Analisis terhadap Efisiensi Pasar dan Implikasinya pada Pengelolaan Portofolio Aktif di Pasar Saham Asia Tenggara

This research provides the results of an empirical analysis of the efficiency of stock markets in Southeast Asia aggregately by using single and multifactor equilibrium models. The results of our analysis on portfolio formation method, which is based on the level of company size, volatility, value, past returns, liquidity, profitability, and investment proxies, generally show consistent rejections across the validity of all equilibrium models. However, a significant statistical relationship can be found consistently between firm size and the level of liquidity with the average stock returns. In addition, this research presents the results of the descriptive analysis related to the performance of equity mutual funds industry in Southeast Asia aggregately that provides a negative level of risk-adjusted return, but significantly positive after controlling for liquidity and investmentrisk factors. The result justifies the importance of liquidity as a prominent variable in explaining the cross-section of average stock returns. Lastly, this research also gives the results of portfolios forming simulation based on anomaly variables on large sized companies and demonstrates the potential to generate positive risk-adjusted return as an alternative method of active portfolio management.