BIAS REPRESENTATIVENESS DENGAN PENDEKATAN TREND DAN SEQUENCES: PENGUJIAN OVERVALUE/UNDERVALUE, MOMENTUM, DAN REVERSAL RETURN

Mahadwartha, Putu Anom and Sutejo, Bertha Silvia (2015) BIAS REPRESENTATIVENESS DENGAN PENDEKATAN TREND DAN SEQUENCES: PENGUJIAN OVERVALUE/UNDERVALUE, MOMENTUM, DAN REVERSAL RETURN. In: The First Annual Conference and Declaration Indonesian Finance Association (IFA), 14-15 January 2015, Universitas Sebelas Maret. (Unpublished)

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Abstract

This research examines momentum and reversal on stock return using past price movement of three categories of portfolio. Pschycological bias named as representativeness bias will occur based on trending and non-trending portfolio of winners and lossers with a confirm and disconfirm on momentum and reversal. The research will provides an explanation on representativeness bias on Indonesian capital market with focused of momentum and reversal. The research uses time series data of 7410 firms year observation and after several test, excluded around 3660 firms year observation because of lack of data, missing data, and uncommon price movement. Result showed that disconfirming pattern appears on winners portfolio if using Sales and Operating Income as proxies of performance. It will become confirming if using Net income as proxy for performance. This concluded investors that only sees latest information (net income) rather than first information (sales, and operating income), even if the proxies all are in accrual basis. On the other side, investors will always view lossers portfolio as a lossers portfolio, and it is consistent with three performance proxies. However, for a non-trend portfolio, investor less likely to perform as bias representative investors.

Item Type: Conference or Workshop Item (Paper)
Uncontrolled Keywords: bias, representativeness, trend, kinerja
Subjects: H Social Sciences > HG Finance
Divisions: Postgraduate Programs > Master Program in Management
Depositing User: Putu Anom mahadwartha 31140
Date Deposited: 25 Jul 2017 08:48
Last Modified: 21 Aug 2017 08:04
URI: http://repository.ubaya.ac.id/id/eprint/30414

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