ANALISIS MARKET OVERREACTION TERHADAP SAHAM WINNERS DAN LOSSERS

This study aims to know if there is a Market Overreaction happens to portofolio which included in top 20 Winners and top 20 Lossers at the period of 2015. To knowing if there is a Market Overreaction can be calculated by Average Abnormal Return (ACAR) values form Winners stocks and Lossers stocks, and from the difference between Average Abnormal Return (ACAR) Losser-Winner. To get the ACAR values, we can count the values of Actual Return, Market Return, Abnormal Return and Cumulative Abnomrla Return (CAR). This study used 34 sample of companies which it stocks are included at top 20 Winners and top 20 Losser, which it has passed from the samples determination criteria based on the purposive sampling method. The data process used microsoft excell programme and One sample t-test is used for the hypotesis testing. The results showed that Market Overreaction occured separatistly and not continuous in several months of testing, but could not be proven statistically. Keywords : Market Overreaction, Abnormal Return, Winner Stocks, Losser Stocks, Abnormal Cumulative Abnormal Return (ACAR), Contrarian Investment Strategy, Price Reversal