ANALISIS PENGARUH FAKTOR-FAKTOR FUNDAMENTAL, EVA, DAN MVA TERHADAP RETURN SAHAM (Studi Pada Perusahaan Manufaktur di Bursa Efek Jakarta Periode 2001-2003)

Abstract

Penelitian ini dilakukan untuk menguji pengaruh kinerja alternatif economic value added (EVA) dan market value added (MVA) dan kinerja keuangan konvensional dengan variabel Current ratio, return on asset (ROA), debt to equity ratio (DER), price to book value (PBV), dan Total Asset Turnover (TATO) terhadap return saham. Teknik sampling yang digunakan adalah purposive sampling dengan kriteria (1) perusahaan yang selalu menyajikan laporan keuangan per desember 2001-2003 dan (2) perusahaan yang secara kontinyu membagikan dividen per desember 2001-2003. Data diperoleh berdasarkan publikasi Indonesian Capital Market Directory (ICMD 2004) dan JSX Monthly. Diperoleh jumlah sampel sebanyak 29 perusahaan dari 144 perusahaan yang terdaftar di BEJ. Teknik analisis yang digunakan adalah regresi berganda dengan persamaan kuadrat terkecil dan uji hipotesis menggunakan t-statistik untuk menguji koefisien regresi parsial serta fstatistik untuk menguji keberartian pengaruh secara bersama-sama dengan level of significance 5%. Selain itu juga dilakukan uji asumsi klasik yang meliputi uji normalitas, uji multikolinieritas, uji heteroskedastisitas dan uji autokorelasi. Berdasarkan hasil penelitian tidak ditemukan variabel yang menyimpang dari asumsi klasik, hal ini menunjukkan bahwa data yang tersedia telah memenuhi syarat untuk menggunakan model persamaan regresi linier berganda. Dari hasil penelitian menunjukkan bahwa variabel current ratio, PBV dan TATO secara parsial signifikan berpengaruh terhadap return saham perusahaan di BEJ periode 2001-2003 pada level of significance kurang dari 5% (masing-masing sebesar 0,8%, 4,4% dan 4,3%). Sedangkan secara bersama-sama terbukti signifikan berpengaruh terhadap return saham perusahaan di BEJ pada level kurang dari 5% (3,9%). Kemampuan prediksi dari kelima variabel tersebut terhadap return saham sebesar 27,2%. Hasil Penelitian ini menunjukkan bahwa kinerja factor-faktor fundamental perusahaan (Current Ratio, PBV dan ROA) digunakan oleh investor untuk memprediksi return saham perusahaan pada perusahaan yang listed di Bursa Efek Jakarta pada periode 2001–2003. Sedangan kinerja keuangan alternative yang tercermin melalui EVA dan MVA menunjukkan pengaruh yang lemah. Hal tersebut disebabkan karena EVA dan MVA pada saat ini merupakan rasio keuangan yang kurang begitu dikenal oleh investor, sehingga pengetahuan investor mengenai EVA dan MVA masih relatif kecil. This research is performed in order to test the influence of alternative performance of economic value added (EVA) and market value added (MVA) and the traditional financial performance as Current ratio, return on asset (ROA), debt to equity ratio (DER), price to book value (PBV), and Total Asset Turnover (TATO) toward stock return. The purpose of this study is to measure and to analyze influence company financial performance by using EVA and MVA method as alternative method and the traditional financial performance (Current ratio, return on asset (ROA), debt to equity ratio (DER), price to book value (PBV), and Total Asset Turnover (TATO)) toward stock return. Methodology research as the sample used purposive sampling with criteria as (1) The stock of industry was always seen the annual financial report over period 2001-2003 and (2) The stock of industry was continue given dividend over period 2001-2003. Data that needed in this research from Indonesian Capital Market Directory (ICMD 2004) and JSX Monthly and total sample was acquired 19 of 144 was listed in JSX. Data analysis with multi linier regression of ordinary least square and hypotheses test used t-statistic and f-statistic at level of significance 5%, a classic assumption examination which consist of data normality test, multicolinierity test, heteroskedasticity test and autocorrelation test is also being done to test the hypotheses. During 2001-2003 period show as variable and data research was normal. Based on the result of this research, classic assumption deviation has not founded this indicate that the available data has fulfill the condition to use multi linier regression model. Empirical evidence of analysis show as Current ratio, PBV and ROA to have influence toward stock return at level of significance less than 5% (as 0,8%, 4,4% and 4,3% respectively). While, five independent variable (Current ratio, return on asset (ROA), debt to equity ratio (DER), price to book value (PBV), and Total Asset Turnover (TATO)) also have influence toward stock return at level of significance less than 5% (as 3,9%), with predicted power as 27,2%. Result of This research indicate that conventional finance performance (Current ratio, price to book value (PBV), and Total Asset Turnover (TATO)) used by investor to predict return of company which listed in Jakarta Stock Exchange (JSX) at period 2001-2003. while of alternative finance performance (EVA and MVA) show weak influence. The mentioned caused by EVA And MVA in this time represent finance ratio which less so be recognized by investor, so that the investor knowledge hit EVA and MVA still relative minimize.