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....

The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid stock collection in Indonesia stock exchange period 2008-2016. The result show for quarterly and semester period winner portfolio has superior capacity of portfolio risk...

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...

This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results...

The accrual information is discussed in light of multifactor factor asset pricing theory. It is argued that the capital market processes information efficiently, and that low accruals firms are risky and therefore earn higher average returns. In other words, the level of accruals proxies for the...

This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to...