Since 2014
Value Effect in Indonesian Stock Returns: The Implications for the Equity Mutual Fund Industry
Indonesian Capital Market Review
View Archive Info| Field | Value | |
| Title |
Value Effect in Indonesian Stock Returns: The Implications for the Equity Mutual Fund Industry
|
|
| Creator |
Samuel Kristianto Utomo; Prasetiya Mulya Business School
Kevin Antony Tjandra; Prasetiya Mulya Business School |
|
| Subject |
—
Indonesian Stock Market; Value effect; Asset pricing models; Mutual fund performance; Mutual fund persistence; Factor Investing |
|
| Description |
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.
|
|
| Publisher |
Management Research Center, Department of Management, Faculty of Economics and Business, U
|
|
| Contributor |
—
|
|
| Date |
2015-04-22
|
|
| Type |
Peer-reviewed Article
— |
|
| Format |
application/pdf
|
|
| Identifier |
http://journal.ui.ac.id/index.php/icmr/article/view/4354
|
|
| Source |
Indonesian Capital Market Review; Vol 7, No 1 (2015): January 2015
|
|
| Language |
en
|
|
| Coverage |
Indonesia
— — |
|