Pengaruh pemoderasi aliran kas kejutan terhadap hubungan antara set kesempatan investasi dan reaksi pasar

KUMALAHADI, Promotor Prof.Dr. Mas'ud Machfoedz, MBA

2004 | Disertasi | S3 Ilmu Ekonomi

Penelitian ini bertujuan untuk menguji pengaruh pemoderasian aliran kas kejutan terhadap hubungan antara set kesempatan investasi (SKI) dan reaksi pasar. Secara lebih spesifik penelitian ini menguji bahwa (1) semakin besar aliran kas operasi kejutan, hubungan antara SKI dan reaksi pasar semakin kuat (hipotesis 1), (2) semakin besar aliran kas investasi kejutan, hubungan antara SKI dan reaksi pasar semakin kuat (hipotesis 2), (3) semakin besar aliran kas pendanaan kejutan, hubungan antara SKI dan reaksi pasar semakin lemah (hipotesis 3), dan (4) semakin besar perubahan kas kejutan, mempengaruhi hubungan antara SKI dan reaksi pasar (hipotesis 4), Pengujian hipotesis dilakukan dengan mengembangkan model- model regresi linier. Variabel dependen untuk setiap model adalah cumulative abnormal return, dan variabel independen untuk model 2 (digunakan menguji hipotesis 1) adalah SKI, aliran kas operasi kejutan, dan interaksi antara SKI dan aliran kas operasi kejutan. Variabel independen model 3 (digunakan menguji hipotesis 2) adalah SKI, aliran kas investasi kejutan, dan interaksi antara SKI dan aliran kas investasi kejutan. Variabel independen model 4 (digunakan menguji hipotesis 3) adalah SKI, aliran kas pendanaan kejutan, dan interaksi antara SKI dan aliran kas pendanaan kejutan. Variabel independen model 5 (digunakan menguji hipotesis 4) adalah SKI, perubahan kas kejutan, dan interaksi antara SKI dan perubahan kas kejutan. Lebih lanjut, SKI lag 1, ukuran perusahaan, beta, dan total utang dimasukkan sebagai variabel kontrol pada setiap model. Parameter-parameter model tersebut ditaksir dengan menggunakan data panel yang terdiri atas 83 perusahaan pemanufakturan yang terdaftar di Bursa Efek Jakarta pada akhir tahun 1999. Penelitian ini menggunakan 2 perioda pengamatan yaitu 1996-1997 dan 1998-1999. Hasil pengujian menunjukkan bahwa bukti empiris mendukung semua hipotesis pada perioda 1996-1997, sedangkan pada perioda 1998-1999 hanya mendukung hipotesis 1 dan 3. Kegagalan untuk mendukung hipotesis 2 dan 4 pada perioda 1998-1999 disebabkan karena pada perioda tersebut terjadi krisis ekonomi sebagaimana alasan yang digunakan oleh Sutopo (2000) dan Machfoed (1999). Secara umum dapat disimpulkan bahwa aliran kas kejutan mempengaruhi hubungan antara SKI dan reaksi pasar. Penelitian ini memberikan kontribusi berupa bukti empirik bahwa (1) semakin besar aliran kas operasi kejutan, hubungan antara SKI dan reaksi pasar semakin kuat, (2) semakin besar aliran kas investasi kejutan, hubungan antara SKI dan reaksi pasar semakin kuat, (3) semakin besar aliran kas pendanaan kejutan, hubungan antara SKI dan reaksi pasar semakin lemah, dan (4) semakin besar perubahan kas kejutan hubungan antara SKI dan reaksi pasar semakin lemah. Penelitian ini juga mendukung pentingnya Pernyataan Standar Akuntansi Keuangan (PSAK) No.2, tentang laporan aliran kas, yaitu laporan aliran kas dan komponenkomponennya dapat digunakan untuk menjelaskan hubungan antara SKI dan reaksi pasar.

The objective of this study is to inve stigate the effect of unexpected cash flows as a moderating variable on the association between investment opportunity set (IOS) and stock return. Specially, this research investigates that, (1) the higher unexpected operating cash flows, the stronger the relationship between IOS and market reaction (hypothesis 1), (2)the higher unexpected cash flows from investment activities, the stronger the relationship between IOS and market reaction (hypothesis 2), (3) the higher unexpected cash flows from financing activities, the weaker the relationship between IOS and market reaction (hypothesis 3), and (4) the higher unexpected cash changes influences (strengthens or weakens) the relationship between IOS and market reaction ( hypothesis 4) This study developed linear regression to test these hypotheses. In these models, the dependent variable is cumulative abnormal return, whereas these independent variables of model 2 (used to test hypothesis 1) are IOS, unexpected operating cash, and the interaction between IOS and unexpected operating cash flows.. The independent variables of model 3 (used to test hypothesis 2) are IOS, unexpected cash flows from investment activities, and the interaction between IOS and unexpected cash flows from investment activities. The independent variables of model 4 (used to test hypothesis 3) are IOS, unexpected cash flows from financing activities, and the interaction between IOS and unexpected cash flows from financing activities. The independent variables of model 5 (used to test hypothesis 4) are IOS, unexpected cash changes, and the interaction between IOS and unexpected cash changes. Moreover, each model used control variables including unexpected earning, IOS lag 1, firm’s size, beta, and total debt. Coefficients of these mode ls are estimated by using pool data, which consist of 83 manufacturing companies listed in Jakarta Stock Exchange up to the end of year 1999. This study uses 2 observation periods that are period of 1996-1997 and period of 1998-1999. This study found that empirical evidence support almost all hypotheses, except on hypothesis 2 and 4 for observation period of 1998-1999, because in this period, monetary crisis was occurred as reason used by Sutopo (200) and Machfoed (1999). This study can generally conclude that the unexpected cash flows influence the relationship between IOS and market reaction. This study contributes in the form of empirical evidence that, first the higher unexpected operating cash flows, the stronger the relationship between IOS and market reaction. Second, the higher unexpected cash flows from investment activities, the stronger the relationship between IOS and market reaction. Third, the higher unexpected cash flows from financing activities, the weaker the relationship between IOS and market reaction, and fourth, the higher unexpected cash changes influences (weakens) the relationship between IOS and market reaction. This study also supports the importance of statement of financial accounting standard in Indonesia no 2 which regulate the statement of cash flows in financial statements, that is the statement of cash flows and its components that is useful to explain the relationship between IOS and market reaction.

Kata Kunci : Investasi,ALiran Kas Kejutan, unexpected cash flows