Profitabilitas Strategi Investasi Kontrarian di Bursa Efek Indonesia

This objectives of this research are investigate the stock portfolio performance with high price earning ratio (PER) and low PER following ownership period compared to the portfolio performance of the formation period; to investigate the stock portfolio performance of high PER compared to that of low PER; and to investigate the stock portfolio performance of high PER and low PER stock compared to market portfolio return. The sample used in this research is the go-public companies whose stocks are listed at Indonesian Stock Exchange. The finding of the research shows that the high PER stock portfolio performance of the following period is desreasing and lower than the low PER stock portfolio performance and market portfolio return; on the other hand, the low PER stock portfolio of the following period is increasing and higher than the high PER stock portfolio performance and market portfolio return. The research finding showing that the stocks possessing either high PER or low PER at the beginnings experiences return reversal at the following period indicates market anomaly related to the overreaction hyphotesis “PER Effect”. Then this popularizes the contrarian investment strategy in Indonesian Stock Exchange. Abstrac in Bahasa Indoensia: Penelitian ini bertujuan untuk menguji kinerja portofolio saham price earning ratio (PER) tinggi dan PER rendah periode kepemilikan berikutnya dibandingkan dengan kinerja portofolio saham periode formasinya, menguji kinerja portofolio saham PER tinggi dibandingkan dengan PER rendah, dan menguji kinerja portofolio saham PER tinggi dan PER rendah dibandingkan dengan return portofolio pasar. Hasil penelitian menunjukkan bahwa, kinerja portofolio saham PER tinggi pada periode berikutnya menurun dan lebih rendah dibandingkan dengan kinerja portofolio saham PER rendah dan return portofolio pasar; sebaliknya kinerja portofolio saham PER rendah pada periode berikutnya meningkat dan lebih tinggi dibandingkan dengan kinerja portofolio saham PER tinggi dan return portofolio pasar. Temuan yang menunjukkan saham-saham yang pada mulanya memiliki PER tinggi atau PER rendah mengalami pembalikan return pada periode berikutnya, mengindikasikan terjadi anomali pasar yang berkaitan dengan hipotesis overreaction “Efek PEER. Sehingga ini mempopulerkan strategi investasi kontrarian di Bursa Efek Indonesia. Kata kunci: kinerja portofolio, return portofolio pasar dan anomali pasar