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Adler H. Manurung
Universitas Indonesia
Economics, Econometrics & Finance

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Analisis Determinasi Kinerja Reksa Dana Pendapatan Tetap di Indonesia Periode 1999-2003 (Penggunaan Model Jensen dan Model Gudikunst) Jerry Dennis P; Adler H. Manurung; Nachrowi D. Nachrowi
The Indonesian Journal of Accounting Research Vol 7, No 2 (2004): JRAI May 2004
Publisher : The Indonesian Journal of Accounting Research

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33312/ijar.119

Abstract

The objective of this research is to evaluate Bond Mutual Fund Performance in Indonesia and determine some variables that can affect Mutual Fund Performance. Mutual Fund Performance can be measured by using Jensen Model (1968) and Gudikunst Model (1992). The information about bond selection and market timing ability can be measured by using Henriksson - Merton Model (1981). Using Philpot Model (1998), this research examine Mutual Fund attributes that can determine Mutual Fund Performance. Finally, the results show that Bond Mutual Fund have been unable to outperform the market index on a risk-adjusted return basis. The market excess return shows surprising strength relationship to the portfolio excess return.  Generally the sample of Bond Mutual Fund in this research show that portfolio manager has arbitrage opportunity to increase portfolio excess return due to wide range in yield spread, manage in large total asset size and conduct with passive strategy in their portfolio management. This underperform of Bond Mutual Fund Performance can be happened because portfolio managers do not have superiority skills in market timing and bond selection and also the differences of each Bond Mutual Fund attributes.
Pengaruh Pengumuman Perubahan Bond Rating Terhadap Return Saham Perusahaan di Bursa Efek Jakarta (Penelitian Periode 2003 s.d 2005) Etikah Karyani; Adler H. Manurung
The Indonesian Journal of Accounting Research Vol 9, No 3 (2006): IJAR September 2006
Publisher : The Indonesian Journal of Accounting Research

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33312/ijar.160

Abstract

This study identifies the effect of corporate bond rating changes on common stock return. Data used is daily stock returns listed at JSX and the announcement of bond rating changes issued by PT PEFINDO and PT Kasnic Credit Rating Indonesia for the period of 2003-2005. To evaluate the market reaction of bond rating upgrade and downgrade, this study used cumulative average abnormal return. The abnormal return was measured using the event study methodology. The test result shows that the announcement of bond rating upgrade and downgrade does not carry the content of information for investors so that market does not significantly react on stock return. To investigate possible information of bond rating changes for three years, cross section regression is used. From the outcome of research shows that the increase of stock return is affected significantly by the increase of Earning per Share and the type of financial company that experienced upgrade of bond rating. This study also proves that the type of financial company affects stock return significantly for all changes of bond rating.
Co-Authors Jerry Dennis P Karyani, Etikah NACHROWI D. NACHROWI