Momentum Investment Strategy : Winner-Loser Portfolio Momentum Profit in Indonesia

Future uncertainties and the uneven distribution of information is a phenomenon that becomes background of the emergence of various concepts and approaches regarding investment strategies, and a popular one is the momentum strategy that was first introduced by Jegadesh and Titman in 1993. Momentum investment strategy in a simple belief that the good performance of stocks of the past winners is expected to continue in the future. By implementing the approach Jegadesh and Titman, this study aims to find momentum profits of the winner-loser portfolios are formed and the time period of ownership that gives the highest return of the winner-loser portfolios are formed. In addition it also conducted the testing momentum as risk factors in the framework of asset pricing models of the four factors. Empirical calculation results that the winner portfolio is effective for the formation of a three-month period with ownership of a nine-month period, while for the loser portfolio, the effectiveness is the establishment of nine-month period to twelve months of ownership. The findings reinforce other research, that despite the differences, but the difference in profit performance between the two portfolios are not statistically significant. From the test results of the four factor asset pricing models, obtained results that the simultaneous model of the four factors have a significant effect on the entire portfolio of shares, except the three large cap stock portfolio. A partial replication of the four risk factors, it appears that size is the dominant factor concerning the influence of statistical significance