Analisis tingkat pengembalian saham dalam jangka panjang untuk perusahaan public

Azman, Ikhsan (2004) Analisis tingkat pengembalian saham dalam jangka panjang untuk perusahaan public. Masters thesis, Institut Pertanian Bogor.

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Official URL: http://elibrary.mb.ipb.ac.id

Abstract

STOCK RETURN OVER LONG RETURN INTERVAL ANALYSIS FOR PUBLIC COMPANY Ikhsan Azman Capital market is part of financial market connecting fund supply and demand. Special nature of capital market is an uncertainty in the quality of product offered, seen from price, interest and dividend payment aspects. To lessen this uncertainty, investor need information which amongst all can be obtained from the accounting information, in order to evaluate the risks attached to the investment and estimate the rate of return to be obtained from the investment. This accounting information can be obtained from the financial report containing balance sheet, profit and loss report, and cash flow report. Earning is the most dominant measurement in the market, so studies about the interrelation between the rate of return and the profit have been mostly conducted by previous researchers. However, Earning might cause asymmetric information between the management and the investor, since the management is the performance evaluation maker. The management has policies in determining the accrual and policies in manipulating the profit for certain purposes. Thus, this signal can enhance earning potential in the company's performance with the assumption that the management has superior information about the company's potential to produce cash. To avoid this, cash flow can be used as alternative or additional information. But the cash flow is restricted by timing and matching issues. These issues can be avoided if the period of study is extended. The aim of this study is to find out the relation between the rate of return of stock and earning, in this case the net profit per stock, and the relation between the rate of return with the cash flow of the investment activities from the funding activities. The study was carried out at a food and beverage industry company registered in Jakarta Stock Exchange since 1994 until 2002 (8 years). The study used linear regression model, which data per stock was then scaled with the starting price. Data were obtained from the Indonesian Capital Market Directory, the JSX Monthly, the JSX Quarter, and the Cash Flow Report of each company. The regression testing was carried out using data pooling. As the supplement of this testing, econometric testing, i.e. multicolinearity and heterokedasticity testing, was carried out. It seemed that the relation between the rate of return of stock and the profit was higher than the relation between the rate of return of stock and the operational cash flow for a year interval. But, in two years interval, the relation between the rate of return and the operational cash flow was higher than the relation between the rate of return of stock and the profit. In two years interval, both relations were not so different (the score was almost the same), while in four years interval, the relation between the rate of return and the operational cash flow was higher than the relation of the rate of return of stock and the profit, meaning that we could say that the cash flow, particularly the operational cash flow, could be used as the profit substitute in determining the rate of return of stock. From the econometric testing, it can be concluded that there was no multicolinearity and heterokedasticity symptoms in this model. Consistent with the previous study, the regression equation shows positive coefficients for the profit and the operational cash flow, and the increase of relation was in line with the increase of the time interval of study was. This means that the higher rate of return of stock is received, the higher profit and the operational cash flow are.

Item Type: Thesis (Masters)
Uncontrolled Keywords: Saham, Pasar Modal, Tingkat Pengembalian, Laba, Arus Kas, Deviden, Bursa Efek Jakarta, Investor, Perusahaan Industri Makanan dan Minuman, Pengujian Regresi, Pengujian Ekonometrik
Subjects: Manajemen Keuangan
Depositing User: Library
Date Deposited: 26 Dec 2011 06:12
Last Modified: 26 Dec 2011 06:12
URI: http://repository.sb.ipb.ac.id/id/eprint/164

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