Hubungan Unexpected Change pada beberapa rasio keuangan dengan Abnormal Return Saham industri manufaktur di Bursa Efek Jakarta periode 2001-2003

HARYANTO, Panji, Prof.Dr. Eduardus Tandelilin, MBA

2005 | Tesis | Magister Manajemen

Penelitian ini bertujuan untuk melihat signifikansi hubungan antara unexpected changes pada kelompok rasio keuangan yang dipilih (variabel-variabel independen) dengan abnormal return saham perusahaan-perusahaan manufaktur (variabel dependen) dan mengetahui apakah ukuran perusahaan / firm size (variabel dummy) juga memiliki hubungan yang signifikan terhadap abnormal return. Unexpected changes pada 26 rasio keuangan dalam penelitian ini dibagi dalam 7 kelompok, yaitu unexpected changes pada kelompok rasio profitability, kelompok rasio capital turnover, kelompok rasio inventory turnover, kelompok rasio receivable turnover, kelompok rasio financial leverage, kelompok rasio short-term liquidity, dan kelompok rasio cash position. Pengujian melibatkan 60 sampel yang memenuhi kriteria-kriteria purposive sampling. Untuk memecahkan permasalahan dalam penelitian, digunakan multivariate analysis. Factor analysis, yang merupakan salah satu interdependency techniques dalam multivariate analysis diaplikasikan lebih dahulu untuk membentuk kelompok-kelompok (factors) dan membuat factor scores. Baru kemudian multiple regression analysis yang merupakan dependency technique digunakan untuk mencari hubungan antara variabel dependen dengan variabel-variabel independen. Hasil penelitian menunjukkan bahwa unexpected changes pada kelompok-kelompok rasio Short-Term Liquidity dan Receivable Turnover merupakan variabel-variabel yang signifikan pengaruhnya terhadap cumulative abnormal return, sementara unexpected changes pada kelompok rasio lainnya tidak. Selain itu, pengelompokan perusahaan berdasarkan firm sizenya secara ternyata tidak signifikan terhadap cumulative abnormal return.

The purpose of this research is to see the significance in the relationship between the unexpected changes in chosen several financial ratios (as independent variables) and abnormal returns of manufacturing companies (as dependent variable), and to know whether the firm size (as dummy variable) has a significant relationship to abnormal returns or not. The unexpected changes in 26 financial ratios in this research were divided into 7 groups. Those groups were the unexpected changes in profitability ratios, capital turnover ratios, inventory turnover ratios, receivable turnover ratios, financial leverage ratios, short-term liquidity ratios, cash position ratios. This research involved 60 samples which had fulfilled the purposive sampling criterion. To solve the problem, this research used the multivariate analysis. Factor analysis, one of interdependency techniques in multivariate analysis, was applied firstly to develop groups (factors) and determine factor scores. Then, the multiple regression analysis, a dependency technique, was employed to determine the relationship between dependent and independent variables. The result showed that the unexpected changes in Short-Term Liquidity and Receivable Turnover ratios had significant effect to cumulative abnormal returns, while on the other side, unexpected changes in other groups of ratio did not. In addition, companies categorization based on firm size was not showed to have significant effect to cumulative abnormal returns.

Kata Kunci : Rasio Keuangan,Abnormal Return,Unexpected Changes, financial ratios, unexpected changes, abnormal return, firm size, factor analysis, multiple regression analysis