Analisis Perbandingan Return Strategi Kontrarian Dan Momentum Di Bursa Efek Indonesia (BEI) (Studi Pada Indeks Kompas 100)

Abstract

This study aims to test the superiority of returns of contrarian and momentum strategies in the intermediate-and long-termatIndonesia Stock Exchange. The data used is stock price data during 2009-2014 on 96 companies that joined in the Compass 100 index. This study also analyzes the effect of firm size and Price to Book Value on Cummulative Abnormal Return to identify other sources of return strategies. The results found that the return of momentum strategy was not found in the intermediate-term, but in the long-term, contrarian strategy gave a significant positive returns in the months over a 36 month period. Other findingsin this study also show that Price to Book Value give significanteffectto Cumulative Abnormal Return, while the test result on firm size are not significant.