ANALISA DISPOSITION EFFECT & MOMENTUM TERHADAP SAHAM PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA
Daftar Isi:
- Disposition Effect is the tendency of investors to sell shares of winners quickly and retain lossers shares. Research that has been done shows the existence of Disposition Effect and does not indicate the existence of Disposition Effect. In this study testing the cumulative return, market capitalization, average stock trading turnover, capital gain overhang on week control stock returns and the cumulative return on overhang capital gains in shares of manufacturing companies listed on the Indonesia Stock Exchange in 2018. Sampling with purposive sampling, namely manufacturing companies listed on the Indonesia Stock Exchange during 2014 and actively trading. Of the 166 listed manufacture companies selected to be the sample in this study 62 manufacture companies. In this study using multiple linear regression statistical analysis. Referring to Grinblatt and Han (2002) capital gain overhang is a key variable that creates the advantage of implementing momentum strategies. In this study there is insufficient evidence to show that there is a Disposition Effect and there is insufficient evidence that the Disposition Effect drives Momentum on the stock of manufacturing companies listed on the Indonesia Stock Exchange in 2018. It can be concluded that this study has no Disposition Effect and there is insufficient evidence of a Disposition effect. . Keywords: Cumulative Return, Average Stock Trading Turnover Rate, Market Capitalization, Capital Gain Overhang, Disposition Effect, Momentum