KINERJA PORTOFOLIO SAHAM UNDERVALUED DAN OVERVALUED PADA INDEKS LQ45 DI BURSA EFEK INDONESIA

Abstract: The Stock Portfolio Performance Based on Undervalued and Overvalued Using Capital Asset Pricing Model. The purposes of this research are investigating the stock portfolio performance based on undervalued and overvalued using Capital Asset Pricing Model. The sample used in this research is the go-public companies whose stocks are listed at LQ 45 Index Februari - Juli 2014 period in Indonesian Stock Exchange. The sample selection is done by purposive sampling method, analyzed using Treynor Index and tested by mean difference statistical test. The result of this research show that there is no significant difference between undervalued stock portfolio performance in the forming period and the following period, the performance of forming period is decreasing in the next period. Overvalued stock portfolio performance in the forming period has no significant difference with the following period and the performance of forming period is increasing in the next period. Keywords : stock portfolio performance, CAPM, undervalued stock, overvalued stock.