Analisis Konsistensi Price Earning Ratio Pada Bursa Efek Jakarta Periode 1997-1999

Abstract

Recently, stock valuation model using the Earning Multiplier Approach (PER) is more popular among investors and analysts. This popularity has caused this model to seem to be the most perfect model among other valuation models. in response to the fact above, this research tries to give empirical evidence whether PER’s model can be used in determining the fairness of stock price traded in • Jakarta Stock Exchange. • Evaluation of the capability of PER’s model in determining the common stock price was conducted by developing two regression models from different time periods, namely the years of 1997, 1998 and 1999. One of the regression models was used by Whitbeck — Kisor (1963) and for the other one was modified of results by Akhmad Rizqoni (1995), Amiruddin — Sonny (1997) and Kaziba A — Agus S (1997) which investigated of the determinants of Price Earning Ratio. The model of regression’s one employed growth (g), dividend payout ratio (d) and standard deviation of growth (SD) as independent variables and the model of regression’s two employed growth (g), dividend pay-out ratio (d), leverage (L.EV) and firm size (PS) as independent variable. The employment of two regression models which used in this research was formulated in the same market condition (bearish). This research was intended to test the consistency of the regression models in assessing stock prices when the Indonesian capital market was bearish which started from middle of 1997 to March 1999. The result of this research showed that each model developed of different time periods gave different result though with the same sample, method and market condition (bearish) The differences were in the significance level and in the weight of influence of independent variabels to the corresponding dependent variabels. As a stock valuation model, a regression model should perform consistently from period to period, so normal PER of a stock could be predicted based on the model that was developed by historical data. The result of this research conclude that the models cannot be used to determine PER or value the common stock in 1998 and 1999 because the situations was unpredictable. in other words, there were other factors out of models that gave more affects significantly to PER in this periods. The employment of regression analysis can be helpful in finding the variabel and setting the weight that determines the PER of apoint of times Stock volution that was using Earning Multiplier Approach is appropriate, If investors have an assumption that the taste market, situation and market condition at the valuation period was the same as the period when the model was developed. This research showed that the models formulated base on the same market conditions haven’t gave the same result. The differences is caused more by the change of market taste. ABSTRAKS Model penilaian saham dengan menggunakan Earning Multiplier Approach (PER), belum lama ini begitu populer diantara para investor dan pare analis saham di Pasar ModaL Karena model penilaian ini dinilal lebih akurat dibandingkan dengan metode penllaian saham lainnya. Melihat hal tersebut diatas maka perlu diadakan penelitian dalam rangka memberikan sumbangan berupa jawaban ilmiab mengenai persamaan model PER dalam menilal harga saham yang sesungguhnya sebagai salah satu masukkan da!am men gambil suatu keputusan investasi pada Bursa Efek Jakarta (BEJ). Penelitian yang dilakukan dengan maksud untuk melihat sampai seberapa jauh persamaan model PER tersebut mampu dalam menilai harga suatu saham dengan periode waktu pengamatan berbeda yaitu tahun 1997, 1998, dan 1999. Model Persamaan PER yang digunakan pada penelitian ini adalah merupakan hasil penelitian dan beberapa penelitian terdahulu seperti persamaan PER model 1 yang merupakan model persamaan hasil penelitian dari Whitbeck Kisor (1963) dan persamaan PER model 2 yang merupakan gabungan mode! persamaan hasil penelitian dari Akhmad Rizqoni (1995) dan Kaziba A Agus S (1997) yang masing-masing meneliti mengenai faktor-faktor yang berpengaruh kepada PER.