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Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham
[Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange]

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  • Pasaribu, Rowland Bismark Fernando

Abstract

This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR) and accounting performance (ROE, and EPS) also their market capitalization in Indonesia Stock Exchange period 2003-2006. Some clarification need to achieved, such as: real difference among variabel refer to their market capitalization and influence of predictor to stock return. Hereinafter, the performance of selected portfolio were evaluated. The evaluation result conclude that stock portfolio formed refer to their market capitalization and composite of market and accounting performance do not at moment's notice guarantee will yield an consensus of subject about reliable accepted risk versus expected return.

Suggested Citation

  • Pasaribu, Rowland Bismark Fernando, 2009. "Kinerja Pasar dan Informasi Akuntansi sebagai Pembentuk Portfolio Saham [Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange]," MPRA Paper 36982, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:36982
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    References listed on IDEAS

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    More about this item

    Keywords

    portfolio performance; value at risk; sharpe ratio; treynor-index; jensen alpha;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • G3 - Financial Economics - - Corporate Finance and Governance
    • L1 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance

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