The Impact of the degrees of operating and financial leverage on systematic risk of property stocks :: A Case study on Jakarta Stock Exchange

SURYO, Ahmad Adi, Suad Husnan, Dr.,MBA

2006 | Tesis | Magister Manajemen

Studi ini bertujuan untuk mempelajari bagaimana keputusan operasi (operating leverage) dan keuangan (financial leverage) mempengaruhi resiko sistematis pada saham-saham properti dan untuk mengetahui manakah diantara tingkat operating leverage dan financial leverage paling dominan mempengaruhi resiko sistematis. Jenis data yang diambil adalah data sekunder. Periode data adalah tahun 1998 sampai dengan 2004. Data-data tersebut antara lain tingkat pengembalian saham bulanan, tingkat pengembalian pasar (IHSG), Laba sebelum bunga dan pajak, laba setelah pajak, dan penjualan tahunan. Metode sample yang digunakan adalah purposive sampling method, dimana sample sesuai dengan beberapa kriteria tertentu. Sample terdiri dari 27 perusahaan properti. Dalam menganalisa hubungan antara resiko sistematis dan tingkat operating leverage (DOL), tingkat financial leverage (DFL), menggunakan tiga asumsi; (1) beta, DOL, dan DFL adalah persamaan linier, (2) beta, DOL, dan DFL bukan persamaan linier, (3) beta dan DFL adalah persamaan linier sedangkan DOL bukan persamaan linier. Studi ini menggunakan analisis regresi berganda. Dari tiga alternatif perhitungan dan asumsi didapatkan hasil bahwa DOL dan DFL tidak berpengaruh positif terhadap beta (resiko sistematis). Hasil empiris menunjukkan hasil yang tidak konsisten dengan hipotesa bahwa koefisien regresi OL negative sedangkan FL positive. Hasil penelitian menunjukkan bahwa OL dan FL berhubungan negative dengan resiko sistematis pada saham-saham properti. Dikarenakan hasil analisis tidak mendukung hipotesa pertama dan kedua, maka hasil analisis tidak mendukung pengujian hipotesa ketiga.

This paper planned to examine how operating and financial decision will affect systematic risk on property stocks and to investigate which Degree of Operating Leverage (DOL) and Degree of Financial Leverage (DFL) dominantly influence to the systematic risk. All data were from secondary data. The data period were from 1998 up to 2004, which consists of company monthly stock return, market return (IHSG), the annual earnings before interest and taxes on firm, the after tax earnings of firm, and the annual sales of firm. The sampling method was purposive sampling, a nonprobability sample that conformed to certain criteria. The samples were 27 property companies. In investigated the association between systematic risk and the DOL and DFL, the research used three assumptions; (1) Beta, DOL, and DFL are in linear equation, (2) Beta, DOL, and DFL are not in linear equation, (3) Beta and DFL are in linear equation, while DOL is not in linear equation. The research used multiple linear regressions analysis. From those 3 assumptions and calculation alternatives, those were not show the positive influence of beta to Degree of Operating Leverage (DOL) and Degree of Financial Leverage (DFL). The empirical results were not consistent with the hypothesized relationship: a regression coefficient of DOL is negative and DFL is positive, suggesting that DOL was negatively associated with the relative riskiness of property stock and DFL was negatively associated with the relative riskiness of property stock. For the reason that the results were not consistent with the first and second hypothesis, therefore the result failed supported the third hypothesis.

Kata Kunci : Operating Leverage,Financial Leverage,Resiko Sistematis,Tingkat Pengembalian Saham,Tingkat Pengembalian Pasar, Degree of Operating Leverage, Degree of Financial Leverage, Systematic Risk (Beta), Stock Return, Market Return