This research is an event study that evaluates the performance of large market capitalization shares using a performance model that is adjusted to risks due to the COVID-19 outbreak. The study measured the performance of large market capitalization stocks which represented each tick size on the Indonesian Stock Exchange during the COVID-19 pandemic using the Sharpe Index, the Treynor Ratio, and Jensen’s Alpha. The sample selection used a purposive sampling technique and 24 stocks were selected as samples in the study. We used the daily closing price of stocks, the Indonesia composite index, and average risk-free rate return (BI rate). By using Jensen’s Alpha, this study found that FREN was the highest beta with a value of 1.8189, indicating that the index was an effective and well-diversified stock. FREN is low priced and the highest market capitalization stock in its tick size (third tier stocks). Jensen’s Alpha is good for measuring the performance of large capitalization and low-priced stocks. There are eight stocks that always have negative values in each method of measuring stock performance, which indicates that these stocks underperformed during COVID-19.
Penelitian ini dilakukan dengan tujuan menguji pengaruh Return On Assets, Return On Equity dan Earning Per Share baik secara persial maupun secara simultan (besama-sama) terhadap Harga Saham. Terdapat empat variabel yang digunakan yaitu : Harga Saham sebagai dependen variable, sedangkan ROA,ROE dan EPS sebagai independen variable. Alat analisis yang digunakan adalah analisis linear berganda. sampel yang digunakan adalah perusahaan yang terdaftar dalam LQ45 periode 2012-2018. Pengambilan sampel pada penelitian ini dilakukan dengan cara tidak acak tetapi menggunakan purposive sampling. Hasil penelitian menunjukan bahwa secara persial (masing-masing) hanya Earning Per Share yang memiliki pengaruh signifikan terhadap Harga Saham. Sedangkan secara simultan (bersama-sama) variabel Return On Assets (ROA), Return On Equity (ROE) dan Earning Per Share (EPS) berpengaruh signifikan terhadap Harga Saham.
The purpose of this study is to analyse the implementation of three national education standards (SNPs), namely management standards, graduates competency standards, and teacher and education staff at the Ummul Quro (UQ) Islamic school and the Bogor Hajj Persaudaraan Foundation (YPHB) using importance-performance analysis (IPA) model. This study uses primary data sourced from a questionnaire distributed to thirty respondents. The test results reveal that the application of management standards, graduate competency standards, and standards for teachers and education personnel at Islamic boarding schools UQ and YPHB have been optimal with a level of compatibility between importance and performance at a very good level. The implementation of 3 SNPs in UQ and YPHB based on IPA showed that Islamic education institutions must strive to improve performance through compilation of the respective duties, job description, use of work procedures, and socialization management system and maintain several attributes that have been assessed as good, such as formulate vision and mission, goals, targets and strategic plans, organizational structure, guidelines. The institution also has to maintain the stability of the level of satisfaction with the quality of the performance, implementation of activities according to the agreed program, involvement of community participation and partnerships/school committees, monitoring the implementation of the program. Received: 28 April 2021 / Accepted: 26 July 2021 / Published: 5 September 2021
<p>Abstrak<br />Penelitian ini bertujuan untuk mengetahui pengaruh dai ROA dan DER terhadap PBV pada perusahaan PT. Indocement Tunggal Prakarsa Tbk, PT. Semen Indonesia Tbk dan PT. Holcim Indonesia Tbk yang dinilai sebagai perusahaan yang memiliki banyak saingan dengan perusahaan semen lain. Metode penelitian ini menggunakan data kuantitatif dengan metode Purposive Sampling dan metode analisis regresi linier berganda, menggunakan uji t dan uji F dengan program SPSS-23. Berdasarkan analisis regresi linier diperoleh hasil secara parsial : Return Of Assets ( ROA ) berpengaruh terhadap pada Price Book Value ( PBV ) dengan nilai signifikan lebih kecil dibanding nilai alpha 0,000<0,05. Secara simultan ROA dan DER berpengaruh pada PBV.</p>
This paper examines how to build a portfolio and assess the impact of the COVID-19 on portfolio performance using the Sharpe single index model. The research sample consists of ten high market capitalization stocks representing five price fractions of the population listed stocks on the Indonesia Stock Exchange during the COVID-19 outbreak from March 1 to May 31, 2020. The results show that there are four stocks that are included in the portfolio formation, namely CASA with a proportion of 50%, BNLI with a proportion of 26 %, UNVR with a proportion of 15%, and HMSP with a proportion of 9%. Based on portfolio performance testing using the Sharpe single index model, it is known that the portfolio during the COVID-19 has a negative Sharpe ratio, meaning that portfolio performance is underperforming. The findings provide evidence that COVID-19 has had a negative impact on the stock market so that many investors have suffered losses on their portfolios. The implications of findings are that investors must evaluate portfolio performance and restructure the formation of new portfolios by considering the COVID-19 pandemic outbreak as a systematic risk factor that can determine the expected returns.
In unfrictionless markets, one measure of asset pricing is its height of friction. This study develops a three-factor model by loosening the assumptions about stocks without friction, without risk, and perfectly liquid. Friction is used as an indicator of transaction costs to be included in the model as a variable that will reduce individual profits. This approach is used to estimate return, beta and other variable for firms listed on the Indonesian Stock Exchange (IDX). To test the efficacy of friction-adjusted three-factor model, we use intraday data from July 2016 to October 2018. The sample includes all listed firms; intraday data chosen purposively from regular market are sorted by capitalization, which represents each tick size from the biggest to smallest. We run 3,065,835 intraday data of asking price, bid price, and trading price to get proportional quoted half-spread and proportional effective half-spread. We find evidence of adjusted friction on the three-factor model. High/low trading friction will cause a significant/insignificant return difference before and after adjustment. The difference in average beta that reflects market risk is able to explain the existence of trading friction, while the difference between SMB and HML in all observation periods cannot explain returns and the existence of trading friction.
<p>Dunia investasi dikenal adanya hubungan kuat antara risk dan return. Seorang investor harus mengamati tingkat laba yang diharapkan dan resiko yang diperoleh. Beta menggambarkan nilai resiko suatu saham, jika beta saham tinggi berarti resiko terhadap saham tersebut tinggi juga. Penelitian ini bertujuan untuk mengetahui pengaruh Beta Saham terhadap Return Saham.<br />Berdasarkan hasil penelitian ini menunjukan bahwa terdapat pengaruh positiv dan signifikan antara Beta saham terhadap Return saham pada sub sektor hotel, restoran dan pariwisata periode 2017-2018. Hal ini ditunjukan dengan nilai koefisien regresi bernilai 3,408 > 2,086 , dengan nilai koefisien beta saham sebesar 0,013 dan nilai probabilitas uji t sebesar 0,000. Sehingga dapat disimpulkan bahwa hasil penelitian ini sesuai dengan hipotesis yang menyatakan bahwa Beta saham berpengaruh positif terhadap Return saham.</p>
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