Pengaruh kinerja akuntansi dan kinerja ekonomik terhadap abnormal return saham BUMN yang terdaftar di Bursa Efek Indonesia periode 2004-2008

ASER, Matahir, Prof. Dr.Eduardus Tandelilin

2010 | Tesis | S2 Magister Ekonomika Pembangunan

Penelitian ini bertujuan untuk menguji pengaruh kinerja akuntansi dan kinerja ekonomik terhadap abnormal return saham BUMN yang terdaftar di Bursa Efek Indonesia (BEI) periode 2004-2008. Penelitian ini penting dilakukan karena dapat membantu investor untuk melihat kinerja akuntansi dan kinerja ekonomik suatu perusahaan sebagai bahan pertimbangan pada saat melakukan investasi terhadap suatu perusahaan. Jumlah sampel penelitian ini terdiri dari 9 perusahaan BUMN yang bergerak disektor nonkeuangan yang terdaftar di Bursa Efek Indonesia (BEI) pada periode 2004-2008. Data yang diteliti berupa laporan Keuangan masing-masing BUMN, data harga saham, dan data Indeks Harga Saham Gabungan (IHSG). Variabel perusahaan yang digunakan adalah Current Ratio (CR), Earning Per Share (EPS), Price Earning Ratio (PER) dan Economic Value Added (EVA), sehingga berdasarkan beberapa variabel tersebut diperoleh variabel yang berpengaruh terhadap abnormal return. Hasil penelitian menunjukkan bahwa hanya variabel earning per share yang berpengaruh terhadap abnormal return saham, sedangkan variabel lainnya yaitu Current Ratio, Price Earning Ratio dan Economic Value Added tidak memiliki pengaruh secara individual. Semua variabel independen hanya dapat menjelaskan variasi abnormal return saham sebesar 21,86 persen dan sisanya sebesar 78,14 persen dijelaskan oleh variabel lain. Hal ini berarti bahwa masih terdapat variabel lain yang mempengaruhi abnormal return saham di BEI.

The objective of this research is to investigate the impact of accounting performance and economic performance to abnormal return stock of state-owned companies which listed in Indonesia Stock Exchange (ISE) for the period of 2004-2008. This research is important because it can help an investor to use the accounting performance and economic performance as a guidance to invest. The sample comprised 9 pooled companies from state owned companies listed in Indonesia Stock Exchange (ISE) for the period of 2004 – 2008. The data observed in this research are Annual Report of each state owned companies, historical stock price of comparable state-owned banks, and historical price of composite index.The company variables are Current Ratio (CR), Earning Per Share (EPS),Price Earning Ratio (PER), and Economiv Value Added (EVA), so that variables can be determined which variable have significant effect on abnormal return. The result found that only earning per share have significant effect on abnormal return stock while other variables, current ratio, price earning ratio and economic value added do not have significant effect on abnormal return stock. Overall of independent variables could explain about 21.86 percent abnormal return stock variation and the rest explained by other variables about 78.14 percent. It means that there are othes factor that effected abnormal return stock in the ISE.

Kata Kunci : Abnormal return,Current ratio,Earning per share,Parice earning ratio,Economic value added,