016 to 2021 accessed through the websites of the Indonesia Stock Exchange, Yahoo Finance, and IpotNews. The research sample comprises companies included in the LQ-45 Index, selected through purposive sampling. The data analysis method involves quantitative analysis, using statistical tests such as independent sample tests with SPSS. The study's results indicate that the probability values for the average portfolio returns and portfolio risks for both value and glamour stocks are >0.05, suggesting no significant difference in the average return levels for each portfolio. In general, the research concludes that the Indonesian capital market fails to demonstrate the value investing anomaly phenomenon, and investors cannot expect consistent abnormal returns over the observation period. The study has crucial implications for understanding the efficiency of the capital market. The practical contribution of this research is expected to provide information and insights to market participants in making investment decisions, especially in the Indonesian capital market.


Anderson, K., & Zastawniak, T. (2017). Glamour, value and anchoring on the changing P/E. European Journal of Finance, 23(5), 375–406. 1113192

Campbell, J. Y., & Shiller, R. J. (1988). Stock prices, earnings, and expected dividends. The Journal of Finance, 43(3), 661-676.

Conrad, J., Cooper, M., & Kaul, G. (2003). Value versus glamour. The Journal of Finance, 58(5), 1969-1995.

Damodaran, A. (2006). Damodaran on Valuation, Security Analysis for Investment and Corporate Finance (2nd Editio). John Willey & Son, Inc.

Desai, M. A., Foley, C. F., & Hines Jr, J. R. (2004). A multinational perspective on capital structure choice and internal capital markets. The Journal of Finance, 59(6), 2451-2487.

Desai, H., Rajgopal, S., & Venkatachalam, M. (2004). Value‐glamour and accruals mispricing: One anomaly or two? The Accounting Review, 79(2), 355-385.

Doukas, J. A., Kim, C., & Pantzalis, C. (2002). A test of the errors-in-expectations explanation of the value/glamour stock returns performance: Evidence from analysts’ forecasts. Journal of Finance, 57(5), 2143–2165.

Ekawati, E. N. (2012). The link of abnormal accrual mispricing and value-glamour stock anomaly: Evidence from the Indonesian capital market. Gadjah Mada International Journal of Business, 14(1), 77–96.

Fabozzi, F. J. (2003). Manajemen Investasi (Buku dua). Salemba Empat. Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, Vol. 25, No. 2, 25(2), 383–417.

FAMA, E. F., & FRENCH, K. R. (1992). The Cross‐Section of Expected Stock Returns. The Journal of Finance, 47(2), 427–465.

Gai, J. (1997). Glamour and value strategies on the Tokyo stock exchange. Journal of Business Finance and Accounting, 24(9–10), 1291–1310.

Graham, B., Dodd, D. L. F., & Cottle, S. (1934). Security analysis (vol. 452). McGraw-Hil New Yorkl.

Graham, B., & Dodd, D. L. (1934). Security analysis. Mc Graw Hill. Hartono, J. (2014). Teori Portofolio dan Analisis Investasi (10th ed.). BPFE Yogyakarta.

Hasnawati, S. (2010). The Value And Glamor Stocks Performance At The Indonesia Stocks Exchange Using The Price Earning Ratio Approach. International Business & Economics Research Journal (IBER), 9(7), 43–50.

Horne, V. W. (2005). Fundamental of Financial Management (4th ed.). Salemba Empat.

Husnan, S. (2005). Dasar-Dasar Teori Portofolio dan Analisis Sekuritas. Edisi keempat. Yogyakarta: UPP AMD YKPN (Keempat). UPP AMD YKPN.

Jogiyanto. (1998a). Analisis dan Desan Sistem Informasi : Pendekatan Terstruktur Teori dan Praktek Aplikasi Bisnis. Andi Offset.

Jogiyanto. (1998b). Teori Portopolio dan Analisis Investasi (Edisi I ce). BPFE Yogyakarta.

Koh, K. (2011). Value or Glamour? An empirical investigation of the effect of celebrity CEOs on financial reporting practices and firm performance. Accounting and Finance, 51(2), 517–547.

Kohers, N., Kohers, G., & Kohers, T. (2007). Glamour, value, and the form of takeover. Journal of Economics and Business, 59(1), 74–87.

Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. J. Finance, 49(5), 1541-1578.

Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. Journal of Finance, 49(5), 1541–1578.

Moore, J. (2020). Glamour among value: P/E ratios and value investor attention. Financial Management, 49(3), 673–706.

Pahlevi, N. R., & Arfianto, E. D. (2015). Evaluasi Return Dan Risk Adjusted Performance Portofolio Value Versus Glamour Pada Pasar Modal Indonesia. Diponegoro Journal of Management, 4, 1–10. %0A https://ejournal3.

Piotroski, J. D. (2000). Value investing: The use of historical financial statement information to separate winners from losers. Journal of Accounting Research, 1(41).

Piotroski, J. D., & So, E. C. (2012). Identifying expectation errors in value/glamour strategies: A fundamental analysis approach. Review of Financial Studies, 25(9), 2841–2875.

Rau, R., & Hirshleifer, D. (1998). Glamour , value and the post- acquisition performance of acquiring firms ( with Theo Vermaelen ), JFE. Journal of Financial Economics, 49(2), 223-253.

Shleifer, A. (2000). Inefficient Markets: An Introduction to Behavioural Finance. Oxford University Press UK.

Tandelilin, E. (2001). Analisis Investasi dan Manajemen Risiko (Pertama). BPFE Yogyakarta.




How to Cite

Wardani, L. ., Kusmayadi, I., Suprayetno, D. ., Ahyar, M. ., & Negara, I. K. . (2023). Consistent Earner Strategy Portofolio Saham Value-Glamour. JURNAL SOSIAL EKONOMI DAN HUMANIORA, 9(4), 408–418.

Most read articles by the same author(s)