MARKET EFFICIENCY Disusun Oleh: Desi Natasha (0906612371) Juningsih (0906612472) Murni Marlina (0906612743)

Efficient Market Secara umum efisiensi pasar didefinisikan oleh Beaver (1968) sebagai hubungan antara harga-harga sekuritas dengan informasi. Pengertian Pasar Modal Efisien (Efficient Market Hypothesis / EMH) adalah Pasar sekuritas yang quickly dan fully reflect semua informasi relevan yang tersedia. Konsekuensi Pasar Efisien: Penyesuaian harga terjadi cepat atas kedatangan informasi baru. Harga sekuritas merefleksi semua informasi relevan yang tersedia. Informasi baru bersifat tidak terprediksi. Karena itu, perubahan harga dari waktu ke waktu terjadi secara independen satu dengan lainnya (random fashion)

Efficient Market Study Case: Suppose the Nikon Corp. is attempting to hire a well-known engineer and develop a camera that will double the speed of the auto-focusing system now available and. Nikon Corp. believe this research has positive NPV. Question: What determines the willingness of investors to hold shares of Nikon Corp at a particular price? What will happen to Nikon’s share price when this announced? 3) When will the increase in the price of Nikon’s shares take place? Foundations of Market Efficiency: Rationality Independent Deviations from rationality Arbitrage

Efficient Market Different Type of Efficiency (Bentuk EMH) The Weak Form The weakest strategy uses information based only on past prices. It does not use any other information such as earnings, forecast, merger announcement, or money-supply figures. Evidence: Random-walk Hypothesis : Figure 1: Stock price Time Sell Buy

Efficient Market Different Type of Efficiency (Bentuk EMH) 2) The Semi-strong Form Prices reflect (incorporate) all publicly available information, including information such as published accounting statements for the firms as well as historical price information. Evidence: AR = R-Rm (Abnormal Return = Actual Return – Market’s Return on the Same Day) 3) The Strong Form Prices reflect all information, public or private. Evidence: Insider Trading should not be able to profit by trading on their information. Figure 2: Information set of past prices All information relevant to a stock Information set of publicly available information

Efficient Market The Behavioral Challenge: Investors are not rational Deviations from rationality are similar across investors Arbitrage, being costly, will not eliminate inefficiencies Empirical Challenges to Market Efficiency: Limits to arbitrage Earnings surprises Size Value versus growth Crashes and bubbles

Efficient Market Empirical Challenges to Market Efficiency: Point of View Market Efficiency Behavioral Finance Limits to arbitrage Buy underpriced asset and Sell overprice asset will adjust the price to correct levels. Investor buying the overpriced asset and selling the underpriced asset does not have a sure thing. Deviation of parity could actually increase in the short run, implying looses for the arbitrageur. (J.M. Keynes) Earning Surprises Price will adjust immediately to the announcement. Price will adjust slowly because investors exhibit conservatism (Chan, Jegadeesh, Lakonishok). Size Measure risk from its size Best measure of the risk of a security in large portfolio is the Beta of the security. (CAPM) Value vs. Growth the book-to-market ratio contains any information that can be used to identify value stocks Several other accounting-based variables have been suggested as alternatives to BtM for identifying value stocks. Earnings to price (E/P) have received the most attention in empirical studies. Crashes and Bubbles Market dropped as the result of stock market crash 1987 is not consistent with Market Efficiency. Securities prices sometimes move wildly above their true values. Eventually prices fall back to their original level, causing great looses for investors. “We have just lived through the biggest bubble of all time”, Prof. M. Burton author of A Random Walk Down Wall Street.

Over/ Under- Reaction Overview: Efficient Market Over/ Under- Reaction Overview: Over-reaction >> penilaian yang terlalu berlebihan terhadap informasi yang muncul Under reaction >> penilaian yang tidak berlebihan terhadap informasi yang muncul DeBondt dan Thaler (1985) menyatakan bahwa pelaku pasar cenderung bereaksi berlebihan terhadap suatu informasi. Pelaku pasar menetapkan harga terlalu tinggi terhadap informasi yang dianggap bagus, sebaliknya pelaku pasar cenderung menetapkan harga terlalu rendah terhadap informasi buruk.

Over/ Under- Reaction Overview: Efficient Market Over/ Under- Reaction Overview: Asquith (1983) dan Agrawal (19992) menemukan bahwa Pengembalian jangka panjang untuk perusahaan yang merger dan diakuisisi akan bernilai negatif. Hal ini dapat disebabkan adanya underreaction dari pasar yang dikarenakan buruknya keputusan investasi, atau adanya overreaction dari pelaku pasar karean dianggap perusahaan akan memiliki performance yang lebih baik karena telah melakukan merger/ akuisisi

Behavioral Model of Underreaction dan Overreaction: Efficient Market Behavioral Model of Underreaction dan Overreaction: Barberies, Shleifer, dan Vishny (BSV Model)-1988 Representativeness Bias Conservatism Daniel. Hirshleifer, dan Subramanyam (DHS Model)-1997 Uninformed Investors Informed Investors Overconfidence Biased self-atribution

The Reliability of individual Studies: Efficient Market The Reliability of individual Studies: IPO dan SEO – anomali pengembalian jangka panjang Merger Stock Split Self-Tender and Share Repurchases Exchange Listings Dividend Initiations and Omissions Spin-offs Proxy Contest

Kritik Hipotesis Pasar efisiensi ( Burton G. Malkiel) Efficient Market Kritik Hipotesis Pasar efisiensi ( Burton G. Malkiel) Non-Random Walk Down Wall Street I. Short-term momentum, Including Underreaction to new information Kritikan terhadap random walk theory Bandwagon effect II.Long-run Return Reversals Saham yang memiliki pengembalian yang rendah selama 3 – 5 tahun terakhir memiliki pengembalian yang tinggi pada periode berikutnya, begitu juga sebaliknya. III. Seasonal and Day –of-the-Week Patterns

Efficient Market Cross-Sectional Predictable Pattern Based on Firm Characteristics and Valuation Parameters : The Size effect ^ Fama dan French (1992) melakukan perhitungan data dari tahun 1963 sampai 1990 Value Stocks ^ Dua metode paling umum untuk mengidentifikasi nilai saham adalah price-earnings ratio dan price-to-book ratio The Equity Risk Premium Puzzle ^ Hak kekayaan premi beresiko ^ Ex ante and ex post expected risk premiums

Market Crash pada Oktober 1987 Efficient Market Market Crash pada Oktober 1987 ^ Market Crash terbesar dalam sejarah pasar keuangan ^ Pengaruh psikologis atau behaviour pada penetapan harga bursa saham ^ Adanya merger tax ^ Untuk pemegang saham jangka panjang, prinsip penilaian yang rasional diterjemahkan kepada suatu rumus: r = D/P + g dimana: r = rate of return P = harga saham D = deviden yang diharapkan g = growth rate

Efficient Market The Internet Bubble of the late 1990 Perusahaan cenderung memanipulasi atau memark-up kinerja perusahaan untuk memancing terjadinya overreaction. The Performance of Professional Investors Pengujian efisiensi pasar yang paling meyakinkan yaitu menguji secara langsung kemampuan manajer dana profesional untuk bekerja dengan baik didalam pasar secara keseluruhan.

KESIMPULAN Efficient Market Pasar saham tidak dapat dikatakan sepenuhnya sebagai pasar efisien. Terkadang para investor juga keliru dalam melakukan penilaian. Masih banyak kalangan praktisi yang tidak bisa mempercayai adanya pasar yang efisien dengan berbagai argumennya. Di sisi lainnya, banyak para akademisi yang mempercayai bahwa pasar yang efisien pada tingkat tertentu pasti ada.