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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]

  • Pasaribu, Rowland Bismark Fernando
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    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.

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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 36982.

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    Date of creation: Nov 2009
    Date of revision:
    Publication status: Published in Jurnal Ekonomi dan Bisnis 3.3(2009): pp. 203-223
    Handle: RePEc:pra:mprapa:36982
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    1. Basu, Sanjoy, 1983. "The relationship between earnings' yield, market value and return for NYSE common stocks : Further evidence," Journal of Financial Economics, Elsevier, vol. 12(1), pages 129-156, June.
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    6. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 572-621, June.
    7. Reinganum, Marc R., 1981. "A New Empirical Perspective on the CAPM," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(04), pages 439-462, November.
    8. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    9. Knez, Peter J & Ready, Mark J, 1997. " On the Robustness of Size and Book-to-Market in Cross-Sectional Regressions," Journal of Finance, American Finance Association, vol. 52(4), pages 1355-82, September.
    10. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
    11. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-64, December.
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