Pengaruh Degrees of Operating, Financial dan Economic Leverage terhadap Risiko Sistematik: studi empiris di Indonesia

Astuti, Novita Woro, Dr. Erni Ekawati, M.B.A., M.S.A.

2006 | Tesis | S2 Management

Penelitian ini menguji pengaruh antara Degree of Operating Leverage (DOL), Degree of Financial Leverage (DFL) dan Degree of Economic Leverage (DEL) terhadap risiko sistematik. Pada penelitian ini diajukan proksi baru yaitu Degree of Economic Leverage sebagai variabel yang mengukur tingkat risiko ekonomi perusahaan yang pertama kali dikembangkan oleh Hawawini dan Viallet

(1999). Pengestimasian variabel DOL, DFL dan DEL pada penelitian ini menggunakan metoda O'Brian dan Vanderheiden (1987) yang merupakan kritik terhadap metoda pengestimasian DOL dan DFL sebelumnya. Pengujian terhadap 89 perusahaan sampel yang terdaftar di BEJ dilakukan dalam dua kelompok yaitu kelompok perusahaan dan kelompok industri yang masing-masing diuji secara restricted dan full model. Hasil penelitian yang didapat DOL tidak berpengaruh signifikan terhadap risiko sistematik pada seluruh kelompok pengujian dan DEL berpengaruh negatif signifikan pada kelompok perusahaan. Variabel DFL memiliki pengaruh positif signifikan terhadap risiko

sistematik pada kelompok industri. Penelitian ini tidak menguji untuk kelompok portfolio karena kekurangan sampel sehingga jumlah sampel merupakan keterbatasan dalam penelitian ini. Kata Kunci : Degree of Operating Leverage, Degree of Financial Leverage, Degree of Economic Leverage, risiko sistematik

This research examines the influence of the Degree of Operating Leverage (DOL), the Degree of Financial Leverage (DFL), and the Degree of Economic Leverage (DEL) on systematic risk. In this study, a new proxy is proposed, which is the Degree of Economic Leverage, firstly developed by Hawawini and Viallet (1999) to be a variable measuring the economic risk level of a company. The estimates of DOL, DFL, and DEL variables in this research are measured using O'Brian and Vanderheiden's (1987) method, which is basically a critique on previous DOL and DFL estimation method. The test on 89 samples of companies listed on the Jakarta Stock Exchange is conducted for two clusters. The first is company cluster whilst the second is industry cluster, of which are examined using restricted and full model. This study finds that DOL does not significantly influence the systematic risk for all tested clusters. Meanwhile, DEL has a significantly negative influence for company

cluster, and DFL shows a significantly positive influence on the systematic risk for industry cluster. This research does not examine portfolio group owing to the

lack of samples such that the number of samples is indeed a limitation of this study. Keywords: degree of operating leverage, degree of financial leverage, degree of economic leverage, systematic risk.

Kata Kunci : Degrees of Operating; Financial; Economic Leverage; Risiko Sistematik; Indonesia