Consistent Earner Strategy Portofolio Saham Value-Glamour

Laila  Wardani; Iwan Kusmayadi; Djoko  Suprayetno; Muhammad  Ahyar; Iwan Kusuma  Negara

doi:10.29303/jseh.v9i4.418

Authors

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

DOI:

https://doi.org/10.29303/jseh.v9i4.418

Keywords:

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

Abstract

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.

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