Book to market size growth options dan stock return

MAYASARI, Viviana, Dr. Mamduh M. Hanafi, MBA

2009 | Tesis | S2 Manajemen

Penelitian ini dilakukan untuk mendapatkan bukti empiris bahwa terdapat (1) pengaruh book-to-market terhadap rata-rata return saham, (2) pengaruh size terhadap rata-rata return saham, (3) pengaruh growth options terhadap rata-rata return saham, dan (4) pengaruh book-to-market, size, dan growth options secara bersama-sama terhadap rata-rata return saham. Sampel yang digunakan dalam penelitian ini adalah perusahaan manufaktur nonkeuangan yang terdaftar di Bursa Efek Indonesia (BEI) pada tahun 2003-2007 dengan menggunakan teknik purposive sampling. Pengujian hipotesis dilakukan dengan melakukan analisis regresi. Hasil pengujian hipotesis menunjukkan bahwa book-to-market berpengaruh negatif terhadap rata-rata return saham, size berpengaruh positif terhadap rata-rata return saham, growth options berpengaruh negatif terhadap ratarata return saham, dan secara bersama-sama book-to-market, size, dan growth options berpengaruh positif terhadap rata-rata return saham. Variabel growth options memiliki pengaruh paling signifikan terhadap rata-rata return saham dibandingkan variabel book-to-market dan size. Hal ini menggambarkan bahwa investor di Indonesia lebih memperhatikan pertumbuhan saham perusahaan dalam melakukan investasi.

This research was conducted to obtain empirical evidence that there are (1) the influence of book-to-market on the average stock return, (2) the influence of size on the average stock return, (3) the influence of growth options on the average stock return, and (4) the influence of book-to-market, size, and growth options together on the average stock return. The sample used in this study is nonfinancial manufacturing companies listed in Indonesia Stock Exchange (BEI) in the year 2003-2007 by using purposive sampling technique. Hypothesis testing is done by regression analysis. Hypothesis testing results indicate that the book-to-market negatively affect the average stock return, size has a positive effect on the average stock return, growth options negatively affect the average stock return, and together book-to-market , size, and growth options a positive impact on the average stock return. Variable growth options have the most significant influence on the average stock return over variable book-to-market and size. This illustrates that investors in Indonesia have more attention to growth in the company’s stock investing.

Kata Kunci : Book to market,Size,Growth options,Stock return,Book-to-Market,Size,Growth Options,Stock Return