The Value And Glamor Stocks Performance At The Indonesia Stocks Exchange Using The Price Earning Ratio Approach

Abstract

This study aims to evaluate the portfolio of value stocks and glamor stocks returns by Price Earning Ratio (PER) at the Indonesia Stocks Exchange during the period of 2003-2007 and to test the risk adjusted performance of the two types of stocks. Results of the study reveal that the portfolio of value stocks return is not higher than the portfolio of the glamor stocks return. The study also indicates that the risk adjusted performance of value stocks is smaller than that of glamor stocks. The implication of this research is that the investment in the portfolio of glamor stocks may yield highest returns as well as highest investment risks. The analysis of the coeeficient of variation show that the portfolio of value stocks has a lower risk (1.42) compared to that of glamors stocks (3.48). Therefore, rational investors may choose to invest in value stocks.