Abnormal Return in Growth Incorporated Value Investing

Two main types of investing strategies are value investing and growth investing. In value investing investors search for stocks which are considered cheaper than average based on certain measures like P/E ratio or P/B ratio. In growth investing investors search for stocks with high gr0owth potential regardless of price. High growth potential is reflected in above average price. Thus value investing strategy and growth investing strategy are usually considered to be opposite of each other. This view ignores possibility that instead of opposite, they can complement each other. Particularly growth investing strategy can be used to solve the main problem in value investing, that is to differentiate between stocks that are cheap due to valid reason and stocks that are cheap due to mispricing. This study develops a method where growth factor is incorporated to value investing and thus indicating mispriced stocks among group of low price stocks. Keywords: Value investing, Growth investing, Stock mispricing, Stock retur

Diminishing Utility, Loss Aversion, and Framing Effect in Financial Decission Making

This paper shows the effect of individual characteristics to individual’s disposition to experience diminishing utility and loss aversion during decission making process according to Prospect Theory. Participants of this study are undergraduate students in an Indonesian private university. Individual characteristics studied are GPA, semester level, wheter participant is majoring in economic, sex, and whether participant has ever taken statistic subject. The level of diminishing utility and loss aversion is measured by asking participants to assign values to gambles with various outcomes and odds. The assigned values are then plotted to Utility-Value function according to Prospect Theory using MyCurveFit software. Level of diminishing utility and loss aversion of each participant can then be calculated. It is found that GPA is positively while semester level is negatively related to level of diminishing utility both in profit and loss situation. Major has no effect to diminishing utility. Female participants show bigger effect of diminishing utility compared to male participants. Statistic subject makes no difference on level of diminishing utility. For level of loss aversion effect, only statistic subject makes any significant effect to participants. Keywords: Prospect Theory, Diminishing Utility, Loss Aversion, Decission Making, Risky Choic

Effect of Related Parties Transactions to the Value of Enterprises Listed on Indonesian Stock Exchange

Based on the increasing numbers of accounting scandals, attention to related parties transaction is required. More specifically, the accounting scandals caused by the presence of many related party transactions within the business entity. Related party transactions may cause considerable change in company value and thus will influence various investment decisions. Failure to take this factor into consideration may result in suboptimal decisions. It is then very important to understand how related party transaction affects a company. With reference to this condition; the study was designed with the aim to determine the effect of related party transactions of the value of a business entity that is listed in the Indonesian Stock Exchange during 2010-2012. In more detail, the variable for related party transactions include the total value and the relative scale, while the value of the business entity is viewed from external viewpoint, which is Stock Return. This study uses a quantitative approach to analyze the data. Financial statement data used is the corporate financial statements listed in the Indonesia Stock Exchange from 2009 to 2012 and meet specified characteristics. The study was conducted using multiple linear regression. Independent variable is related party transactions variable, while the dependent variable is the value of a business entity one year after the publication of financial statements. This is done with the assumption that the investor reaction was in the period after the financial statements. The statistical method used is the calculation of descriptive statistics and multiple linear regression test. Descriptive statistics include the mean, standard deviation, maximum value and minimum value of each variable used in this study. Multiple linear regression analysis was conducted to test whether there is any relation between independent variables and the dependent variable. Classical assumption F test, which aims to see whether there is influence between the independent and dependent variables simultaneously, will be performed to the model. F test results will determine whether the model will be tested further. T test, which aims to determine the effect of independent variables on the dependent variable partially or in other words to find out how significant an independent variable can affect the dependent variable. Keywords: Related Party Transactions, Corporate Value, Financial Statements Reporting

DESIGNING SUPPLIER SELECTION SUPPORT SYSTEM USING FUZZY ANALYTICAL HIERARCHY PROCESS AND WEIGHTED SUM MODEL FOR COATED DUPLEX INDUSTRY

Abstract. Supplier selection is one of the activities that needs to be considered by the company because 50-90% company’s turnover is obtained from purchasing activities. Supplier selection belongs to the multi criteria decision making (MCDM) problem because there are various criteria, sub-criteria and various alternative supplier which need to be considered. supplier selection activities contain qualitative and quantitative elements, qualitative elements focus on weighting criteria and sub-criteria while quantitative focuses on the weight of supplier offers. To choose supplier optimally will be difficult if the company does not have the tools to find the weight of criteria, sub-criteria and supplier offers. This study proposed a decision support system design that able to help companies choose suppliers using the fuzzy analytical hierarchy process (FAHP) and the weighted sum model (WSM) method on various criteria, sub-criteria and alternative suppliers. To know the weight of each criteria and sub-criteria that be based to select supplier use FAHP, that can decompose multi criteria decision making (MCDM) to be a hierarchy and determine consistency ratio of expert judgement assessment in criteria and sub-criteria. WSM used to change all sub-criteria becomes a unitary weight and find the weight of each supplier on all sub-criteria and WSM used to aggregation the global weight and supplier offer weight to be final score and find the supplier rank. This study shows the correlation of manual data processing, function in system to processing data and front-end to show the layout of system. The result of this study is a supplier selection system using CodeIgniter Framework, XAMPP, PHP and HTML languages.Keywords: Decision support system, fuzzy analytical hierarchy process (FAHP), weighted sum model (WSM), multi criteria decision making (MCDM), supplier, criteria, sub-criteria

Analisis efek return momentum pada saham-saham BEI periode 2003 sampai dengan 2007

The goal of this research is to prove the phenomena of return momentum in Indonesian stock market. This phenomena of return momentum has been shown to be present in various stock market in all continents, namely America, Europe, Asia, Africa, and Australia. However, research that study this phenomena in Indonesian stock market is still lacking. Return momentum is interesting in the sense that it defies the efficient market hypothesis. By proving the existence of return momentum, efficient market hypothesis can be refuted. The research is done by forming a winner portfolio consist of 15 stocks with highest return in a certain periode, and checking if the 15 stocks keep earning high return in the subsequent periode. Here high return is defined as statistically significant higher return compared to IHSG in the same periode. Surprisingly, this research showed that no return momentum exist in Indonesian market for periode of 3 and 6 months. A possible explanation is that the momentum has disapeared after 3 months. However, a sample checking of periode 1 week and 1 month also showed no evidence of return momentum