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Abstrak :
[ABSTRAK
Penelitian ini bertujuan untuk menguji apakah strategi pemilihan aset dalam portofolio yang didasarkan pada informasi pertumbuhan pendapatan historis (4Q, 8Q, dan 12Q terakhir) mampu menghasilkan abnormal return atau tidak. Setiap portofolio yang dibentuk kemudian di-hold dengan masa kepemilikkan 1M, 3M, 6M, 9M, dan 12M. Gross return dari setiap portofolio kemudian dievaluasi dengan model fama-french three factors, carhart four factors, dan fama-french five factors. Hasilnya, diperoleh nilai abnormal return yang negatif dan konsisten dari saham-saham yang mencatatkan pertumbuhan pendapatan rendah pada ketiga periode pengamatan dan terkoreksi dalam 9M hingga 12M. Sedangkan saham yang mencatatkan pertumbuhan pendapatan tinggi hanya mencatatkan nilai abnormal return yang negatif dari periode pengamatan jangka menengah (8Q) dan terkoreksi dalam 1M hingga 12M.

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ABSTRACT
This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.;This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period., This paper aimed to test whether stock selection strategy based on revenue growth announcement information (last 4Q, 8Q, and 12Q) could generate abnormal return or not. Holding periods for every formed portfolio are 1M, 3M, 6M, 9M, and 12M. Each portfolio gross return then evaluated with fama-french three factors model, carhart four factors model, and fama-french five factors model. Results show that negative alpha consistently generated from stocks with low revenue growth from three observation period then corrected in 9M to 12M holding period. While stocks with high revenue growth had generated same result but only from medium term observation period then corrected in 1M to 12M holding period.]

Abstrak :
Karya akhir ini melakukan pembahasan mengenai pengaruh rasio keuangan terhadap harga saham. Ide awal dari penulisan karya tulis ini adalah dengan melihat perkembangan pasar saham di Indonesia. Investasi yang dilakukan oleh para investor baik dalam dan luar negeri menimbulkan sebuah ide yaitu informasi apakah yang dipakai para investor dalam mengambil keputusan berinvestasi ke suatu saham. Apakah informasi yang berasal dari data akuntansi atau informasi lainnya yang diperoleh oleh para investor. Dari ide awal inilah kemudian berkembang pada pengujian rasio keuangan (sebagai data akuntansi) dan pengaruhnya terhadap harga saham. Penelitian ini melihat pengaruh pengumuman rasio keuangan pada JSX Quarterly Index terhadap pergerakan harga saham perusahaan-perusahaan yang terdaftar di indeks LQ 45. Metode penelitian karya akhir ini menggunakan metode panel data, karena data pengujian dibagi dua yaitu cross-section (banyak perusahaan) dan time series (tahun pengujian lebih dari satu tahun). Hasil pengujian diharapkan lebih akurat dengan menggunakan metode ini dan uji model menggunakan random effect model (alasan pemilihan bab 3). Dari hasil pengujian didapatkan hasil rasio keuangan earning per share, return on equity, dan price to book value berpengaruh sigifikan terhadap harga saham, sedangkan rasio keuangan price to earning ratio dan debt to equity ratio tidak berpengaruh signifikan terhadap harga saham. Dapat disimpulkan dari hasil pengujian bahwa para investor dalam keputusan investasi pada suatu saham, menggunakan informasi rasio keuangan seperti earning per share, return on equity, dan price to book value. Sedangkan informasi rasio keuangan seperti price to earning ratio dan debt to equity ratio tidak menjadi dasar informasi bagi investor dalam pengambilan keputusan.