Market Performance and Accounting Information as the Reference of Stocks Portfolio Formation in Indonesia Stock Exchange

Abstract

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 difference among variable refer to their market capitalization and influence of predictor to stock return. The result show; Levenne-test confirmed there is no significant influence relatively to variable refer to their market capitalization; Simultaneously, the predictors have a significant influence to stock return in each period, but partially only 4 variable having an significant effect to return i.e (VaR, B/M, and PER, and PBV). Hereinafter, the performance of selected portfolio (based on their rank) were evaluated (Sharpe-Index, Treynor-Index, and Jensen-Apha). The evaluation result conclude that stock portfolio formed refer to their market capitalization and composite of market and accounting performance do not at moment's notice guarantee will yield an consensus of subject about reliable accepted risk versus expected return.

Keywords: Indonesia Stock Exchange, portfolio performance, value at risk, Sharpe ratio, Treynor index, Jensen's alpha

JEL Classification: G11, G12