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9_Referensi

9_Referensi

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DAFTAR REFERENSI

Allen B. Atkins and Edward A. Dyl, (1990). Price reversals, bid-ask spreads, and market efficiency. The Journal of Financial and Quantitative Analysis, 25(4):535–547. Amihud, Yakov, dan Mendelson, Haim, (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics 17 (1986) 223-249. Banz, W. Rolf, (1980). The relationship between return and market value of common stocks. Journal of Financial Economic 9 (1981) 3-18. Barry, Christopher B. and Brown, Stephen J., (1985). Differential information and security market equilibrium. The Journal of Financial and Quantitative Analysis, 20(4):407–422. 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, Vol 32, No. 3, pp. 663-682. Binder, John J., (1998). The event study methodology since 1969. Kluwer Academic Publishers, Boston, (1998) 111-137. Bodie, Z., Kane, A., dan Marcus, A.J, (2011). Investments (9th ed.). New York: McGraw-Hill. Cable, John, dan Holland, Kevin (1999). Modeling normal returns in event studies a model-selection approach and pilot study. The European Journal of Finance, 5, 4, 331-341. Campbell, Y. John, dan Shiller, J. Robert (1989). The dividend-price ratio and expectations of future dividends and discount factors. The Review of Financial Studies, 1989, Vol 1, No. 3, pp. 195-228. De Bondt, Werner F.M., dan Thaler, Richard, (1985). Does the stock market overreact? The Journal of Finance, July Vol. 40, No.3: 793-805. __________, (1987). Further evidence on investor overreaction and stock market seasonality The Journal of Finance, July Vol. 42, No.3: 557-581. __________, (1990). Do security analyst overreact? The Journal of Finance, July Vol. 42, No.3: 557-581. __________, (2005). The psychology of world equity markets. __________, (2010). The behavioral revolution in finance. 12th Annual European Conference of the Financial Management Association.

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Dimson, Elroy, dan Mussavian, Massoud (2000). Market efficiency. The Current State of Business Disciplines’ Vol. 3, pp. 959-970. Dissanaike, Gishan (1997). Do stock market investor overreact? Journal of Business Finance and Accounting. 24. Don R. Cox and David R. Peterson (1994). Stock returns following large one-day declines: evidence on short-term reversals and longer-term performance. The Universitas Indonesia Journal of Finance, 49(1):255–267. Downs, David H., dan Guner Z. Nuray, (2000). Investment analysis, price formation and neglected firms: does real estate make a difference? Real Estate Economics V28-4, pp. 549-579. Fama, Eugene F., (1970). Efficient capital markets: a review of theory and empirical work. The Journal of Finance May Vol. 25, No. 2: 383-417. __________, (1991). Efficient capital markets: II. The Journal of Finance, Dec. Vol. 46, No. 5: 1575-1617. __________, (1997). Market efficiency, long-term return and behavioral finance. Journal of Financial Economics, Vol. 49: 283-306. Fama, Eugene F. dan French, Kenneth R., (1988). Dividend yields and expected stock returns. Journal of Financial Economics 22 (1989) 3-25. Grossman, J. Stanford, dan Stiglitz, E. Joseph (1980). On the impossibility of informational efficient markets. The American Economic Review. Hatgioannidaes, John, dan Mesomeris, Spiros (2005). Mean reversion in equity prices: the G-7 evidence. 2001 European Financial Management Conference in Switzerland. Jegadeesh, Narasimhan, dan Titman, Sheridan, (1995). Overreaction, delayed reaction, and contrarian profits. The Review of Financial Studies, Vol. 8, No. 4: 973-993. Jones, Charles P, (2002). Investments: analysis and management (8th ed.). USA: John Willey dan Sons, Inc. Jordan, Bradford D., dan Miller, Thomas W, (2008). Fundamentals of investments: valuation and management (4th ed.). New York: McGraw-Hill. JSX Yearly Statistic 2006, Jakarta: Bursa Efek Indonesia, 2006. JSX Yearly Statistic 2007, Jakarta: Bursa Efek Indonesia, 2007. JSX Yearly Statistic 2008, Jakarta: Bursa Efek Indonesia, 2008. JSX Yearly Statistic 2009, Jakarta: Bursa Efek Indonesia, 2009. JSX Yearly Statistic 2010, Jakarta: Bursa Efek Indonesia, 2010.
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JSX Yearly Statistic 2011, Jakarta: Bursa Efek Indonesia, 2011. Kaestner, Michael (2005). Anomalous price behavior following earnings surprises: does representativeness cause overreaction? Keim, B. Donald (1983). Size-related anomalies and stock return seasonality – further empirical evidence. Journal of Financial Economics 12 (1983) 13-32. Lako, Andreas (2004). The explanatory power of unexpected earnings for stock abnormal returns during uncertainty periods. The Journal of Accounting, Management, and Economics Research, Vol. 4 No. 2, August 2004; 111-136. Lakonishok, Josef, dan Scleifer, Andrei, dan Vishny, W. Robert (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, Vol. 49, Issue 5, 1541-1578. Levin, Richard I., dan Rubin, David S, (1998). Statistics for management (7th ed.). USA: Prentice-Hall, Inc. Lo, Andrew W., dan MacKinlay, A. Craig, (1990). “When are contrarian profits due to stock market overreaction ?” The Review of Financial Studies, Vol. 3, No. 2: 175-205. Manurung, Adler Haymans (2005). Gejala overreaction pada saham dalam perhitungan indeks LQ-45. Usahawan No. 09 Th XXXIV, Sept 2005. _______, (2004). Strategi memenangkan transaksi saham di bursa. Jakarta: PT. Elex Media Komputindo. Michaely, Roni, dan Thaler, Richard H., Womack, Kent (1994). Price reactions to dividend initiations and omissions: overreaction or drift?. NBER Working Paper No. 4778. Park, Sojung Carol (2007). Tesis Investor’s overreaction to an extreme event: evidence from the world trade center terrorist attact. Mihaylo College of California State University. Phangwijaya, Johan (2009). Tesis gejala overreaction di bursa efek indonesia, Universitas Indonesia. Rahayu, Suparni Setyowati (2009). Industri dan Klasifikasinya. www.chem-istry.org. Ritter, Jay R., (1988). The buying and selling behavior of individual investors at the turn of the year. Journal of Finance 43 pp. 701-17. Roberts, V. Harry (1959). Stock market “patterns”and financial analysis: methodological suggestions. Journal of Finance, Vol 14, Issue I, 1-10.

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Schwer, G. William (1983). Size and stock returns, and other empirical regularities. Journal of Financial Economics 12, 3-12. Seiler, Michael J., (2000). The efficacy of event-study methodologies: measuring ereit abnormal performance under conditions of induced variance. Journal of Financial and Strategic Decision, Vol 13 number 1. Soerawidjaja, Tatang H, (1991). Perkembangan industri kimia dan penguasaan teknologi proses. Proceeding Seminar “Reaktor Nuklir dalam Penelitian Sains dan Teknologi Menuju Era Tinggal Landas”. Undang-Undang No. 5 Tahun 1984 Tentang: Perindustrian. Universitas Indonesia (2004). Pengantar penulisan ilmiah. Zarowin, Paul (1989). Does the stock market overreact to corporate earnings information? The Journal of Finance, Vol 44. No. 5, 1385-1399.

Universitas Indonesia

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