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Secara umum efisiensi pasar didefinisikan oleh Beaver (1968) sebagai hubungan antara harga-harga sekuritas dengan informasi.
Pengertian Pasar Modal Efisien (Efficient Market Hypothesis / EMH) adalah Pasar sekuritas yang quickly dan fully reflect semua informasi relevan yang tersedia.
Konsekuensi Pasar Efisien: Penyesuaian harga terjadi cepat atas kedatangan informasi baru. Harga sekuritas merefleksi semua informasi relevan yang tersedia. Informasi baru bersifat tidak terprediksi. Karena itu, perubahan harga dari waktu ke waktu terjadi secara independen satu dengan lainnya (random fashion)
Study Case: Suppose the Nikon Corp. is attempting to hire a well-known engineer and develop a camera that will double the speed of the auto-focusing system now available and. Nikon Corp. believe this research has positive NPV. Question: 1) What determines the willingness of investors to hold shares of Nikon Corp at a particular price? 2) What will happen to Nikons share price when this announced? 3) When will the increase in the price of Nikons shares take place? Foundations of Market Efficiency: 1) Rationality 2) Independent Deviations from rationality 3) Arbitrage
Different Type of Efficiency (Bentuk EMH) 1) The Weak Form The weakest strategy uses information based only on past prices. It does not use any other information such as earnings, forecast, merger announcement, or money-supply figures. Evidence: Random-walk Hypothesis : Figure 1: Stock price Sell
Sell
Sell Buy Buy Buy Time
Different Type of Efficiency (Bentuk EMH) 2) The Semi-strong Form Prices reflect (incorporate) all publicly available information, including information such as published accounting statements for the firms as well as historical price information. Evidence: AR = R-Rm (Abnormal Return = Actual Return Markets Return on the Same Day) 3) The Strong Form Prices reflect all information, public or private. Evidence: Insider Trading should not be able to profit by trading on their information. Figure 2:
All information relevant to a stock Information set of past prices Information set of publicly available information
The Behavioral Challenge: 1) Investors are not rational 2) Deviations from rationality are similar across investors 3) Arbitrage, being costly, will not eliminate inefficiencies Empirical Challenges to Market Efficiency: 1) Limits to arbitrage 2) Earnings surprises 3) Size 4) Value versus growth 5) Crashes and bubbles
Earning Surprises
Size
the book-to-market ratio contains Several other accounting-based variables have been any information that can be used to suggested as alternatives to BtM for identifying value identify value stocks stocks. Earnings to price (E/P) have received the most attention in empirical studies. Market dropped as the result of Securities prices sometimes move wildly above their true stock market crash 1987 is not values. Eventually prices fall back to their original level, consistent with Market Efficiency. causing great looses for investors. We have just lived through the biggest bubble of all time, Prof. M. Burton author of A Random Walk Down Wall Street.
Cross-Sectional Predictable Pattern Based on Firm Characteristics and Valuation Parameters : The Size effect ^ Fama dan French (1992) melakukan perhitungan data dari tahun 1963 sampai 1990 Value Stocks ^ Dua metode paling umum untuk mengidentifikasi nilai saham adalah price-earnings ratio dan price-to-book ratio The Equity Risk Premium Puzzle ^ Hak kekayaan premi beresiko ^ Ex ante and ex post expected risk premiums
The Internet Bubble of the late 1990 Perusahaan cenderung memanipulasi atau memark-up kinerja perusahaan untuk memancing terjadinya overreaction. The Performance of Professional Investors Pengujian efisiensi pasar yang paling meyakinkan yaitu menguji secara langsung kemampuan manajer dana profesional untuk bekerja dengan baik didalam pasar secara keseluruhan.
KESIMPULAN
Pasar saham tidak dapat dikatakan sepenuhnya sebagai pasar efisien. Terkadang para investor juga keliru dalam melakukan penilaian. Masih banyak kalangan praktisi yang tidak bisa mempercayai adanya pasar yang efisien dengan berbagai argumennya. Di sisi lainnya, banyak para akademisi yang mempercayai bahwa pasar yang efisien pada tingkat tertentu pasti ada.