Analisis harga keseimbangan berdasarkan Permodelan Price earning Ratio (PER) pada perusahaan publik di Bursa fek Jakarta

EMNINTA, Leni, Mamduh M. Hanafi, Dr.,MBA

2006 | Tesis | Magister Manajemen

Studi ini bertujuan untuk menganalisis pengujian saham yang undervalued atau overvalued yang diperoleh dengan membandingkan rasio PER aktual perusahaan dan rasio PER prediksi. Dimana hasil perbandingan tersebut diprediksikan dapat digunakan untuk memperoleh keuntungan. Rasio PER prediksi diperoleh dari pengujian variabel bebas (dividend payout ratio (DPR), return on equity (ROE), leverage, earning per share (EPS), sales, fixed asset, beta dan size) secara signifikan berpengaruh terhadap price earnings ratio. Periode penelitian yang digunakan 2002-2004, dengan jumlah sampel yang diteliti sebanyak 157 saham yang listed di Bursa Efek Jakarta. Sampel penelitian tersebut disesuaikan dengan kriteria yang telah ditentukan dalam penelitian. Ada dua rumusan masalah dan sembilan hipotesis yang dianalisis dalam studi ini. Hasil dari regresi linear berganda, variabel yang significant mempengaruhi price earnings ratio adalah dividend payout ratio (DPR) dan return on equity (ROE). Analisis harga keseimbangan berdasarkan permodelan price earnings ratio untuk menghitung tingkat keuntungan, diperoleh hasil: sebanyak 84 (53,5%) dari 157 sampel saham perusahaan yang memperoleh untung. Rata-rata tingkat keuntungan sebesar 31,24%, dimana keuntungan minimum 0,41841%, keuntungan maksimum 100%. Jumlah perusahaan yang rugi sebanyak 68 (43,3%) saham. Rata-rata tingkat kerugian yang diperoleh sebesar 25,38%, tingkat kerugian minimum 0,36%, tingkat kerugian maksimum 92%. Sedangkan yang tidak mengalami untung maupun rugi (impas) sebanyak 5 (3,2%) saham perusahaan. Dari 157 sampel perusahaan yang diteliti tersebut, rata-rata return sebesar 5,72%. Berdasarkan uji t, Nilai test t tidak signifikan pada level signifikansi 5% (α = 0,05) pada perhitungan total rata-rata keuntungan.

The purpose of this study is to analyze undervalued or overvalued stock testing created by comparing actual company’s PER ratio and prediction PER ratio, in which it’s predicted as can be used to some profit. Prediction PER ratio was resulted from the testing of independent variable (dividend payout ratio (DPR), return on equity (ROE), leverage, earning per share (EPS), sales, fixed asset, beta and size) which significantly influence the price earnings ratio. The period of time being used in this research is from 2002-2004, with 157 number of sample from the listed company stock in Jakarta Stock Exchange. The sample was taken based on the criteria stated in the research. There are two problem statements and nine hypothesis being analyzed in this study. The result of the multiple linear regression, being done in this study shows that a variable which significantly influence Price Earnings Ratio is dividend payout ratio (DPR) and return on equity (ROE). Meanwhile, the result of equilibrium price analysis based on Price Earnings ratio model in order to calculate the return was: 84 (53%) out of 157 company stock sample achieved some return. The average of return rate was 31,24%, in which the minimum return was 0,41% and maximum return 100%. The number of the loss company was 68 (43,3%) stock. The average loss rate was 25,38% with the minimum loss 0,36% and maximum loss 92%. The break even point accord in five (3,2%) company stock. From 157 company samples, the average return was 5,72%. Based on t test , t value was not significant at 5% significant rate (α =0,05) in the total calculation of average return.

Kata Kunci : Proce Earning Ratio, Undervalued, Overvalued, Price earnings ratio, undervalued, overvalued, return.