Pengaruh Penerapan Good Corporate Governance terhadap Return Saham di Indonesia

Afid, Ahmad, Dr. Mamduh M. hanafi, M.B.A.

2007 | Skripsi | S1 Management

In the past few years, good corporate governance has become a popular area of discussion around the world. Its been identified as one which cause economic crisis in US, Europe, Asia, and of course an enormous economic catastrophe that we faced in 1997/1998. In this paper, I analyze whether the implementation of good corporate governance may leads to higher common stock returns in Indonesia. I build two portfolios consisting of well-governed companies and less-governed companies and compare their stock returns for 60 months since January 2002 and I found that well-governed portfolios returns exceed less-governed portfolio. But, the excess returns weaken substantially and become statistically insignificant after being adjusted by market exposure factor, size factor, B/M factor, and momentum factor. This result shows that in Indonesia, good corporate governance doesnt lead to higher stock returns. This result differs from some research results in Europe and US. This difference may be caused by the concept and regulation of good corporate governance in Indonesia which is imperfect and not settled yet, so investors in Indonesia isnt consider it for their investment strategy. Keywords: good corporate governance, stock returns, agency cost

Kata Kunci : Good Corporate Governance; Return Saham; Manajemen Perusahaan