Article Per Year (5 Year)
p-Index From 2020 - 2025
0
P-Index
This Author published in this journals
All Journal Indonesian Capital Market Review
Mosii, Rakhmat Luthfiansyah
Unknown Affiliation
Economics, Econometrics & Finance

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
The Profitability of Momentum Strategies : A Study of Indonesian Stock Exchange Mosii, Rakhmat Luthfiansyah; Wibowo, Sigit Sulistiyo
The Indonesian Capital Market Review Vol. 11, No. 1
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

We investigate the profitability of style and price momentum strategy in the Indonesian stock market from the year 2000 to 2015. We find the style momentum strategy yields significant positive returns while the price momentum strategy tends to produce negative returns. This result confirms the findings of Lewellen (2002) that style momentum returns are generally stronger than the conventional momentum. The average monthly returns of the double-sorted size-B/M style momentum are ranging from 1.98% to 2.64% and persistent after controlling for market factor using JSX index. Our findings suggest investors should utilize publicly available information such as size and book-to-market ratio on their investment decision in the Indonesian stock market.
Co-Authors Wibowo, Sigit Sulistiyo