Informasi aliran kas rincian terhadap Return Saham tidak normal

SULVIANI, Agustine, Dr. Supriyadi, M.Sc

2005 | Tesis | S2 Akuntansi

Penelitian ini betujuan untuk menguji reaksi pasar terhadap informasi aliran kas rincian dari kegiatan operasi, pendanaan dan investasi. Apakah informasi yang berasal dari aliran kas masuk dan kas keluar dari kegiatan operasi, pendanaan dan investasi direaksi secara positif atau negatif oleh pasar. Informasi aliran kas rincian tersebut adalah: penjualan tanah, bangunan dan peralatan; pelepasan anak perusahaan dan unit bisnis lain; penerimaan bunga; penerimaan deviden; pembelian tanah, bangunan dan peralatan; perolehan anak perusahaan dan unit bisnis lain; hak minoritas; penerbitan modal saham; penerimaan dari hutang; pembayaran deviden; penurunan hutang; penerimaan kas dari pelanggan; pembayaran kepada pemasok dan karyawan; pembayaran bunga; pembayaran pajak; penerimaan dan pembayaran kas dari kegiatan operasi lain; dan akrual. Sampel berjumlah 77 perusahaan, untuk perioda 1999-2003. CAR (cumulative abnormal returns) merupakan proksi bagi reaksi pasar yang diukur dengan market model. Aliran kas rincian (unexpected) dideflasi dengan market value of equity. Metoda statistis yang digunakan adalah multivariate regression dengan data pooled. Hasil penelitian menunjukkan informasi penjualan TBP dan penerimaan deviden direaksi negatif oleh pasar; penerimaan bunga direaksi positif. Informasi penerbitan modal saham dan pembayaran deviden direaksi negatif. Informasi penerimaan lain dari operasi direaksi negatif dan pembayaran bunga direaksi positif oleh pasar. Hasil tersebut tidak mendukung terhadap hipotesis yang dinyatakan. Penelitian terhadap informasi pelepasan anak perusahaan dan unit bisnis lain direaksi positif oleh pasar, pembelian TBP direaksi negatif, perolehan anak perusahaan dan unit bisnis lain direaksi negatif, hak minoritas direaksi positif oleh pasar. Informasi dari penerimaan hutang direaksi negatif, penurunan hutang direaksi positif oleh pasar. Penerimaan kas dari pelanggan direaksi positif oleh pasar, pembayaran kas kepada pemasok dan karyawan direaksi positif, demikian pula pembayaran pajak dan pembayaran lain-lain dari operasi direaksi positif oleh pasar sedangkan akrual direaksi negatif. Hasil tersebut mendukung terhadap hipotesis yang dinyatakan.

This research aims at examining market reaction to disagregation of operating, financing and investing activity. Whether the information of cash inflow and outflow from operating, financing, investing are reacted in positive or negative way by the market. The information is new investment in property, plant, and equipment; relieved the subsidiaries and other business units; interest receipt, dividend receipt; retirement of property, plant and equipment; acquisitions; minority of interest; received from stock issuance; received from debt issuance; dividend paid; debt paid; collections from costumers; payment to suppliers and employees, interest paid; tax authorities; received and payment from the other operating cash flow and accrual. The sample consisted of 77 companies, from 1999-2003. Cumulative abnormal returns (CAR) are used for the proksi for market reaction which are measured by market model. Unexpected disaggregating of cash flow are deflated by market value of equity. Statistics method used for the research is multivariate regression with pooled data. The research finding shows that the information of new investment in property, plant and equipment; and dividend receipt are reacted positively. Cash received from stock issuance and dividend paid are reacted negatively by the market. Cash received from the other operating activity is reacted negatively; but the interest paid is reacted in positive way by the market. Those findings are inconsistences with the evidence, so that they do not support the hypothesis. The result find that the information of the relieved of subsidiaries and other business units is reacted positively by the market. New investment in property, plant and equipment is reacted negatively, acquisitions is reacted negatively, minority interest is reacted positively by the market. The information of received from debt issuance is reacted negatively, debt paid is reacted positively by the market. Collections from costumers is reacted positively by the market, so do with the cash payment to suppliers and employees, tax authorities and cash payment from the other operating cash flow are reacted positively by the market, but the accrual is reacted negatively by the market. These findings are support the hypothesis.

Kata Kunci : Return Saham,Informasi Aliran Kas, Disaggregating of cash flow from operating, financing, and investing activity, security returns