MOMENTUM HARGA DAN PEMBALIKAN HARGA PADA BURSA SAHAM INDONESIA

Abstract

Price momentum and price reversal is an anomaly that conventional investment theory can not give a satisfying explanation. Stock price move excessively far from their intrinsic value in the short term. Winner (loser) stocks have a momentum that their price continuously increase (decrease) in the short term. This price momentum stops at some point and start moving back to their intrinsic value. Superior return can be made if we can exploit price momentum (momentum strategy) or price reversal (contrarian strategy). Behavioral finance theory stated that stock price does not always reflect firm value so some investor can get a significant abnormal return from this mispriced stock. Mispricings are caused by investor psychological bias such as overconfidence, atribution bias or herding behavior among investor. If prediction on investor behavior caused by these psychological bias can be made with tolerable error, significant profit can be made.