YESICA, Elma and MUHARAM, Harjum (2014) VALUE VS GROWTH STOCKS RETURNS ON THE INDONESIA STOCK EXCHANGE Study to Companies Listed on Indonesia Stock Exchange 2003-2013 Period. Undergraduate thesis, Fakultas Ekonomika dan Bisnis.
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Abstract
This research aims to determine the difference in returns between value and growth stocks. This research conducted on 30 stocks listed in Indonesia Stock Exchange 2003-2013 period. This research is conducted following previous researches such as Capaul et al (1993), Hoekjan (2011). This research use three ratio to classify the stocks, such as Price-to-Earnings ratio (P/E), Price-to-Book ratio (P/B) and Price-to-Cashflow ratio (P/C). The portfolio formation method in this research is refers to return portfolio approach by Capaul et al (1993), Using this method, portfolios formed and determine its returns and Sharpe ratios. After that, ANOVA test will be performed to determine the difference in returns and Sharpe ratios for portfolio formation 2002 and 2007. The results showed that there is no difference in returns among categories and Sharpe ratios in both time period of portfolio formation, for all ratios used in this research, during 2003-2013 on Indonesia Stock Exchange
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | value stock, growth stock, price-to-earnings ratio, price-to-book ratio, price-to-cash flow ratio, return, Sharpe ratio |
| Uncontrolled Keywords: | value stock, growth stock, price-to-earnings ratio, price-to-book ratio, price-to-cash flow ratio, return, Sharpe ratio |
| Subjects: | H Social Sciences > H Social Sciences (General) |
| Divisions: | Faculty of Economics and Business > Department of Management |
| ID Code: | 43574 |
| Deposited By: | INVALID USER |
| Deposited On: | 27 Aug 2014 14:04 |
| Last Modified: | 27 Aug 2014 14:04 |
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