Kemampuan analisis laporan keuangan untuk memprediksi retusn saham di kategori oleh jenis industri dan kepatuhan penyajian laporan segmental: Bursa Efek Jakarta 2001-2005
Nursasmito, Irfan (Adv. Prof. Dr. Mas'ud Machfoedz, MBA), Prof. Dr. Mas'ud Machfoedz, MBA
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The prior researcher that's interlaced with benefits of fundamental financial ratios is cross into two opposite sides, the first said that fundamental financial ratios is useful to predict the corporate value (Gibson, 1986), and the second one said that the use is minimum, or even useless to the external user (O'Connor, 1973; Deakin, 1976). This research is on the first side, that is: financial ratios are useful to predict the corporate value. Therefore, this research will evaluate: (1) whether fundamental financial analysis able to predict the corporate value, (2) whether industrial category is moderating the association between financial ratios and corporate value, (3) whether obedience of segmental report category is moderating the association between financial ratios and corporate value, and (4) whether industrial category and the obedience of segmental report are simultaneously moderating the association between financial ratios and corporate value.
Stock returns, as a proxy to the company's value, is a dependent variable, and financial ratios as the independent variables used, is appropriate with the variables that are used by Ou and Penman (1989), is 68 ratios. Whereas, the kind of industrial and the segmental report as new independent variables that are included in the research, are used to understanding whether those two variables are moderating the financial ratios in term of stock returns. The result of this research is expecting that those two variables are affecting that association.
Based on data in BEJ 2001 - 2005, the research finding showed the evidence that; (1) there's an association between financial ratios and stock returns (although just two ratios from 63 financial ratios), (2) mining industries proved that categorically had an affection to the financial ratios and stock returns, which is categorically different from other industries, (3) product segment reports also showed that categorically affecting the relation between financial ratios and stock returns, which is categorically different from other segment reports.
For the future research, it is suggested; (1) to use the direct audited financial report's data from each company, (2) to choose the period that's not affected from the influence of changing value of rupiah to American dollar. Those are suggested because the data that will be analyzed on this research is so influenced by those conditions, and that probably will make the research's result become bias.
Kata Kunci : fundamental report, financial ratios, stock returns, kind of industry, and segmental report
