Capital Asset Pricing Model in Market
Overreaction Conditions: Evidence From Indonesia
Stock Exchange

Sembiring, Ferikawita M.; Rahman, Sulaeman; Effendi, Nury; Sudarsono, Rachmat

doi:10.17512/pjms.2016.14.2.17

Cited by 9 publications

(10 citation statements)

References 9 publications

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“…Another finding is that in addition to winners having higher beta than losers, the constants of both portfolios are found to be significantly positive. The results of this study are also supported by [16].…”

Section: Rit -Rft = αI + Bi(rmt -Rft) + Sismbt + Hihmlt + Mimomt + εIsupporting

confidence: 86%

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How Well the Implementation of Carhart Model in Market Overreaction Condition? Evidence in Indonesia Stock Exchange

Sembiring¹

2018

IJET

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This study aims to determine an ability of the four-factor model of Carhart in explaining the portfolio returns formed in condition of market overreaction. The four-factor model is basically a model proposed by Fama and French and then developed by Carhart which adds price momentum factor into the model. While market overreaction is a market condition caused by excessive reactions from investors when receiving information. The portfolios used are the winner and loser formed based on the returns of each portfolio to the average of the returns. Both portfolio consist are the stocks of non-financial sector in Indonesia Stock Exchange during the period July 2005 - December 2015. The data used are the Composite Stock Price Index (CSPI), stock market capitalization, book to market ratio of each shares and the difference of returns of the loser over of the winner, as an indicator of price momentum factor that formed in market overreaction condition characterized by occurance the reversal of returns.The results show that the four-factor model can explain the portfolio return well. Implementation of the GARCH (1,1) model to improve the accuracy of the estimation results also shows similar findings.

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Section: Rit -Rft = αI + Bi(rmt -Rft) + Sismbt + Hihmlt + Mimomt + εIsupporting

confidence: 86%

“…This study was conducted as a follow up of our previous research [16], [17]. If from the previous research we found that CAPM can explain well the returns of the winner and loser, then in this study, the factors in four-factor model will be tested it ability in explaining the return of both portfolios.…”

Section: Introductionmentioning

confidence: 91%

How Well the Implementation of Carhart Model in Market Overreaction Condition? Evidence in Indonesia Stock Exchange

Sembiring¹

2018

IJET

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“…In this situation, the stocks winners turn into losers and the losers stocks turn into winners. The results also prove that, by applying a contrarian investment strategy, market factors in the CAPM model have a positive affect while the beta of winners is greater than losers but produces a lower return (Sembiring, et al, 2016). As a continuation of that study, and also as the aim of the current study, we will test conditional CAPM in order to determine whether the model can explain the returns of winners and losers more effectively.…”

Section: Introductionmentioning

confidence: 71%

Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions

Sembiring

Rahman

Effendi

et al. 2017

J. Fin. Bank. Review

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Objective - A previous study conducted by the same authors found that the conditions of market overreaction occurred in Indonesia and the market factor in CAPM, or a single beta, is able to explain the portfolio returns. As a continuation of that study, we now use the concept of conditional CAPM, or a dual beta, to test whether the performance of the dual beta can outperform the single beta. Methodology/Technique - The research uses the stocks of non-financial sector company on the Indonesian Stock Exchange during the period between July 2005 and December 2015, which have been divided into two portfolios; the winner and the loser. The conditional CAPM is applied by separating the market into upstream markets and downstream markets, so the dual beta model can be formulated. Findings - The results are consistent with the findings of Pettengill et al. (1995). The results of a single beta test do not comply with the conditions required in the CAPM model and this can be corrected through conditional beta testing that includes the testing on the up beta, down beta, and the dual beta. Novelty - The dual beta model can explain the returns of the portfolio in accordance with the expected results in CAPM testing. The explanation by using the dual beta model is more accurate and more successful than the single beta model. Type of Paper - Empirical Keywords: Conditional CAPM, Dual Beta, Loser Portfolio, Winner Portfolio. JEL Classification: J11, G31.

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“…Saat menerima informasi yang buruk pelaku pasar cenderung menjual saham secara berlebihan sehingga mengakibatkan harga mengalami penurunan secara tidak wajar. Selanjutnya fenomena ini akan berbalik saat pasar menyadari telah bereaksi berlebihan (Sembiring et a., 2016). Pembalikan harga juga diduga adanya peran aparat keamanan yang cepat mengatasi peristiwa terorisme sehingga dapat mengembalikan kepercayaan investor.…”

Section: Pembahasanunclassified

Sentimen Investor Terhadap Peristiwa Terorisme Berbasis Fundamental Perusahaan (Studi pada Peristiwa Serangan Bom Sarinah 14 Januari 2016)

Handoko¹,

Supramono²

2017

jak

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ABSTRAKSentimen investor adalah perasaan individu yang optimis atau pesimis yang berlebihan terhadap suatu situasi, yang menentukan terbentuknya harga di pasar saham. Penelitian ini bertujuan untuk menguji apakah terdapat sentimen investor atas serangan bom yang terjadi di kawasan Sarinah pada 14 Januari 2016. Penelitian ini melibatkan 65 perusahaan dari indeks LQ45 dan PEFINDO25 sebagai sampel, yang terbagi menjadi dua kelompok antara lain kelompok perusahaan dengan fundamental baik dan kelompok perusahaan dengan fundamental kurang baik. Hasil penelitian ini menunjukkan bahwa terdapat sentimen negatif atas peristiwa pengeboman pada 14 Januari 2016, bahkan terjadi overreaction pada kelompok perusahaan dengan fundamental kurang baik.Kata kunci: Sentimen investor; fundamental perusahaan; over reaksi. ABSTRACT Investor sentiment is an optimistic or excessively pessimistic individual feeling towards a situation, which determines the formation of prices in the stock market. This study aims to test whether there is investor sentiment for bomb attacks that occurred in Sarinah on

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Capital Asset Pricing Model in Market Overreaction Conditions: Evidence From Indonesia Stock Exchange

Cited by 9 publications

References 9 publications

How Well the Implementation of Carhart Model in Market Overreaction Condition? Evidence in Indonesia Stock Exchange

How Well the Implementation of Carhart Model in Market Overreaction Condition? Evidence in Indonesia Stock Exchange

Single Beta and Dual Beta Models: A Testing of CAPM on Condition of Market Overreactions

Sentimen Investor Terhadap Peristiwa Terorisme Berbasis Fundamental Perusahaan (Studi pada Peristiwa Serangan Bom Sarinah 14 Januari 2016)

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