ABSTRACT
This study aims to find out the application of the efficiency theory to changes in valuation in food and beverages (F&B) companies listed on the Indonesia Stock Exchange in 2017–2019. The efficiency theory states that changes in stock prices are influenced by changes in the fundamental factors of the company. Changes in stock prices that are contrary to fundamental changes indicate an inefficient market. The results of this study can assist investors in making investment decisions. This study gives investors a model that they can use in making investment decisions using company fundamental data with indicators such as price to selling ratio, price to earnings ratio, and price to book value ratio. The ratios were obtained from the 2017–2019 quarterly financial reports. The market efficiency data on stock prices were data on the day the financial statements were issued (t), the day before the financial statements were issued (t-1), and one day after the financial statements were issued (t+1). Then, changes in stock prices were compared with changes in the fundamental value of the company’s financial statements to obtain the market efficiency value for every F&B company during the 2017–2019 time period. This study obtained the efficiency level and company valuation in three stages: first, the calculation of the company’s fundamental figures and their quarterly development; second, the calculation of the share movement according to the financial statement publication date; and third, an analysis of share movement relevance to the company’s fundamentals to obtain the market efficiency value of each company.
