Abnormal Return Portofolio Winner Loser Saham Perusahaan Kompas 100 Yang Terdaftar Di Bursa Efek Indonesia (Periode 2012 – 2016)

This study aims to determine whether there is a difference between the
average abnormal return stock portfolio winner and loser stocks in the period of
formation with the average abnormal return stock portfolio winner and loser
stocks in the period of testing in order to identify winner-loser anomaly. The
population is all companies listed in Kompas 100 index in the Indonesia Stock
Exchange period 2012-2016 with a total sample of 53 companies. Data analysis
technique used is parametric methods different test Paired Samples T Test and
non-parametric different test Wilcoxon Signed Ranks Test with the help of SPSS
program. The results obtained showed that the average abnormal return stock
portfolios winner and loser stocks formation period have a significant difference
with an average abnormal return stock portfolios winner and loser stocks testing
period.