MOJAKOE INVESTASI DAN PASAR MODAL

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MOJAKOE

INVESTASI DAN PASAR MODAL

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Ujian Tengah Semester Gasal 2011/2012 Manajemen Investasi

Petunjuk: kerjakan hanya 4 (empat) soal saja dari soal-soal berikut.

Soal 1

Berdasarkan pemahaman Anda tentang CAPM, tentukan saham mana saja yang undervalued, overvalued, dan fairly priced jika suku bunga SBI adalah 7% dan rata-rata premi risiko pasar adalah 10%? Gambarkan security market line dan posisi keempat saham di atas.

Saham Harga Saat Ini Estimasi Harga Tahun Depan

Expected Dividend

Beta

A 600 630 60 0,8

B 700 745 75 1

C 800 860 90 1,2

D 900 980 100 1,4

Soal 2

Seorang analis telah mengumpulkan data dari enam saham dan ingin membuat indeks dari keenam saham tersebut.

Saham

31 Desember 20X0 31 Desember 20X1 Harga/Lembar Jumlah Saham

Beredar Harga/Lembar Jumlah Saham Beredar

1 Rp 800 20.000 Rp 1.000 20.000

2 Rp 200 5.000 Rp 250 5.000

3 Rp 600 12.000 Rp 400 12.000

4 Rp 150 3.000 Rp 100 9.000*

5 Rp 500 18.000 Rp 800 18.000

6 Rp 250 4.500 Rp 200 4.500

*Stock split 3-1

a. Jika nilai dasar indeks adalah 100, hitung indeks pada 31 Desember 20X1 jika menggunakan price-weighted index dan value-weighted index.

b. Untuk jenis-jenis instrument keuangan berikut: Surat Utang Negara, Commercial Paper, Obligasi Swasta, Saham, dan stock option, jelaskan secara ringkas karakteristiknya termasuk risiko dan return-nya serta urutkan dari yang risikonya paling rendah sampai risikonya paling tinggi.

Soal 3

Berikut informasi expected return, standar deviasi dan korelasi saham A, B, C, dan D.

Correlations with

E(R_i) σi A B C D

A 15% 10% 1.0

B 12% 8% 0.6 1.0

C 30% 20% 0.2 -1.0 1.0

D 22% 16% 0.5 0.3 0.8 1.0

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a. Jika portofolio X terdiri dari 40% saham A dan sisanya saham B, berapa expected return dan standar deviasi portofolio tersebut?

b. Jika portofolio Y terdiri dari 20% saha, A, 30% saham C dan sisanya saham D, berapa expected return dan standar deviasi portofolio tersebut?

c. Jika portofolio X (pada soal b), Y (soal c) dan Z berada pada garis CML, berapa bobot X dan Y pada portofolio Z agar expected return-nya 35%?

d. Berapa Rf pada garis CML tersebut? 9Petunjuk: hitung terlebih dahulu slope garis CML menggunakan X dan Y)

Soal 4

Anda adalah seorang investor yang ingin menginvestasikan uang anda pada PT Tjokro Old Pulp

& paper Tbk (TOPP). Harga saham TOPP sekarang di BEI dengan harga Rp 5.000. Akhir tahun lalu TOPP mengumumkan dividennya sebesar Rp 500/saham. Berdasarkan informasi dari Bloomberg diketahui bahwa nilai beta TOPP adalah 1,1. Sementara perkiraan ROE dan DPR TOPP adalah sebagai berikut.

Tahun ROE DPR

2011 20% 50%

2012 15% 50%

2013 10% 60%

2014 7% 60%

2015 5% 50%

Suku bunga SBI sebesar 8% dan premi bunga pasar adalah 6%. Melalui serangkaian perhitungan, diproyeksikan pertumbuhan dividen tahun 2016 dan seterusnya sebesar 3%.

a. Hitunglah harga saham per tanggal 1 Januari 2011!

b. Apa yang akan anda lakukan jika anda adalah investor TOPP? Jelaskan jawaban saudara!

c. Dengan data yang sama, TOPP memutuskan untuk tidak menggunakan growth 3% pada tahun 2016 dan seterusnya melainkan memberikan dividen tetap senilai Rp 1000/lembar.

Apakah hal ini mempengaruhi keputusan Anda?

d. Menurut pendapat Anda, kapan DDM model tepat digunakan untuk menilai suatu saham?

Jelaskan! Dan metode apa yang digunakan bila perusahaan tidak membagikan dividen walaupun memperoleh laba.

e. Bila kondisi pasar sedang fluktuatif seperti saat ini maka sebaiknya strategi passive atau active yang dilakukan investor. Jelaskan!

Soal 5

a. Sule membeli saham INCO pada harga Rp3.600 per saham sebanyak 2.000 lot dengan marjin awal 50%.

- Jika biaya transaksi diabaikan dan margin call 35%, hitungkah harga margin call.

- Berapa rasio utang dan jumlah uang yang harus disetor jika harga INCO turun menjadi Rp 2.600?

b. Kanjeng Mami mendapatkan fasilitas marjin dengan marjin awal (setoran jaminan) 50%

dan marjin call 30%. Dia menggunakannya untuk menjual (short) saham PTBA pada harga Rp 18.000 sebanyak 2000 lot.

- Hitung harga marjin call short untuk transaksi ini.

- Jumlah dana yang harus disetor Kanjeng Mami jika harga PTBA naik menjadi Rp 22.000.

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PEMBAHASAN

Soal 1

Diketahui: Rf = 7%; (Rm-Rf) = 10%

Saham A

Total Return A = Capital Gain + Dividend

= (630-600) + 60

= x 100%

= 15%

VoA =

= =

^{= 600}

E(R_A) = Rf + β(Rm-Rf)

= 7% + 0.8 (10%)

= 15%

Conclusion: Fairly priced since actual and expected return (15%) shows the sampe percentage and Vo equals So (600=600). Hence, market value (Po) equals to intrinsic value (Vo)

Saham B

Total Return B = Capital Gain + Dividend

= (745-700) + 75

= x 100%

= 17.43%

Vo_B =

=

^{= 709,56}

E(RB) = Rf + β(Rm-Rf)

= 7% + 1 (10%)

= 17%

Conclusion: Undervalued, since expected return shows is less than actual return (17% < 17.43%) and market value (Po) less than intrinsic value (Vo)  (700 < 709.56)  BUY

Saham C

Total Return C = Capital Gain + Dividend

= (860-800) + 90

= x 100%

= 18.75%

VoC =

=

= 782.61

E(RC) = Rf + β(Rm-Rf)

= 7% + 1.2 (10%)

= 19%

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Conclusion: Overvalued, since expected return shows larger percentage than actual return (19%

> 18.75%) and market value (Po=800) is above intrinsic value (Vo = 782.61) SELL Saham D

Total Return D = Capital Gain + Dividend

= (980-900) +100

= x 100%

= 20%

Vo_D =

=

^{= 825.76}

E(RD) = Rf + β(Rm-Rf)

= 7% + 1.4 (10%)

= 21%

Conclusion: Overvalued, since expected return shows larger percentage than actual return (21%

> 20%) and market value (Po=900) is larger than intrinsic value (Vo = 825.76) SELL

By drawing security market line (SML) which shows relationship betwwen systematic risk (β) at x-axis and expected return (E(R)) at y-axis, we could see distribution of stocks whether they are undervalued, overvalued, and fairly priced. Fairly priced stock lied along the SML. Undervalued stock lied above the SML then overvalued stock lied below the SML. Undervalued stock will be bought till its expected return decrease and near down then finally lied along the SML. Meanwhile, the overvalued stock will be sold and increase its expected return until lied along the SML.

Soal 2

a) Price-wighted index

31 Desember 20X0 = x 100%

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=

x 100%

= 100

=

x 100%

= 110  not fair since it is happened due to stock split 3-for-1, not real increase in stock value

=

x 100%

= 0.98

Value weighted index

=

x 100%

= 100

31 Desember 20X1 = x100%

=

x 100%

= 121.5  not fair since it’s happened due to stock split 3-for-1, not real increase in stock value

=

x100%

= 101.08

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b)

 Surat Utang Negara (SUN) included in money market as bonds, which is traded by the government to public. SUN is a risk-free asset (0%) because it is guaranteed with the country’s assets. Government bankruptcy

probability is very low, thus the risk rate is considered as zero and becomes a starting point for risk assessment for other assets. Due to its low risk, SUN also has low return.

 Commercial paper is classified in money market as short term investment, liquid, and relatively has low risk. Commercial paper usually has duration for 270 days and has low risk in losing its value or has different value significantly from the principal value. Risk for commercial paper is relatively low.

 Municipal bonds are bonds which are issued by private company in capital market. It has high risk, higher than market risk then it gives higher return. It can be sold at premium, par value, or discount.

Investment duration has time range between 3 – 5 years.

 Stocks are ownership evidence in a company which is traded in capital market. It has relatively high risks, thus it gives risk premium for each additional risk (Rm-Rf). It also has return in forms of capital gain (difference between selling and buying price) and dividend.

 Stock option is a right to buy or sell stocks in future time at certain price and has time duration. It consists of puts and calls, which is traded in derivative market. The main difference between stock option and future contracts, option is a right, meanwhile future contracts are an obligation and has limited liability. It has high risk and used for hedging.

Order based on smallest risk: (1) SUN, (2) Commercial Paper, (3) Municipal Bonds, (4) Stocks, (5) Stock Option

Soal 3

a) Portfolio X

Diketahui W

_A

= 40%; W

_B

= 60%

E(R

p

) = (W

A

x R

A

) + (W

B

x R

B

)

= (40% x 15%) + (60% x 12%)

= 13.2%

σ

Px

= [(W

A

2

x σ

A

2

) + (W

B 2

x σ

B

2

) + (2 x W

A

x W

B

x σ

A

x σ

B

x ρ

AB

)]

^1/2

= [(0.4

²

x 0.1

²

) + (0.6

²

x 0.08

²

) + (2 x 0.4 x 0.6 x 0.1 x 0.08 x

0.6)]

^1/2

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= [0.0016 + 0.002304 + 0.0002304]

^1/2

= [0.006208]

^1/2

= 0.0788 = 7.88%

b) Portfolio Y

Diketahui W

A

= 20%; W

C

= 30%; W

D

= 50%

E(R

p

) = (W

A

x R

A

) + (W

C

x R

C

) + (W

D

x R

D

)

= (20% x 15%) + (30% x 30%) + (50% x 22%)

= 23%

σ

_Py

= [(W

_A²

x σ

_A²

) + (W

_C²

x σ

_C²

) + (W

_D²

x σ

_D²

) + (2 x W

_A

x W

_C

x σ

_A

x σ

_C

x ρ

_AC

) +

(2 x W

A

x W

D

x σ

A

x σ

D

x ρ

AD

) + (2 x W

C

x W

D

x σ

C

x σ

D

x ρ

CD

)]

^1/2

= [(0.2

²

x 0.1

²

) + (0.3

²

x 0.2

²

) + (0.5

²

x 0.16

²

) + (2 x 0.2 x 0.3 x 0.1 x 0.2 x 0.2) +

(2 x 0.2 x 0.5 x 0.1 x 0.16 x 0.5) + (2 x 0.3 x 0.5 x 0.2 x 0.16 x 0.8)]

^1/2

= [0.0004 + 0.0036 + 0.0064 + 0.00048 + 0.0016 + 0.00768]

^1/2

= [0.02016]

^1/2

= 14.20%

c) Z = X + Y; E(R

Z

) = 35%

35% = (W

X

x 13.2%) + (1-W

X

) x 23%

0.35 = 0.132 W

X

+ 0.23 – 0.23 W

X

0.12 = - 0.098 W

_X

W

_X

= - 1.22

W

Y

= 1 – (- 1.22) = 2.22

Short sale portfolio X for 122 % to get portfolio Y for 222 % at required return for 35%.

d)

Slope CML =

=

= 1.55

σZ = (-1.22)²(7.88%)² + (2.22)²(14.2%)² + 2(-1.22)(2.22)(7.88%) (14.20%)(1.55)

= 0.1173 + 0.0994 – 0.0606

= 0.1561 = 15.61%

Rf = E(RZ) – (σZ x slopeCML) = 35% - (15.61% x 1.55)

= 0.0847 = 8.47%

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Soal 4

Diketahui: So = Rp5.000; Do = Rp 500/saham; β = 1.1; Rf = 8%; (Rm-Rf) = 6%;

g tahun 2016 dst = 3%

a) Rk = Rf + β (Rm-Rf)

= 8% + 1.1(6%) = 0.146 = 14.6%

g = ROE x (1-DPR) g1 = 20% x (1-50%) = 10%

g2 = 15% x (1-50%) = 7.5%

g3 = 10% x (1-60%) = 4%

g4 = 7% x (1-60%) = 2.8%

g5 = 5% x (1-50%) = 2.5%

g6 = 3%

D1 = Do (1+g1) = 500(1+ 10%) = 510 D2 = D1(1+g2) = 510(1+7.5%) = 548.25 D3 = D2(1+g3) = 548.25(1+4%) = 570.18 D4 = D3(1+g4) = 570.18(1+2.8%) = 586.15 D5 = D4(1+g5) = 586.15(1+2.5%) = 600.80 D6 = D5(1+g6) = 600.80(1+3%) = 618.82

b) Vo =

+ + + + + ( x )

= + + + +

+ ( x )

=

445.03 + 417.45 + 378.84 + 339.84 + 303.95 + 2,355.04

= Rp 4,240.15

Conclusion: Intrinsic value (Vo= Rp 4,240.15) is less than market value (Po = Rp5.000), thus the stock is overvalued. As an investor in PT TOPP, I would like to sell the stock.

c) Vo =

+ + + + +

⁼

+ + + +

+

= Rp 8,734.43

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Conclusion: Intrinsic value (Vo= Rp 8,734.43) is above than market value (Po= Rp5.000) Thus the stock is undervalued. As an investor in PT TOPP, I would like to buy the stock.

d) Dividend Discount Model (DDM) is appropriate to asses the value of stocks, when assumptions bellow are fulfilled:

 Company pays dividend for its shareholder

 Company gives stable dividend and the estimate of dividend is known

 Dividend growth rate is known

When company does not give dividend to its shareholder, we can use capital asset pricing model (CAPM)  Rk = Rf + β(Rm-Rf). CAPM considers risks of the industry in the market (systematic risks) and risks premium compared to risk-free asset (Rm-Rf).

e) When market is fluctuative, it is better to use active strategy since there is possibility of taking advantage from fluctuative price. It will create possibility to have differential between selling price and buying price, so there will be capital gain. However, investor needs to asses information availability in the market. Information in the market are reflected in stock price, thus bad information will result capital loss and decline in stock value.

Soal 5

Ket. : 1lot = 500

a) Stock value = Rp 3,600 x 2,000 lot x 500 = Rp 3,600,000,000 Initial margin = 50%; margin call = 35%

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Assets Liabilities + OE

Assets Rp 3,600,000,000 Liabilities Rp 1,800,000,000 Equity Rp 1,800,000,000*

*equity = 50% x Rp 3,600,000,000; 50% is initial margin

Margin call price =

⁼

= Rp 2,769,230.769 / (2000lot x 500)

= Rp 2,769.23 (2) Liablity Ratio and Given Funds

Cash x Liabilities Rp 1,800,000,000

Stock Portfolio Rp 2,600,000,000 Equity Rp 800,000,000 + x

Debt Ratio = x 100% = 69,23 %

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Equity Ratio = 35 %

Margin = x 100% = 30, 77% < 35%

800,000,000 + x = 35% (2,600,000,000 + x) 800,000,000 + x = 910,000,000 + 0.35x

0.65x = 110,000,000 x = Rp 169,230,769.2

b) Short sale value = Rp 18,000 x 2,000 lot x 500 = Rp 18,000,000,000 Initial margin = 50%; margin call = 30%

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Assets Rp 27,000,000,000 Liabilities Rp 18,000,000,000 Equity Rp 9,000,000,000*

*equity = 50% x Rp 18,000,000,000; 50% is initial margin

Margin call price =

⁼

= Rp 20,769,230.770 / (2000lot x 500) = Rp 20,769.23 (2)

Assets Rp 27,000,000,000 Liabilities Rp 22,000,000,000*

Equity Rp 5,000,000,000

*liabilities= Rp22,000 x 2,000 lot x 500

Margin = x 100%

= 18.52 < 30%

= 30%

5,000,000,000 + x = 6,600,000,000 + 0.3x 0.7x = 1,600,000,000

x = Rp 2,285,714,286