RISK AND RETURN EVALUATION OF GLAMOR AND VALUE STOCK PERFORMANCE ON INDONESIAN CAPITAL MARKET (Study from KOMPAS100 Stock in Indonesian Capital Market Period 2012 – 2016)

Nugroho, Giovan Dharma (2017) RISK AND RETURN EVALUATION OF GLAMOR AND VALUE STOCK PERFORMANCE ON INDONESIAN CAPITAL MARKET (Study from KOMPAS100 Stock in Indonesian Capital Market Period 2012 – 2016). S1 thesis, UAJY.

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Abstract

Stocks are one of the instrument aspect in the capital market. It can be categorized as Value and Glamor Stock. The differences between the two have many varieties in the analyzing of the performances. There were so many research in the past to analyze these two categories and have differences result based on the purpose. This research aims to determine whether the Value stock portfolio perform better result than the Glamor stock portfolio and also to analyze the risk adjusted performance between Value stock portfolio and Glamor stock portfolio. The sample of this study using the stock listed in KOMPAS100 in the period of 2012-2016. The formation of the portfolio was taken by the theory of consistent earner strategy by analyzing the Price to Earnings Ratios, Dividend Yield, and Return On Equity on each stock category. Thus developing the portfolio Value and Glamor stock. The calculation of return using the closing price each stock, risk by using the Sharpe ratio, and ANOVA analyze to validate the data and the adjusted risk and return. The result of this study showed that the Value stock outperform the Glamor stock in term of return and adjusted risk performance in period of 2012-2016 for the stock that listed in KOMPAS100.

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