Hubungan variabel fundamental dengan retrun saham di Indonesia :: Studi kasus pada Bursa Efek Jakarta

TARIGAN, Andri, Prof.Dr. Mas'ud Machfoedz, MBA

2002 | Tesis | Magister Manajemen

Selama tahun 1990 - 1996, pasar modal di lndonesia mengalami pertumbuhan yang sangat cepat. Volume perdagangan selama periode tersebut tumbuh rata-rata 34 kali per tahun, sedangkan nilai transaksi tumbuh rata-rata 8 kali per tahun. Kompetisi semakin meningkat dan pelaku pasar modal, khususnya investor, dituntut untuk lebih smart dalam membaca serta menyikapi setiap peluang yang ada. Berbagai instrumen untuk analisa mengenai saham terus dikembangkan untuk memberikan keputusan investasi yang tepat dan baik agar menghasilkan return seperti yang diharapkan. Penelitian ini memfokuskan pada korelasi antara return saham dengan tujuh variabel fbndamental yang terdapat dalam laporan keuangan emiten: sinyal persediaan (inventory), sinyal piutang dagang (account receivables), sinyal laba kotor (gross margm), sinyal biaya penjualan dan administrasi (sales and administration expenses), sinyal pajak efektif (efective tax rate), sinyal pengeluaran modal (capital expenditure), dan sinyal tenaga kerja (labor force). Disamping itu penelitian ini juga dikembangkan pada hubungan antara tujuh sinyal tersebut terhadap perubahan laba satu tahun ke depan (one-yearuhead earnings change) serta rata-rata geometrik pertumbuhan laba selama lima tahun Dve-year geometric mean growth in earnings). Sampel diambil sebanyal 113 saham selama tahun 1990 - 1996 serta listing di Bursa Efek Jakarta. Faktorfirm size juga turut dipertimbangkan dalam penelitian ini. Hasil empiris menunjukkan bahwa tidak ada korelasi yang signifikan antara tujuh variabel findamental dengan return saham. Namun sinyal pajak efsktif (eflective tux rate) berkorelasi signifikan dengan perubahan laba satu tahun ke depan (one-year-ahead earnings change) , dan sinyal laba kotor (qoss margin) berkorelasi signifikan dengan rata-rata geometrik pertumbuhan laba selama lima tahun cfive-year geometric mean growth in earnings). Disamping itu sinyal persediaan (inventory) berkorelasi signifikan dengan return pada kelompok perusahaan kecil, sinyal sinyal pajak efektif (effective tax rate) berkorelasi signifikan dengan perubahan laba satu tahun ke depan (one-year-ahead earnings change) pada kelompok perusahaan besar, dan sinyal laba kotor (gross margin) berkorelasi signifikan dengan rata-rata geometrik pertumbuhan laba selama lima tahun cfive-year geometric mean growth in earnings) pada kelompok perusahaan besar

During 1990 - 1996, capital market of Indonesia was experiencing the growth very rapidly. Trade volume grows on average 34 times per year, and trade value grows on average 8 times per year. Competition becomes tighten and investor has to be smarter to read and to appreciate every opportunity. Many tools for analyzing of stocks has been developed continuously to get return as expected. This research focus to find out the correlation between return and the seven fbndamental variables in financial statement: signal of inventory, signal of account receivables, signal of gross margin, signal of sales and administration expenses, signal of effective tax rate, signal of capital expenditure, and signal of labor force. Meanwhile, this research also extended to find out the correlation between the seven fbndamental variables and one-year-ahead earnings change, and fiveyear geometric mean growth in earnings. Number of samples is 1 13 during 1990 - 1996 and listed at Jakarta Stock Exchange. Firm size also considered in this research. Empirical result shows that there is no significant correlation between the seven fbndamental variables and return. However, signal of effective tax rate correlated significantly to one-year-ahead earnings change, and signal of gross margin correlated significantly to five-year geometric mean growth in earnings. Meanwhile, signal of inventory correlated significantly to return in small firms, and signal of effective tax rate correlated significantly to one-year-ahead earnings change in big firms, and signal of gross margin correlated significantly to five-year geometric mean growth in earnings in big firms.

Kata Kunci : Return Saham,Variabel Fundamental, hndamental variables, return, inventory, account receivables, gross margin, sales and administration expenses, effective tax rate, capital expenditure, labor force, earnings, firm size