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Abstrak :
ABSTRAK
Studi ini mengidentifikasi keberadaan behavioral bias di pasar saham Indonesia dan mengkaji dampak behavioral bias terhadap performa investasi individual. Secara khusus, kami menemukan behavioral bias investor individual berupa overconfidence bias, loss-aversion bias, anchoring and adjustment bias, mental accounting bias dan confirmation bias. Mental accounting bias, confirmation bias dan anchoring and adjustment bias yang berkaitan dengan cognitive error menunjukkan korelasi yang signifikan terhadap tingkat pendidikan. Pada penelitian ini kami juga menemukan bahwa confirmation bias dan mental accounting bias memiliki hubungan yang positif pada performa investasi, sedangkan loss-aversion bias and anchoring and adjustment bias memiliki hubungan negatif yang signifikan terhadap performa unvestasi.

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ABSTRACT
This study identifies the existence of behavioral biases in the Indonesian stock market and to examine the effect of the behavioral bias on individual investment performance. To be specific, we find that individual investors in Indonesia have behavioral biases of overconfidence bias, loss-aversion bias, anchoring and adjustment bias, mental accounting bias and confirmation bias. The mental accounting bias, confirmation bias and anchoring and adjustment bias associated with cognitive error showed a statistically significant correlation with the level of education. Finally, we find that confirmation bias and mental accounting bias are positive relationship with investment performance, whereas loss-aversion bias and anchoring and adjustment bias are negative significant relationship with investment performance.

Abstrak :
We extend the persistence and pervasiveness of the presence of value effect to Indonesian stock returns in the last two decades by utilizing data set that is relatively free of survivor bias and selection bias. Our finding shows that value portfolios have been able to outperform growth portfolios. Furthermore, the presence of the effect as an asset pricing factor, along with the size effect, can significantly explain the returns of the aggregate equity mutual funds in Indonesia and unveil that the equity mutual fund industry does not provide sufficient risk-adjusted return to cover trading costs and fund expenses. Our proposition is that the equity mutual fund valuation will be better off to apply simpler model shown in this paper to capture the value premium as opposed to the general application of traditional valuation method.

Abstrak :
Penelitian ini merupakan pengujian empiris dari pengaruh beta likuiditas terhadap excess return saham dengan Liquidity-adjusted Capital Asset Pricing Model LCAPM pada saham terdaftar di Bursa Efek Indonesia BEI. Dengan menggunakan penghitungan ilikuiditas illiq , penelitian ini menemukan bukti empiris bahwa terdapat risiko ilikuiditas yang dilambangkan dengan pergerakan ilikuiditas saham dengan ilikuiditas pasar, sensitivitas ilikuiditas saham dengan return pasar, serta beta likuiditas secara agregat di pasar saham Indonesia. Hasil penelitian ini memperlihatkan bahwa pergerakan ilikuiditas saham terhadap ilikuiditas pasar memberikan pengaruh positif terhadap excess return saham. Begitu pula risiko likuditas secara agregat yang berpengaruh terhadap excess return saham. Sebaliknya, sensitivitas ilikuiditas saham terhadap return pasar memberikan pengaruh negatif terhadap excess return saham. Secara garis besar, penelitian ini mendukung penelitian sebelumnya yang dilakukan oleh Lee 2011 dan Vu, et al 2014 , bahwa risiko ilikuiditas dapat mempengaruhi tingkat pengembalian saham. ......This paper empirically tests the Liquidity adjusted Capital Asset Pricing Model LCAPM and effect of liquidity beta on stock excess return of listed corporation in Indonesia. According to the illiquidity measure used, I find evidence that liquidity risk, in the form of co movement between individual stock illiquidity and market illiquidity, sensitivity between its illiquidity and market returns, and net liquidity beta are priced in Indonesian stock market. This results show that co movement between individual stock illiquidity and market illiquidity as well as net liquidity beta has positive effect on stock excess return in Indonesia, while illiquidity sensitivity to market returns brings negative effect on stock excess return in Indonesia. Overall, this results support the importance of liquidity risk effects on stock return. Lee, 2011 Vu, et al 2014.

Abstrak :
Penelitian ini dilakukan dengan tujuan untuk mengetahui pengaruh cross-sectional risk, yang merupakan risiko spesifik bisnis dan volatilitas pasar saham, sebagai variabel untuk mengestimasi risiko makroekonomi di Indonesia. Penelitian ini mengobservasi perusahaan- perusahaan publik di Indonesia dan data-data makroekonomi Indonesia pada periode 2004-2020. Dalam penelitian ini, penulis menggunakan term spread sebagai variabel dependen yang merefleksikan risiko makroekonomi, dan financial friction, arus kas, debt-service-ratio, dan volatilitas pasar saham sebagai variabel independen. Dengan menggunakan metode Autoregressive Distributed Lag Model, penelitian ini menunjukkan bahwa risiko perusahaan secara spesifik dan risiko pasar saham mampu mengestimasi risiko makroekonomi, sehingga menjadi sinyal awal shock ekonomi, seperti resesi atau inflasi tinggi di masa depan. Model dalam penelitian ini juga meneliti hubungan cross-sectional risk terhadap indikator makroekonomi lainnya, seperti consumer confidence index, money supply, dan neraca dagang Indonesia. Setiap variabel merepresentasikan makna masing-masing dalam menjelaskan risiko makroekonomi Indonesia. Hasil penelitian ini diharapkan dapat memberikan wawasan kepada peneliti selanjutnya, investor, pelaku bisnis, perbankan, dan regulator. ......This study was conducted with the aim of knowing the effect of cross-sectional risk, which comprises business-specific risk and stock market volatility, as a variable for estimating macroeconomic risk in Indonesia. This study observes public companies in Indonesia and Indonesian macroeconomic data in the period 2004-2020. In this study, the authors use term spread as the dependent variable that reflects macroeconomic risk, and the cross-sectional risk comprises financial friction, cash flow, debt-service-ratio, and stock market volatility as independent variables. By using the Autoregressive Distributed Lag Model method, this study shows that business-specific risk and stock market risk are able to estimate macroeconomic risk, so that it becomes an early signal of economic shock, such as recession or high inflation in the future. The model in this study also examines the cross-sectional risk relationship with other macroeconomic indicators, such as the consumer confidence index, money supply, and Indonesia's trade balance. Each variable represents its own meaning in explaining Indonesia's macroeconomic risk. The results of this study are expected to provide insight to further researchers, investors, entrepreneurs, banks, and regulators.