Pengaruh size, P/E ratio, price-to-book value dan beta terhadap return saham di Indonesia

ANDRIANI, Respati, Dr. Jogiyanto Hartono, MBA

2002 | Tesis | Magister Manajemen

Beberapa penelitian menunjukkan bahwa beta tidak memiliki pengaruh yang signifikan terhadap return, seperti dalam penelitian Fama dan French (1992) dan Chan dan Chui (1996). Hasil ini sekaligus mempertanyakan validitas CAPM menjelaskan return. Bukti-bukti empiris juga menunjukkan bahwa return dapat dijeiaskan oieh variabel selain beta, yaitu size, P/E Ratio, dan price-to-book value (PBV). Hasil ini dikenal sebagai anomaly pasar, liarem rnenmj-iikkan hasil ymg berbeda dengan konsep CAPM. Tesis ini merupakan repiikasi dari Fama dan French (1992) dan Chan dan Chui (1996), yang meneliti pengaruh beta, size, P/E dan PBV terhadap return. Dengan sampel 50 perusahaan berkapitalisasi terbesar di Bursa Efek Jakarta, tesis ini meneliti apakah beta memiliki peran dalam menjelaskan return, dan apakah anomali pasar terjadi di Indonesia. Regresi sederhana digunakan untuk mengetahui pengaruh masing-masing variabel terhadap return. Regresi berganda kemudian dig-malian -mf& metlgetahui bagaimana p n g x i keempat vitriabel tersebut secara bersamaan terhadap return. Had penelitian ini menunjukkan bahwa beta tidak memiliki pengaruh yang signifikan terhadap return. Sementara itu, PIE Ratio dan PBV berpengaruh terhadap return, tetapi size tidak berpengaruh terhadap return secara signifikan. tingkat yang rendah, yaitu 0.077. Meskipun lemah, pengaruh ini signifikan karena nilai t-statistik 4.1 1 1 melebihi t-tabel(O.003). yang mefiyatakan b&wa betii addah Satu-Sarnya vanabel yang &pat Secaisl beisaman, keempat vafiabei i d mempengadi returri n ~ u .&nlam

Several studies show that beta do not significantly affect return, as in Fama and French (1992) and Chan and Chui (1996). This result encountered the validity of CAPM that states that beta is the only variable to explain stock return. Moreover, empirical results show that return could be explained by othet variables than beta, such as size, P/E ratio, and price-to-book value (PBV). This finding is known as the market anomaly, or exception to a rule, as empirically show that return could be explained by other variables than beta. This thesis, replicating the one by Fama and French (1992), and Chan and Chui (1996), investigates whether those papers's evidence can be extended in Indonesian market. Using 50 biggest capitalized stocks in Jakarta Stock Exchange as the sample, this paper is aimed to investigate whether beta has a role in explairiirig tetm, arid whether market anomaly also happen in Indonesia, that is, whether return could be explained by other variables than beta, that is, size, P/E ratio, and PBV. Simple regression is used to see each variable's effect on return. Multivariate regression is then applied to see how four independent variables altogether would affect return. This paper finds that beta has no significant role in explaining return. Moreover, P/E ratio and PBV could explain stock returns, but size has no significant effect on return. Altogether, four of these variables altogether affect retm -with regression coefficient of orlly 0.077. Although weak, it is significant as t-statistic (4.11 1) outperformed t-table (0.003). This result shows that return could not only be explained by beta, but also other variables.

Kata Kunci : Return Saham,Beta, Size dan P/E, PBV, beta, size, PB, PBV, return