RELEVANSI NILAI LABA, NILAI BUKU, DAN UKURAN PERUSAHAAN TERHADAP KINERJA SAHAM: HUBUNGAN NONLINIER (Studi Empiris Industri Perbankan di Bursa Efek Indonesia Periode 2003 – 2005)

Djadmiko, Dradjad (2008) RELEVANSI NILAI LABA, NILAI BUKU, DAN UKURAN PERUSAHAAN TERHADAP KINERJA SAHAM: HUBUNGAN NONLINIER (Studi Empiris Industri Perbankan di Bursa Efek Indonesia Periode 2003 – 2005). Masters thesis, Universitas Sebelas Maret.

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    Abstract

    The purposes of this research are to know: (1) existence of nonlinierity relationship between earnings and stock performance, (2) existence of nonlinierity relationship between book value and stock performance, (3) existence of nonlinierity relationship between firm size and stock performance. The relationship between stock performance, earnings and book value directly addresses the issue of whether accounting data provide information have value relevant. The sample in this research are 23 bank industri listed in Indonesia Stock Exchange, which are selected by using purposive sampling. Those selected firms announced their financial statement during 2003 until 2005. Assumption classics test is done in this research, by using normality test with Normal P-P of regression standardized residual, linierity test with scatterplot, heteroscedasticity test with Glejser test, autocorrelation test with Durbin-Watson test, and multicollinieritas test with Variance Inflation Factor (VIF) and Tolerance. The hypothesis is tested by NLS (Nonlinier Least Square) model regression. The result of this research are no consistent with previous research (Rahmawati, 2005), which indicate there is nonlinierity relationship between earnings and stock performace which is proxied by Cummulative Abnormal Return (CAR), no nonlinierity relationship between book value and stock performace which is proxied by Cummulative Abnormal Return (CAR), and there is nonlinierity relationship of firm size to stock performance which is proxied by Cummulative Abnormal Return (CAR). By together there are nonlinierity relationship between earnings, book value, and firm size with stock performance which is proxied by Cummulative Abnormal Return (CAR). Adjusted R Squared indicates low number (19,5%). It means that firm size, earnings, and book value (independent variables) have low explanatory power to stock performance (dependent variable). The conclusion are earnings and firm size have nonlinear relationship to stock performance, it means that earnings and firm size have value relevant to stock performance, while book value haven’t nonlinear relationship to stock performance. Keywords : unexpected earnings, unexpected book value, firms size, stock performance, Cummulative Abnormal Return (CAR), nonlinierity relationship, value relevant.

    Item Type: Thesis (Masters)
    Subjects: H Social Sciences > HB Economic Theory
    L Education > L Education (General)
    Divisions: Fakultas Ekonomi > Akuntansi
    Depositing User: Users 837 not found.
    Date Deposited: 15 Jul 2013 22:05
    Last Modified: 15 Jul 2013 22:05
    URI: https://eprints.uns.ac.id/id/eprint/5087

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