Analisis Relevansi Konsep Kualitas Earnings terhadap Return Saham di Pasar Modal Indonesia Khususnya Industri Manufaktur Sektor Barang Konsumsi

Samosir, Musi, Dr. Eko Suwardi, M.Sc.

2008 | Skripsi | S1 Accounting

Walaupun konsep kualitas earnings telah mendapatkan perhatian dan relevansi di pasar modal asing terutama di Amerika Serikat, tidak banyak bukti yang dapat ditemukan mengenai hal ini di Indonesia. Penelitian ini mempelajari relevansi kualitas earnings di pasar modal Indonesia dengan membandingkan return saham perusahaan dengan kualitas earnings tinggi dan rendah seperti ditandai oleh tinggi rendahnya korelasi antara earnings perusahaan dan aliran kasnya. Lebih lanjut lagi, penelitian ini menganalisis hubungan antara kualitas earnings dan return saham dengan meregresi kualitas earnings terhadap return saham. Penelitian ini dilakukan dengan menggunakan data dari Bursa Efek Indonesia khususnya sector barang konsumsi dari industri manufaktur. Pemilihan ini bertujuan terutama untuk menghilangkan bias yang mungkin muncul karena karakteristik industri dan pengaruhnya terhadap kebijakan akuntansi. Penelitian ini menemukan, sesuai dengan hipotesis yang diajukan, bahwa kualitas earnings relevan di pasar modal Indonesia seperti dapat dilihat pada perbedaan statistis yang signifikan antara return saham perusahaan dengan kualitas earnings tinggi dan rendah. Sebagai tambahan, hasil regresi juga memberikan dasar untuk menyimpulkan relevansi kualitas earnings di pasar Indonesia seperti ditunjukkan oleh hubungan statistis positif signifikan dengan return saham. Kata kunci: kualitas earnings, relevansi, return saham, aliran kas

Although the concept of earnings quality has gained recognition and relevance in foreign markets especially in the United States, little evidence can be found regarding the issue in Indonesia. This study investigates the relevance of earnings quality in Indonesian market by comparing the stock returns of companies with high and low earnings quality as indicated by the correlation between a company's earnings and its cash flow. Furthermore, the study analyzes the relation between earnings quality and stock return by regressing the latter on the former. The study is conducted using the data obtained from Bursa Efek Indonesia (Indonesia Stock Exchange) specifically from consumer goods sector of the manufacturing industry. This selection is mainly intended to eliminate bias that is possible to occur due to industry characteristic and its influence on accounting policy. The study finds, affirming the proposed hypotheses, that earnings quality is relevant in Indonesian market as can be seen in the statistically significant difference between the stock returns of firms with high earnings quality measure and the stock returns of firms with low earnings quality measure. Additionally, the regression also provides basis to justify earnings quality's relevance in Indonesian market in that the earnings quality measure used in the study has statistically significant positive relationship with stock returns. Keywords: earnings quality, relevance, stock returns, cash flow.

Kata Kunci : Kualitas Earnings; Return Saham; Pasar Modal Indonesia; Industri Manufaktur; Investasi