ABSTRAK Muazzah, dengan judul “Overreaction terhadap harga saham perusahaan industri makanan dan minuman yang terdaftar di BEI tahun 2007-2011” di bawah bimbingan bapak Drs. Ec. H. Makhmud Zulkifli. M.Si., selaku dosem pembimbing satu dan ibu Purnamawati. SE., Msi., selaku dosen pembimbing dua. Perkembangan pasar modal dalam beberapa decade terakhir ini di Indonesia sangat pesat, terutama bagi dunia usaha dan iklim investasi di Indonesia. Salah satu instrument yang di perdagangkan adalah saham, di mana perubahan harga saham terjadi setiap hari bahkan setiap waktu. Ada beberapa penyimpangan yang dapat mempengaruhi harga saham di antaranya fenomena Januari effect, fenomena day of the week, dan Overreactio. Penelitian ini di lakukan untuk mengatahui adanya reaksi berlebihan terhadap harga saham perusahaan industri makanan dan minuman yang terdaftar di Bursa Efek Indonesia selama tahun 2007-2011 dengan sampel 12. Dengan hari peristiwa saat bulan puasa menjelang lebaran. Reaksi berlebihan in dapat di ukur dengan abnormal return yang di tandai dengan portofolio loser dan portofolio winner. Jenis penelitian ini adalah kuantitatif, pendekatan yang di gunakan adalah deskriptif dan deduktif dengan tujuan untuk membuat gambaran secara sistematis, aktual dan akurat mengenai fakta-fakta dari fenomena yang terjadi serta mengembangkan teori-teori yang ada. Berdasarkan hasil penelitian yang di lakukan dapat di simpulkan pola AAR (Average abnormal return), CAR (Cumulative abnormar return) kelompok portofolio winner dan portofolio loser selama tahun pengujian di temukan adanya reaksi berlebihan di mana portofolio winner dan loser saling menggungguli dan juga di temukannya portofolio winner berbalik arah menjadi portofolio loser. Kata kunci : Overreaction, portofolio loser dan winner, AAR (Average abnormal return), CAR (Cumulative abnormal return)

ABSTRACT Muazzah, "Overreaction to the stock price of food and beverage companies listed in the Indonesia Stock Exchange in 2007-2011". Advisors: (I) Drs. Ec. H. Makhmud Zulkifli. M.Si., (II) and Purnamawati. SE., Msi.,. The growing of Indonesian capital markets in the past few decades is very fast, especially in the business and investment. One of the instruments that are traded is stock, where the stock price changes occur every day and, even, every time. There are some irregularities that can affect the stock price such as January effect, day of the week, and Overreaction phenomena. The objective of this study is to find out the phenomenon of Overreaction to the stock price of the food and beverage companies listed in the Indonesia Stock Exchange in 2007-2011 and the samples are taken as many as 12 samples. The study is conducted during the beginning of the fasting month until the end of the month (Eid al-Fitr). This Overreaction phenomenon can be measured by using abnormal returns that is characterized by winner and loser portfolio. This study applies descriptive and deductive quantitative methods in order to get a systematical, actual and accurate view about facts of recent phenomenon and then to develop the existence theories. The results show that the pattern of AAR (Average abnormal return), CAR (Cumulative abnormal return) of winner and loser portfolios during the study, it is found there is an excessive reaction in which winner and loser portfolios is competing each other and the winner portfolio can reverse into the loser portfolios. Key words: Overreaction, loser and winner portfolios, AAR (Average abnormal return), CAR (Cumulative abnormal returns)

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