Market Efficiency, Short Sales And Announcement Effects

Zheng, Lin. 2009. Market Efficiency, Short Sales And Announcement Effects. Doctoral Dissertation, Cornell University.

In this dissertation I aim at improving the understanding of the informativeness of short-selling in the context of the motivation, the impact on future stock returns, and the relation with market efficiencies. In Chapter 1, I study short sellers? reactions after quarterly earnings announcements as well as the associations between short sales and post announcement stock returns. Short sales increase immediately after both negative and positive earnings surprises. After positive earnings surprises, short sellers appear to act as contrarians, and trade against stock price overreaction, thereby inducing price reversal in the long run. After negative earnings surprises, short sellers act as momentum traders, and trade with post earnings announcement drift. However, they are not able to fully arbitrage away the downside post earnings announcement drift. The short sellers? different reactions at subsequent surprises in a series of same-sign earnings surprises implies that short sellers exploit the consequences of other investors? behavioral biases. The results highlight the motivations and impacts for short sales after earnings announcements. In Chapter 2, I investigate the informativeness of short-selling by combining Probability of Information-based Trading measure and short sales transaction data. Short sales depress stock returns in the short run, regardless of the information asymmetry level. However, short sales can not predict future stock return in the long run if information asymmetry levels are low. Large size short sales are the most informed. When short sales constraints are more binding, short-selling is more informed, especially for the stocks with high information asymmetry levels. In Chapter 3, I examine short sales prior to merger and acquisition announcements for acquiring firms. Short-selling increases prior to stock-financed not cash-financed mergers and acquisitions. Pre-announcement abnormal short-selling is negatively related to post-announcement stock returns. Short sellers are informed of the method of payment, but not the outcome. The results also indicate that short-sellers are more active in stocks with larger firm size, lower book-to-market ratio, and higher liquidity.

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Rasio Likuiditas dan Risiko Sistematik Pasar Saham LQ45 di Bursa Efek Indonesia

Sumber :	Akuntabilitas : Jurnal Ilmiah Akuntansi
Penerbit :	Jurusan Akuntansi Universitas Pancasila
Tahun Terbit Artikel:	2007
Volume :	7
No :	1
Halaman :	85-95
Kata Kunci :	Liquidity (economics); Stock market; Indonesia
Abstrak :	Many researchs show that there is a relationship between financial ratios and market risk, both partially and simultantly. Basically, this risk can be divided in two aspects. There are systematic risk and non-systematic risk. Liquidity ratio is one of those financial ratios. This research is to show the relationship between the liquidity ratio and the systematic market risk. By using LQ45 stocks, for the period of August 2006 to January 2007, it is concluded that there is positive relationship between liquidity ratio and systematic market risk for the year of 2003 and 2004, but there is no relationship between both variables in 2004. Furthermore, this ratio is not enough to elaborate the market risk. It is sugested that in order to clarify the systematic market risk, all financial ratios is better used comprehensively to show the risk.
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Pengaruh Model Tiga Faktor Terhadap Return Saham

Sumber :	Akuntabilitas : Jurnal Ilmiah Akuntansi
Penerbit :	Jurusan Akuntansi Universitas Pancasila
Tahun Terbit Artikel:	2007
Volume :	7
No :	1
Halaman :	79-84
Kata Kunci :	Return on investments; Property business; Real estate business
Abstrak :	This study used the sample of twenty six companies engaged in property and real estate activities which are listed in Indonesia Stock Exchange during the period of 2002-2006. The purposes of this study are to know and analyze the level of beta, firm size and book to market effect to the return share of companies engaged in property and real estate activities which are listed in Indonesia Stock Exchange during the period of 2002-2006. Secondary data was analyzed by using the three factor model of Farma and French (1996). With return share as dependent variable and beta, firm size and book to market as in dependent variables. The result of this study shows a statement that Beta (Xl), 5MB (X2) and HML (X3) simultaneously have a significant effect to return share with contribution of beta variable, 5MB and HML that reach 55,5 percent in explaining the level of return share. Beta and HML variable have a positive and significant effect to return share. On the other hand, 5MB has negative effect and insignificant to return share.
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Market Efficiency Hypothesis On Regular and Block Trades

Sumber :	Akuntabilitas : Jurnal Ilmiah Akuntansi
Penerbit :	Jurusan Akuntansi Universitas Pancasila
Tahun Terbit Artikel:	2007
Volume :	7
No :	1
Halaman :	1-17
Kata Kunci :	Markets; Efficiency; Block trading; Stock prices
Abstrak :	This study aims at exploring the extent of market efficiency on spesific trade, especially regular and block trades. It is based on the assumption that traders involved in those markets are different, mainly in terms of the information acquisition and information processing. Their ability to process public into private information may give an opportunity to beat the market. Informed traders are concerned with and able to predict the expected market returns. This study employs both uni and bi-directional models. This study applies autoregressive conditional heteroskedasticity (EGARCH) to capture the asymatric behavior of investors toward information. Using Indonesiau Stock Market (previously Jakarta Stock Market) as the study indicates some differences in the efficiency and investors behavior toward information.
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Analisis Kinerja Bank Pemerintah dan Swasta dengan Metode EVA dan MVA terhadap Return Saham

Pengarang :	Siti Mardiah; Bambang Sugiarto; Dergibson Siagian
Sumber :	Akuntabilitas : jurnal ilmiah akuntansi
Penerbit :	Jurusan Akuntansi Universitas Pancasila
Kode Panggil :	657.05 Aku
Tahun Terbit Artikel:	2006
Volume :	6
No :	1
Halaman :	97-104
Kata Kunci :	Banks; Corporate performance; Financial statements; Economic value added; Shareholder return
Abstrak :	The go public of government banks caused the stakeholders, especially the investors, have interest about the evaluation of performance from that banks. To make the investor interested in investing the capital in their company, they must have a financial statement which could give a view of good performance. Some of the performance analysis tools are EVA and MVA. The aim of this research is to find out whether Economic Value Added (EVA) and Market Value Added (MVA) are different between the government banks and public banks, and also to find out that evaluation performance effects the share return or not. The research object consists of 3 go public government banks and 6 public banks using the mean test and statistic non-parametric test, and also multiple regression analysis with F, t, R2 statistics and the assumptions of the classical model. The results show that EVA between the government bank and public bank is significantly different, MVA between government bank and public bank is not significantly different, also EVA and MVA have significant effect on the share return in 2005, not in 2004 at the level of 10%.
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Penggunaan Metode Jensen Dalam Pengukuran Kinerja Reksa Dana: Studi Kasus Tujuh Reksa Dana Saham

Pengarang :	Victor Siagian
Sumber :	Akuntabilitas : Jurnal Ilmiah Akuntansi
Penerbit :	Jurusan Akuntansi Universitas Pancasila
Tahun Terbit Artikel:	2006
Volume :	6
No :	1
Halaman :	22-33
Kata Kunci :	Mutual funds; Corporate performance; Measurements; Shares
Abstrak :	The objective of this research is to evaluate the performance of mutual fund in Indonesia. For measuring the performance of mutual fund, this research was implemented using Alpha Jensens model. Using Jensens model caused by unconditional model, in which the performance of mutual fund is able to be compared without focusing on the differentiation of portfolio diversification level. The performance was measured by intercepting the regression between an excess of portfolio return as a dependent variable and an excess market return as an independent variable. The result of this research is that there are only three out of seven mutual funds which were observed, have been outperformed toward market performs as a benchmark of performance. Variable of consistent excess market return that influenced the portfolio return was positively significant. The bad mutual fund performance is more caused by stock selection ability of portfolio managers in selecting accurate stock of portfolio.
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Analizing Day of the Week Effect to Return and Volatility of Listing Stock in Jakarta Stock Exchange

Pengarang :	Basyit, Abdul;Fitriya
Sumber :	Forum Dosen Ekonomi, Manajemen dan Akuntansi : FORDEMA
Penerbit :	Fakultas Ekonomi Universitas Muhammadiyah Palembang
Tahun Terbit Artikel:	2006
Volume :	6
No :	2
Halaman :	151-161
Kata Kunci :	Efek antar hari;Volatilitas saham;Volatility; Stocks; Rate of return
Abstrak :	Tujuan dari penelitian ini adalah untuk menjelaskan efek antar hari serta pola antar hari. Return dan volatilitas saham-saham yang listing di Bursa Efek Jakarta selama 1 tahun yakni dari 1 September 2003 sampai dengan 31 Agustus 2004 (365 hari). Teknik analisis yamg digunakan adalah regresi berganda, analisis varians dan uji tanda berurutan (The Signed Rank Test Wilcoxon). Regresi berganda dan analisis varians digunakan untuk melihat pengaruh antar hari perdagangan di BEJ serta menguji hipotesis. Uji tanda berurutan digunakan untuk melihat volatilitas saham-saham di BEJ. Studi ini menggunakan dua sampel yakni IHSG dan IHS Sektoral yang dipilih berdasarkan metoda purposive sampling yang berasal dari 6 populasi yakni IHSG, IHS Sektoral, LQ45, Main Board Index, Development Board Index, dan Jakarta Islamic Index. Hasil analisis menunjukkan bahwa hari perdagangan Jumat adalah hari dimana diperoleh return terbesar, hari perdagangan Rabu merupakan hari kedua return terbesar dan Senin adalah hari dimana diperoleh return terendah dalam 1 minggu perdagangan di lantai bursa. Hasil uji tanda berurutan yang diperoleh bahwa terdapat efek antar hari yang signifikan dan mempunyai pengaruh terhadap volatilitas return harian. Hasil ANOVA test menunjukkan seluruh hari perdagangan di lantai bursa adalah signifikan untuk seluruh sektor kecuali sektor Basic Industry dan Property. Akhirnya, riset ini menguatkan dampak informasi return antar hari dalam 1 minggu perdagangan di lantai bursa yang membentuk suatu pola antar hari return dan volatilitas saham-sahamnya mendukung dari perilaku investor yang menggunakan fenomena day of the week effect ini sebagai salah satu pertimbangan dalam melakukan keputusan beli (buy), jual (sale) dan tahan (hold).
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Relevansi Nilai Informasi Akuntansi Dengan Pendekatan Terintegrasi: Hubungan Nonlinier

Pengarang :	Rahmawati
Sumber :	Jurnal Riset Akuntansi Indonesia
Penerbit :	Ikatan Akuntan Indonesia
Tahun Terbit Artikel:	2006
Volume :	9
No :	2
Halaman :	136-156
Kata Kunci :	Earnings; Komponen arus kas; Akrual; Return saham
Abstrak :	The purposes of this study are to examine whether: (1) there is a nonlinearity relationship between earnings and stock return, (2) earnings/price ratio moderates the relationship between cash flow and stock return, and (3) there is a nonlinearity relationship between accrual and stock return. To test the hypotheses this study employs NLS (Nonlinier Least Square) regression analysis with 41 manufacturing companies listed in the Jakarta Stock Exchanges (JSX) as samples. The results indicate that the values relevance of unexpected earnings decreases from year to year. On the other hand the value relevance of cash flow components provide better explanation power when they are broken into operating cash flow investing cash flow and financing cash flow. The findings are consistent with Hodgson and Clarke (1998) study.
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Analisis Konsistensi Kinerja Reksa Dana Saham Indonesia periode 1999-2001: Suatu Pendekatan Teknikal

Pengarang :	Samsuri, Andriani;P., Moeljadi;Salim, Ubud
Sumber :	Jurnal aplikasi manajemen : JAM
Penerbit :	Universitas Brawijaya. Jurusan Manajemen
Tahun Terbit Artikel:	2003
Volume :	1
No :	2
Halaman :	339-369
Kata Kunci :	Reksa dana saham; Raw performance; Risk adjusted performance
Abstrak :	Penelitian ini bertujuan untuk: (1) menganalisis kinerja rekasa dana saham yang mempunyai kinerja lebih tinggi dibandingkan kinerja pasar; (2) menganalisis reksa dana dengan kinerja historis superior yang mampu mempertahankan kinerjanya pada periode berikutnya; dan (3) untuk menganalisis bahwa kinerja rekasa dana saham yang memiliki kinerja historis superior secara konsisten itu mempunyai nilai ekonomis. Hasil keseluruhan baik berdasarkan raw performance maupun risk adjusted performance tidak terdapat konsistensi repeat winner yang nyata. Dari hasil simulasi strategi diperoleh konsistensi kinerja reksa dana saham ternyata mempunyai nilai ekonomis dalam periode satu tahun tetapi tidak pada periode yang lebih panjang. dengan demikian reliabilitas strategi ini perlu diuji lebih lanjut.
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Analisis Reaksi Pasar Modal Terhadap Initial Public Offering (IPO) pada Industri Manufaktur di Bursa Efek Jakarta (BEJ)

Pengarang :	Sakir, A.; Santoso, Harry; Djazuli, Atim
Sumber :	Jurnal Aplikasi Manajemen : JAM
Penerbit :	Universitas Brawijaya. Jurusan Manajemen
Tahun Terbit Artikel:	2003
Volume :	1
No :	2
Halaman :	185-207
Kata Kunci :	Pasar modal;Saham; IPO; BEJ
Sari :	Permasalahan sekaligus tujuan yang akan dipecahkan dalam penelitian ini adalah apakah abnormal return, cumulative average, abnormal return, trading volume activity, dan security return variability saham 15 hari setelah IPO berbeda secara signifikan dengan abnormal return saham 15 hari pada satu bulan setelah IPO. Hasil penelitian menunjukkan bahwa terdapat perbedaan abnormal return antara periode pengamatan yang cepat dan lama setelah IPO. Disarankan: (1) bagi emiten, untuk memikirkan alternatif lain untuk memenuhi kebutuhan dana dalam menunjang operasi dan investasi; (2) bagi investor, lebih meningkatkan kualitas keputusan investasi terutama pada saham-saham yang melakukan IPO; dan (3) bagi BEJ dan Bapepam lebih meningkatkan kemampuannya dalam usaha meningkatkan kepercayaan pasar (investor) terhadap bursa saham.
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Pengaruh Peristiwa Politik Terhadap Transaksi Saham di Bursa Efek Jakarta

Pengarang :	Adler Haymans Manurung; Cahyanti Ira K.
Sumber :	Jurnal Bisnis dan Manajemen
Penerbit :	Universitas Sebelas Maret. Program Magister Manajemen
Tahun Terbit Artikel:	2007
Volume :	7
No :	2
Halaman :	135-146
Kata Kunci :	Stock exchanges; Stock price indexes; Political development; Return on investments; Bursa Efek Jakarta
Abstrak :	This research is aimed to observe reaction of nine JASICA based sectors in Jakarta Stock Exchange (agriculture; mining; basic chemical Industry; miscellaneous industry; consumer good; construction, property and real estate; transportation and infrastructure; finance; trade, service and investment) to the national political events. This research is focusing on four national political events, which are: the announcement of general Election results, the announcement of presidential election results, the announcement of new cabinet and cabinet's reshuffle. The event study method is applied in this research, using eleven days length for window event period, five days before and five days after the event. The reaction is approximated by significant abnormal return and significant difference of average abnormal return between before event date and after event date during the event window period. The results show various abnormal returns from each industrial sector in each political event and generally there are no Significant differences of average abnormal return between pre and post political event during the event window period.
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ANALISIS PREDIKSI INDEKS HARGA SAHAM GABUNGAN DENGAN METODE ARIMA (Studi pada IHSG di Bursa Efek Jakarta)

SADEQ, AHMAD (2008)

Masters thesis, program Pascasarjana Universitas Diponegoro.

Abstract

Security analysis consist of two types of analysis, technical analysis and fundamental analysis. Technical analysis uses hystorical data to predict stock prices as a consideration to buy or sell an instrument od investation, while fundamental analysis determines the important factors of a company’s basic finance, economic factors and stock valuation. This research focusses on technical analysis using ARIMA as indicator to predict JCI (IHSG) in Jakarta Stock Exchange.

This research is trying to prove the accuracy of ARIMA model in predicting JCI in period of 2 January 2006 – 28 December 2006. the data were acquired from JSX daily statistics published by Jakarta Stock Exchange.

The result of this research shows that the daily JCI data for period of year 2006 are not stationary, but after the first differencing the data become stationary. Based on the correlogram plot there is one coefficient that is significant (lag 11), so the model that can be applied is ARIMA (1,1,1). Lastly, this model prove to be quite accurate in predicting the JCI for period of year 2006 with mean absolute percentage error at 4,14%.

Dalam dunia investasi saham dikenal ada dua macam analisis yaitu analisis fundamental dan analisis teknikal. Analisis teknikal berupaya untuk menguji data historis dalam memprediksi harga saham guna melakukan pembelian ataupun penjualan suatu instrumen investasi, sedangkan analisis fundamental merupakan teknik analisis yang mempelajari tentang berbagai faktor fundamental (seperti tingkat suku bunga, tingkat kepemilikan, rasio-rasio keuangan, neraca, dan sebagainya) sebagai langkah penilaian saham perusahaan. Penelitian ini akan berfokus pada analisis teknikal dengan menggunakan indikator ARIMA untuk peramalan Indeks Harga Saham Gabungan sebagai proxy pasar saham di Bursa Efek Jakarta.

Peneitian ini akan mencoba membuktikan keakuratan metode ARIMA dalam melakukan peramalan IHSG periode 2 Januari 2006-28 Desember 2006, data ini diperoleh dari JSX Daily Statistics yang dipublikasikan oleh Bursa Efek Jakarta.

Hasil penelitian ini menunjukkan bahwa data IHSG harian selama periode tahun 2006 bukanlah data yang bersifat stasioner sehingga perlu dilakukan proses differencing agar data menjadi stasioner. Setelah dilakukan differencing satu kali ternyata data menjadi stasioner. Berdasarkan pengujian correlogram terlihat adanya proses ARIMA dengan koefisien otokorelasi dan otokorelasi parsial yang signifikan pada lag 11. sehingga model yang digunakan adalah ARIMA (1,1,1).

Hasil peramalan model ini menunjukkan bahwa model ini cukup akurat dalam melakukan peramalan dengan prosentase kesalahan absolut rata-rata sebesar 4,14%.

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