Sri Lestari, - and Arief Yulianto, FE Manajemen (2018) Analisis Stock Mispricing Terhadap Return Reversal Saham Pada Bursa Efek Indonesia. Management Analysis Journal, 7 (1). pp. 62-75. ISSN 2252-6552

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Abstract

There are three kinds og efficient market theory, one of them is weak form efficient market where the investors cannot use the past information to predict today’s value. The purpose of the research to know when the mispricing implicatly and when the back in to mean reverting process. This is a quantitative method using panel data from 2013 until 2016. There are four dependent variables in this study to look at the mean reverting of stocks, which are return on the first week, return on the second week, return on the third week and return on the fourth week after the mispricing period. Mispricing that of independent variable was measured by the residual volatility proxy. The result of the research shows that the stock mispricing has a positive and significant impact on return reversal. Based on t-statistic analysis for each regression, the most influence effects starts in the first week after mispricing period. In the second and third weeks after mispricing period, stock returns have been following the mean reverting process, which gradually return to the supposed return

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