We investigate the profitability of style and price momentum strategy in the Indonesian stock market from the year 2000 to 2015. We find the style momentum strategy yields significant positive returns while the price momentum strategy tends to produce negative returns. This result confirms the findings of Lewellen (2002) that style momentum returns are generally stronger than the conventional momentum. The average monthly returns of the double-sorted size-B/M style momentum are ranging from 1.98% to 2.64% and persistent after controlling for market factor using JSX index. Our findings suggest investors should utilize publicly available information such as size and book-to-market ratio on their investment decision in the Indonesian stock market.

中文翻译：

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动量策略的盈利能力：印尼证券交易所研究

我们调查了2000年至2015年间印尼股票市场风格和价格动量策略的盈利能力。我们发现风格动量策略可产生显着的正收益，而价格动量策略往往会产生负收益。这一结果证实了Lewellen（2002）的发现，即风格动量的回报通常要强于传统动量。大小B / M风格的双重排序动量的平均月回报在1.98％至2.64％的范围内，并且在使用JSX指数控制了市场因素之后保持不变。我们的研究结果表明，投资者在印尼股票市场的投资决策中应利用公开信息，例如规模和账面市值比。