Analisis Abnormal Return Portofolio Winner-Loser Pada Perusahaan Yang Terdaftar Di Indeks Kompas100

This study aims to analyze whether there is difference in the average abnormal
return of stock portfolios of winner-loser in formation and testing periods to test
for winner-loser anomalies. In this study, the population is a company listed on
the Kompas 100 Index on the Indonesia Stock Exchange for the period February
2015 – July 2019. Determination of samples in this study using purposive
sampling method with the final sample 44 companies. Techniques for analysis the
data in this research is using parametic method of different test Paired Samples T
Test and non parametic method of different test Wilcoxon Signed Ranks Test
processed through SPSS program. The result of this study showed the average
abnormal return of the category winner-loser stock portfolio in the formation
period experienced a significant difference with the abnormal average return of
winner-loser stock portfolio in the testing period