This study aims to analyze whether there is any significant difference between the
returns on value stocks and growth stocks by using some ratios to classify the stocks
and implementing several scenarios when building the portfolio. Data used in this
research are Price Earnings Ratio, Price to Book Value, and stock price. Data
sample studied are companies that listed in Kompas100 Index in Indonesia Stock
Exchange from 2010 until 2019. The methodology used includes several statistical
tests to compare the returns provided by the portfolios. The result show that there
is only one scenario shows that value portfolios outperformed growth portfolios.
When both of these investing strategies are compared to the market returns, there
are three scenarios shows that growth portfolios provide significantly different
returns compared to the market returns, while there is no any significant differences
in return between value portfolios and market returns.

Anderson, K., & Brooks, C. (2007). Extreme Returns From Extreme Value Stocks:
Enhancing the Value Premium. The Journal of Investing, 69-81.
Athanassakos, G. (2009). Value versus Growth Stock Returns and the Value
Premium: The Canadian Experience 1985–2005. Canadian Journal of
Administrative Sciences, 109–121.
Baker, H., & Nofsinger, J. (2010). Behavioral Finance: Investors, Corporations,
and Markets. Hoboken, New Jersey: John Wiley & Sons.
Basu, S. (1977). Investment Performance of Common Stocks in Relation to Their
Price Earnings Ratios: A test of the efficient market hypothesis. The Journal
of Finance 32, 663-682.
Beneda, N. (2002). Growth stocks outperform value stocks over the long term.
Journal of Asset Management 3.
Bodie, Z., Kane, A., & Marcus, A. J. (2011). Investments and Portfolio
Management. Singapore: :McGraw Hill.
Bourguignon, F., & Jong, M. d. (2003). Value Versus Growth. The Journal of
Portfolio Management Summer 29 (4), 71-79.
CEIC Data. (n.d.). Indonesia Equity Market Index. Retrieved from CEIC:
https://www.ceicdata.com/
Chan, L. K., Hamao, Y., & Lakonishok, J. (1991). Fundamentals and stock returns
in Japan. Journal of Finance 46, 1739-1789.
Chan, L., & Lakonishok, J. (2004). Value and Growth Investing: Review and
Update. Financial Analysis Journal, 71-86.
Cunningham, L. A. (2004). What is Value Investing. United States: McGraw Hill
Professional.
Department of Economic Research and Monetary Policy. (2013). 2012 Economic
Report on Indonesia. Bank Indonesia.
Dhir, R. (2019, 8 15). Efficient Market Hypothesis: Is the Stock Market Efficient?
Retrieved from Investopedia: https://www.investopedia.com/
Djuema, E. (2010, 12 17). Selama 2010 Kinerja IHSG Fantastis. Retrieved from
Kompas.com: https://ekonomi.kompas.com/
56
Fama, E. (1970). Efficient Capital Markets: A Review of Theory and Empirical
Work. Journal of Finance 25, no 2 (May), 383-417.
Fama, E. (1996). Multifactor explanations of asset pricing anomalies. Journal of
Finance 51, 55-84.
Fama, E. (1996). Multifactor portfolio efficiency and multifactor asset pricing.
Journal of Financial and Quantitative Analysis 31, 441-465.
Fama, E., & French, K. (1992). The cross-section of expected stock return. Journal
of Finance 47, 427-465.
Fama, E., & French, K. (1993). Common risk factors in the returns on stocks and
bonds. Journal of Financial Economics 33, 3-56.
Fama, E., & French, K. (1995). Size and book-to-market factors in earnings and
returns. Journal of Finance 50, 131-155.
Fama, E., & French, K. (1998). Value versus growth: The international evidence.
Journal of Finance 53, 1975-1999.
Ganti, A. (2020, 8 4). Adjusted Closing Price. Retrieved from Investopedia:
https://www.investopedia.com/
Ganti, A. (2020, 10 5). Reverse Stock Split. Retrieved from Investopedia:
https://www.investopedia.com/
Graham, B., & Dodd, D. (1934). Security Analysis. New York, United States:
McGraw Hill New York.
Graham, B., & Dodd, D. (1934). Security Analysis. United States: McGraw Hill
New York.
Hasnawati, S. (2010). The Value and Glamor Stocks Performance at the Indonesia
Stocks Exchange using the Price Earning Ratio Approach. International
Business & Economics Research Journal 9 (7), 43-50.
Haugen, R. (1995). The New Finance: The Case against Efficient Market.
Englewood Cliffs, New Jersey: Prentice Hall.
Hill, J. (2018). FinTech and the Remaking of Financial Institutions. NY, United
States: Elsevier Inc.
Horan, S., Johnson, R., & Robinson, T. (2013). Strategic Value Investing:
Techniques From the World’s Leading Value Investors of All Time. United
States: McGraw Hill Professional.
57
IPO News: Indonesia Stock Exchange Scraps Initial Listing Fee Temporarily.
(2016, 7 21). Retrieved from Indonesia Investments:
https://www.indonesia-investments.com/
Lakonishok, J., Shleifer, A., & Vishny, R. (1994). Contrarian investment,
extrapolation, and risk. Hournal of Finance 49, 1541-1578.
Lee, Y., & Song, Z. (2003). When do Value Stocks Outperform Growth Stocks?
Investor Sentiment and Equity Style Rotation Strategies. EFMA 2003
Helsinki Meetings. Helsinki, Finland.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments
in stock portfolios and capital budgets. Review of Economics and Statistics
47, 13-37.
Lund Research. (n.d.). Independent t-test for two samples. Retrieved from Laerd
Statistics: https://statistics.laerd.com/
Lye, C.-T. (2012). The Performance and Efficiency of Growth and Value Stocks:
Evidence from Asia. The International Journal of Applied Economics and
Finance 6 (1), 17-28.
Markowitz, H. (1952). Portfolio Selection. The Journal of Finance, 77-91.
Marquit, M., & Schmidt, J. (2020, 10 20). What Is A Stock Split—And What Does
It Mean When One Happens? Retrieved from Forbes:
https://www.forbes.com/
Mosavi Kashi, Z. (1999). The Effect of Size Firm on stock Return in Listed
companies in Tehran Stock Exchange. Master Thesis of Shahid Beheshti
University.
Nicholson, S. (1968). Price-Ratios in Relation to Investment Results. Financial
Analyst's Journal, 24(1), January-February, 105-109.
Nugroho, G. D., & Wibowo, A. J. (2017). Risk and Return Evaluation of Glamor
and Value Stock Performance on Indonesian Capital Market. 1-13.
Olin, T. (2011). Value Investing in the Finnish Stock Market. Aalto University
School of Economics.
O'Shaughnessy, J. (2005). What Works on Wall Street: a guide to the bestperforming
investment strategies of all time. New-York, NY, United States:
McGraw-Hill.
58
Parwitasari, W. (2019, 2 7). Govt, IDX still hope to attract more to invest in stock
market. Retrieved from The Jakarta Post: https://www.thejakartapost.com/
Perez, G. ". (2017). Value Investing in the Stock Market of Thailand. International
Journal of Financial Studies.
Pinto, J., Henry, A., Robinson, T., & Stowe, J. (2010). Equity Asset Valuation, CFA
Institute. Hoboken, NJ, United States.: John Wiley & Sons.
Piotroski, J. (2000). Value Investing: The Use of Historical Financial Statement
Information to Separate Winners from Losers. Journal of Accounting
Research 38, 1-41.
Press, T. (2013). Stock Market Investing for Beginners: Essentials to Start Investing
Successfully. Berkeley, California: Callisto Media Inc.
Rabbani, M. F., & Muharam, H. (2018). Value stock and growth stock on Indonesia
stock exchange after global crisis. Diponegoro International Journal of
Business, 8-13.
Rachmattulah, M. F., & Faturohman, T. (2016). The Implementation of Benjamin
Graham Criteria (A Case in Indonesia Market). Journal of Business and
Management Vol. 5, No. 6, 773-782.
Raharjo, S. (2018, 11). Cara Uji Normalitas untuk One Way Anova dengan SPSS
Lengkap. Retrieved from SPSS Indonesia: https://www.spssindonesia.com/
Reilly, F., & Brown, K. (2012). Analysis of Investments & Management of
Portfolios. South-Western: Cengage Learning.
Rousseau, R., & Rensburg, P. (2003). Time and the payoff to value investing.
Journal of Asset Management 4, 318-325.
Sharpe, W. (1964). Capital asset prices: a theory of market equilibrium under
conditions of risk. Journal of Finance 19, 425-442.
Stråhle, M. (2011). Value and growth stocks on the Swedish stock market.
Copenhagen Business School.
Susanto, C. (2017, 7 15). Value Investing and Behavioral Finance. Retrieved from
Medium: https://medium.com/
World Bank Group. (n.d.). GDP Growth (annual %) - Indonesia. Retrieved from
The World Bank: https://data.worldbank.org/
59
Yahyazadehfar, M., Aghajani, H., & Shababi, H. (2010). A Comparison between
Growth and Value Stocks of Listed Companies in Tehran Stock Exchange.
Iranian Economic Review 14 (25), 51-65.
Yesica, E. (2014). Value vs Growth Stocks Returns on the Indonesia Stock
Exchange. Semarang: Faculty of Economics and Business Diponegoro
University.
Zhang, L. (2005). The Value Premium. Journal of Finance 60, 67-103.