Proceedings of the 3rd International Conference on Business and Management of Technology (ICONBMT 2021)

Quality Investing in Indonesian Stock Market

Authors
Kautsar Primadi Nurahmad1, *, Irwan Adi Ekaputra1, *
1Department of Management, Universitas Indonesia, Indonesia
*Corresponding author. Email: kautsar.nurahmad@gmail.com, irwan.adi@ui.ac.id
Corresponding Authors
Kautsar Primadi Nurahmad, Irwan Adi Ekaputra
Available Online 31 December 2021.
DOI
10.2991/aebmr.k.211226.025How to use a DOI?
Keywords
Quality Investing; Profitability; Growth; Safety; Abnormal Return
Abstract

This research examines whether quality investing in Indonesian stock market could generate abnormal return. The quality score is calculated from following criteria: profitability, growth, and safety. From the quality score, we construct portfolio of highest quality stocks, lowest quality (junk) stocks, and based on quality minus junk investment strategy which long quality portfolio and short junk portfolio. Using stocks listed at the Indonesia Stock Exchange from 2009 until 2019, we run regression test with Ordinary Least Square method and compute alphas with respect to single index model, three factor model, and four factor model to find whether constructed portfolio can provide abnormal return. This research find that quality portfolio can consistently earn significant, positive abnormal return of 1.1% to 1.2%. In contrary, this research does not find that junk and quality minus junk portfolio could prove significant abnormal return. These findings can give evidence that investor should consider stocks with high quality to achieve abnormal return when investing in the Indonesian stock market and avoid stocks with low quality.

Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

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Volume Title
Proceedings of the 3rd International Conference on Business and Management of Technology (ICONBMT 2021)
Series
Advances in Economics, Business and Management Research
Publication Date
31 December 2021
ISBN
10.2991/aebmr.k.211226.025
ISSN
2352-5428
DOI
10.2991/aebmr.k.211226.025How to use a DOI?
Copyright
© 2021 The Authors. Published by Atlantis Press International B.V.
Open Access
This is an open access article under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Kautsar Primadi Nurahmad
AU  - Irwan Adi Ekaputra
PY  - 2021
DA  - 2021/12/31
TI  - Quality Investing in Indonesian Stock Market
BT  - Proceedings of the 3rd International Conference on Business and Management of Technology (ICONBMT 2021)
PB  - Atlantis Press
SP  - 190
EP  - 196
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.211226.025
DO  - 10.2991/aebmr.k.211226.025
ID  - Nurahmad2021
ER  -