Pembentukan Portofolio dengan Metode Z-Score: Berdasarkan Persepsi Pasar dan Kinerja Keuangan Perusahaan
DOI:
https://doi.org/10.12695/jmt.2017.16.2.5Keywords:
Z-Score, portfolio, market perception, financial performance, capital allocation lineAbstract
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:Â Z-Score, portfolio, market perception, financial performance, capital allocation line
Downloads
References
Auret, C. J., & Sinclaire, R. A. (2006). Book-to-market ratio and returns on the JSE. Investment Analysts Journal, 35(63), 31-38.
Ball, Ray, & Brown, Philip. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research, 159-178.
Basu, S. (1977). Investment performance of common stocks in relation to their Price-Earnings Ratios: A test of the efficient market hypothesis. The Journal of Finance, 32(3), 663-682.
Bauman, W. S., & Miller, R. E. (1997). Investor expectations and the performance of value stocks versus growth stocks. The Journal of Portfolio Management, 23(3), 57-68
Blume, M. E. (1980). Stock returns and dividend yields: Some more evidence. The Review of Economics and Statistics, 62, 567-577.
Chan, L. L., Hamao, Y., & Lakonishok, J. (1993). Can fundamentals predict Japanese stock returns?.Financial Analysts Journal, 49(4), 63-69.
Dhatt, M. S., Kim, Y. H., & Mukherji, S. (1999). Relations between stock returns and fundamental variables: Evidence from a segmented market. Asia-Pacific Financial Markets, 6(3), 221-223.
Donaldson, J., Flagg, D., & Hunter Orr, J. (2011). Selecting stocks and building portfolios: a sorting exercise. Managerial Finance, 37(7), 636-646.doi: 10.1108/03074351111140270
Fama, E. F., & French, K. R. (1992). The cross-setion of expected stock returns. The Journal of Finance, 47(2), 427-465.
Har, W. P., & Ghafar, M. A. A. (2015). The impact of accounting earnings on stock returns: the case of Malaysia's plantation industry. International Journal of Business and Management, 10(4), 155.
Hobarth, L. L. (2006). Modeling the relationship between financial indicators and company performance. An empirical study for US-listed companies. [Doctoral dissertation]. WU Vienna University of Economics and Business. Tersedia dari http://epub.wu.ac.at/1870/
Indonesia. PT Kustodian Sentral Efek Indonesia. (2017). KSEI Terus Upayakan Kemudahaan Pembukaan Rekening Investasi. Diambil dari: http://www.ksei.co.id/publication/press-releases
Isynuwardhanna, D. (2013). Aplikasi Z-Score method dalam pembentukan portofolio. Jurnal Keuangan dan Perbankan, 17(1), 89-98.
Kheradyar, S., Ibrahim, I., & Nor, F. M. (2011). Stock return predictability with financial ratios. International Journal of Trade, Economics and Finance, 2(5), 391.
Markowitz, H. (1952). Portoflio selection. The Journal of Finance, 7(1), 77-91.
Pachamanova, D. A., & Fabozzi, F. J. (2014). Recent trends in equity portfolio construction analytics. The Journal of Portfolio Management; 40(3), 137- 151.
Pakpahan, M. M. Fintech Talk: Fintech Potential in Deepening Capital Market Penetration Part I. (2017). Diambil dari http://www.thejakartapost.com/news/2017/01/03/fintech-talk-fintech-potential-in-deepening-capital-market-penetration-part-1.html.
Prasetyo, T. (2000). Analisa rasio keuangan dan nilai kapitalisasi pasar sebagai prediksi harga saham di BEJpada periode bullish dan bearish. Jurnal dan Prosiding SNA - Simposium Nasional Akuntansi III, 652-695.
Tandelilin, E. (2001). Analisis investasi dan manajemen portofolio. Yogyakarta: BPFE.
The World Bank. World Development Indicators. (2017). Diambil dari: http://wdi.worldbank.org/table/2.1#
Downloads
Submitted
Accepted
Published
How to Cite
Issue
Section
License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License. Copyright @2023. This is an open-access article distributed under the terms of the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License (http://creativecommons.org/licenses/by-nc-sa/4.0/) which permits unrestricted non-commercial used, distribution and reproduction in any medium.