Pengujian Empiris Efficient Market Hypothesis (EMH) Dan Capital Assets Pricing Model (CAPM)
Keywords:
abnormal return, anomali pasar
Abstract
As indicated, Efficient Market Hypothesis theory played an important role in evolution of accounting research. The conflict between the Efficient Market Hypothesis and hypotheses underlying many accounting prescriptions led to the introduction and popularization of positive theory and methodology in the accounting literature. This paper is to provide a clearer understanding of the factors anomalies encountered by experts during a test of the reliability Efficient Market Hypothesis and Capital Asset Pricing Model (CAPM) theories which proposed by Fama in 1970.
References
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White, G.I, Ashwinpaul C.S., clan Dov F., 2003, The Analysis and Use of Financial Statements, 3rd Edition, Wiley International.
Burton, J., 1998, Revisiting The Capital Asset Pricing Model
Dew, K., 2001, A Surprising Development Tests of the Capital Asset Pricing Model and the EMH in Turkey's Security. Isik University, Istanbul, Turkey
Fama, E.F. Efficient Capital Markets: A Review of Theory and Empirical Work, Journal of Finance 25 (May 1970)
Gumanti, T.A., dan Elok S.U., 2002, Bentuk Pasar Efisien dan Pengujiannya, Simposium Nasional Akuntansi III
Jensen, M.C., 1978, Some Anomalous Evidence Regarding Market Efficiency, Journal of Financial Economics, Vol. 6.
Mahmood, H., 2007, Market Efficiency An Empirical Analysis of KSE 100 Index, Shaheed Zulfiqar Ali Bhutto Institute of Science & Technology
Pandey, A., 2003, Efficiency Of Indian Stock, IGIDR, Mumbai.
Palan, S., 2004, Efficient Market Hypothesis and its Validity in Today's Markets, Faculty of Social and Economic Sciences, Karl¬Franzens University Graz.
Russel, P.S„ Violet M.T., 2002, The Efficient Market Hypothesis on Trial: A Survey
Simpson, J., 2004, Stock Market Efficiency And Development In The Gulf Coast Cooperation (GCC), University of Wollongong.
Scott, W.R., 2000, Financial Accounting Theory, 2ndf Prentice Hall Canada, Inc, Scarborough.
White, G.I, Ashwinpaul C.S., clan Dov F., 2003, The Analysis and Use of Financial Statements, 3rd Edition, Wiley International.
