TEST VALIDITAS MODEL VALUASI HARGA SAHAM (Studi Empiris Harga Saham LQ45 di BEI 2009 – 2018)

Abstract

This study aims to find empirical evidence of the validity of stock price estimates in the Indonesia stock exchange in 2009 to 2018. By estimating the selling price of shares to be purchased, investors can estimate how much profit or value of the shares. With current theoretical price estimates, investors can assess whether the stock price offered on the market today is a fair price, too expensive, or relatively cheap. In general, investors hope to buy the desired shares at a fair price, or a relatively cheap price (underpriced), or maybe they can buy stocks at a relatively expensive price, with the hope that in the future they can be sold at a price which is more expensive than when buying.The study was conducted using historical data on stock price expectations and real stock prices during the study period (2009 to 2018). Share price expectations use the (1) relative approach , (2) discount approach, and (3) model factor approach (Schwert, Smith, 2009).  The results of the study using 3 ways of stock price expectations, and then compared with the real price gives the following results (1) the relative approach gives the difference between expectations and the highest real 20% and the lowest 8%, with a standard deviation of 6%, and the average 16%. (2) the discount approach gives the difference between expectations with the highest real by 18%, the lowest is 10%, the standard deviation is 6%, and the average is 12%. (3) the model factor approach with SIM gives the highest difference between expectations and real results of 18%, the lowest is 12%, the standard deviation is 8%, with an average of 15%. (4) of the three stock price expectations models used, it can be concluded that the best expectation approach is to use a model factor (SIM) approach .

 
Keywords: underpriced, overpriced, fair price, relative approach, discount approach, model       factor approach (Single Index Models)