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Pembentukan Portofolio dengan Metode Z-Score: Berdasarkan Persepsi Pasar dan Kinerja Keuangan Perusahaan

Ellianti Wijaya, Yulius Jovan Kristian

Abstract


Abstrak.Terdapat beberapa hal yang penting untuk dipertimbangkan dalam membentuk sebuah portofolio saham, dua diantaranya yakni penentuan kriteria pemilihan saham dan keputusan alokasi aset.Penelitian ini bertujuan untuk menawarkan metode Z-Score sebagai salah satu metode yang dapat digunakan untuk melakukan pemilihan saham ke dalam portofolio investor. Variabel-variabel yang digunakan sebagai komponen Z-Score pada penelitian ini yaitu meliputi faktor persepsi pasar serta kinerja keuangan perusahaan. Sampel pada penelitian ini adalah saham-saham perusahaan yang tercatat di pasar modal Indonesia. Data variabel diambil berdasarkan data di akhir tahun 2011 dan periode pengukuran performa portofolio yaituselama 5 tahun yaitu dari 2012 hingga 2016. Berdasarkan hasil penelitian, portofolio Z-Score yang terdiri dari portofolio value dan growth investing menghasilkan imbal hasil secara keseluruhan yang lebih besar dibandingkan IHSG namun dengan standar deviasi yang juga lebih tinggi.

Katakunci: Z-Score, portofolio, persepsi pasar, kinerja keuangan, capital allocation line


Abstract. There are several important things to consider when constructing a portfolio of stocks, two of which are stock selection and determining the allocation of funds to each stock. This study aimed to provide Z-Score method as one of the methods that an investor could utilize when selecting stocks to be included in his portfolio. In using Z-Score method for stock selection, this study used several variables which include variables that represent market perception as well as variables illustrating the companies' fundamental financial performance. The samples used in this study include stocks of the companies that are listed in Indonesia Stock Exchange.The datas for each variable were gathered based on 2011 performance and the performance of the constructed portfolios was tested in 5 year time horizon, from 2012 to 2016. Based on the results, the portfolios constructed using Z-Score method, which consist of value stock portfolio and growth stock portfolio, yielded higher return but also with higher standard deviation compared to the performance of IHSG.

Keywords: Z-Score, portfolio, market perception, financial performance, capital allocation line




Keywords


Z-Score, portfolio, market perception, financial performance, capital allocation line

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References


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DOI: http://dx.doi.org/10.12695/jmt.2017.16.2.5

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