scholarly journals ANALISIS PERBANDINGAN CAPM DENGAN TFMFF DALAM MENGESTIMASI RETURN SAHAM PADA JII PERIODE 2014-2016

2019 ◽  
Vol 18 (1) ◽  
Author(s):  
Esi Fitriani Komara ◽  
Eka Yulianti
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Excess Return ◽  
Expected Return ◽  
Panel Data Regression ◽  
Data Regression ◽  
Capm Beta ◽  
Actual Return ◽  
Simple Regression ◽  
Better Than

ABSTRACT In investing investors need to estimate returns, it is intended that the desired actual return is in accordance with the expected return. CAPM and TFMFF are models that can estimate stock returns. This study aims to determine whether (1) in the CAPM beta model as market risk affects the return. (2) on TFMFF excess return, firm size and BE / ME have an effect on return. As well as (3) CAPM or TFMFF which can estimate return better. The sample of this research is JII stocks for the period 2014-2016. Data analysis used is simple regression for CAPM and panel data regression for TFMFF. The results of this study state that, (1) beta does not affect return. (2) excess return and firm size affect return while BE / ME does not affect return. (3) TFMFF is better than CAPM in estimating the return of JII for the period 2014-2016.Keywords: CAPM; TFMFF ABSTRAKDalam melakukan investasi investor perlu mengestimasi return, hal tersebut bertujuan  agar return aktual yang diinginkan sesuai dengan return yang diharapkan. CAPM dan TFMFF merupakan model yang dapat mengestimasi return saham. Penelitian ini bertujuan untuk mengetahui apakah (1) pada model CAPM beta sebagai risiko pasar berperpengaruh terhadap return. (2) pada TFMFF excess return, firm size dan BE/ME berperpengaruh terhadap return.Serta (3) CAPM atau TFMFF yang dapat mengestimasi return lebih baik.Sampel penelitian ini adalah saham-saham JII periode 2014-2016. Analisis data yang digunakan adalah regresi sederhana untuk CAPM dan regresi data panel untuk TFMFF. Hasil penelitian ini menyatakan bahwa, (1) beta tidak berpengaruh terhadap return. (2) excess return dan firm size berpengaruh terhadap return sedangkan BE/ME tidak berpengaruh terhadap return.(3) TFMFF lebih baik dibandingkan CAPM dalam mengestimasi return JII periode 2014-2016.Kata Kunci: CAPM; TFMFF

scholarly journals How does the six-factor model do in explaining the relationship between return and risk on the Indonesia stock exchange?

2020 ◽  
Vol 9 (7) ◽  
pp. 93-107
Author(s):  
Claudia Florensia ◽  
Neneng Susanti
Keyword(s):  
Human Capital ◽  
Firm Size ◽  
Factor Model ◽  
Stock Exchange ◽  
Sample Selection ◽  
Excess Return ◽  
Market Return ◽  
Panel Data Regression ◽  
Data Regression ◽  
The Relationship

This study aims to determine the effect of six-factor (market return, firm size, value, profitability, investment, human capital) on excess return in companies with shares listed in LQ45 for the 2015-2019 period. The population of this study consists of 45 LQ45 companies listed on the Indonesia Stock Exchange (IDX). The purposive sampling method is the sample selection method that is used in this study. As a result, it shows that there are 26 companies that fit the criteria and taken as samples. Furthermore, the data analysis method that is used in this study is the panel data regression model. Based on the results of this study, it is showed that partially, market return (X1), firm size (X2), profitability (X4), and investment (X5) have a significant positive effect on the excess return of companies listed in LQ45 for the 2015-2019 period. Whereas, value (X3) and human capital (X6) do not have a significant effect on the excess return of companies listed in LQ45 for the 2015-2019 period partially. Another result also shows that simultaneously or as a whole, six-factors (market return, firm size, value, profitability, investment, human capital) have a significant effect on the excess return of companies listed in LQ45 for the 2015-2019 period.

FAKTOR DETERMINAN PEMBENTUK STRUKTUR MODAL PADA PERUSAHAAN SEKTOR FARMASI PERIODE 2012 - 2016

2017 ◽  
Vol 2 ◽  
pp. 241-250
Author(s):  
Neng Ria Kanita ◽  
Hendryadi Hendryadi
Keyword(s):  
Panel Data ◽  
Capital Structure ◽  
Firm Size ◽  
Stock Exchange ◽  
Pharmaceutical Manufacturing ◽  
Manufacturing Companies ◽  
Purposive Sampling ◽  
Panel Data Regression ◽  
Data Regression ◽  
Partial Effects

This study aims to examine the simultaneous and partial effects of profitability, liquidity, and firm size on capital structure. The sample is 10 pharmaceutical manufacturing companies listed in Indonesia Stock Exchange period 2012-2016, using purposive sampling. The technique of analysis used is panel data regression (pooled regression). The results showed that the selected model is the fixed effect. Simultaneously NPM, CR, and Firm Size have a significant effect on capital structure. Partially NPM has a negative and significant effect on capital structure. CR partially have a negative and not significant effect on capital structure. Partially Firm Size have a positive and significant effect on capital structure. Variables that have a significant effect on capital structure are NPM and Firm Size. While CR does not significantly affect the capital structure. Keywords: Capital Structure, Profitability, Liquidity, Firm Size

Factors Influencing Capital Structure of Shariah-Compliant Malaysian Telecommunications and Media Companies

2021 ◽  
Vol 12 (3) ◽  
pp. 582-591
Author(s):  
Mohd Faizal Basri Et.al
Keyword(s):  
Capital Structure ◽  
Firm Size ◽  
Least Square ◽  
Sales Growth ◽  
Pecking Order ◽  
Ordinary Least Square ◽  
Media Companies ◽  
Panel Data Regression ◽  
Data Regression ◽  
Equity Ratio

This paper explores the firm-specific factors,which are assets tangibility, sales growth, profitability, and firm size in ascertaining the capital structure of Shariah-compliant telecommunications and media companies in Malaysia. Panel data regression model based on ordinary least square (OLS) method was employed in the research. The sample of research comprisesof nine Shariah-compliant companies listed in telecommunications and media sector in the Main Market and Ace Market ofBursa Malaysiafrom 2009to 2018, with a 90firms-years of total number of observations. The dependent variable selected was debt to equity ratio. Meanwhile, the independent variables chosen were assets tangibility, sales growth, profitability, and firm size. Thefindings revealed thatassets tangibilityhas a positive relationship, while profitability is negatively related to the dependent variable. Conversely, sales growth and firm size were insignificant to debt to equity ratio.The pecking order and trade-off theories of capital structure is very much applicable to the Shariah-compliant telecommunications and media in Malaysia sinceassets tangibility and profitability have significant relationship with leverage.

scholarly journals PENGARUH LEVERAGE, INTENSITAS ASET TETAP, DAN UKURAN PERUSAHAAN TERHADAP AGRESIVITAS PAJAK

2021 ◽  
Vol 14 (2) ◽  
pp. 417-427
Author(s):  
Eka Ridho Nur Rochmah ◽  
Rachmawati Meita Oktaviani
Keyword(s):  
Firm Size ◽  
Stock Exchange ◽  
Sampling Technique ◽  
Significant Positive Effect ◽  
Manufacturing Companies ◽  
Tax Aggressiveness ◽  
Panel Data Regression ◽  
Data Regression ◽  
Fixed Assets ◽  
Positive Effect

This study aims to determine the effect of leverage, fixed asset intensity, and firm size on tax aggressiveness. The population in this study are manufacturing companies listed on the Indonesia Stock Exchange (IDX) for the 2017-2020 period. The sample of this research was taken using non-probability sampling method with purposive sampling technique and certain criteria. The method used in this research is panel data regression analysis. The results of this study indicate that leverage has a significant positive effect on tax aggressiveness, while the intensity of fixed assets has no effect on tax aggressiveness, and firm size has a significant positive effect on tax aggressiveness. The implications of the results of this study provide input to companies in making decisions to minimize the tax burden paid so that companies can be more aggressive towards taxes.

scholarly journals Abnormal Related Party Transactions, Political Connection, and Firm Value: Evidence from Indonesian Firms

2021 ◽  
Vol 22 (1) ◽  
pp. 461-478
Author(s):  
Supatmi Supatmi ◽  
Sutrisno Sutrisno ◽  
Erwin Saraswati ◽  
Bambang Purnomosidhi
Keyword(s):  
Firm Value ◽  
Resource Dependence ◽  
Stock Exchange ◽  
Resource Dependence Theory ◽  
Political Connections ◽  
Political Connection ◽  
Related Party Transactions ◽  
Panel Data Regression ◽  
Data Regression ◽  
Better Than

This study aims to examine the effect of abnormal related party transactions (RPTs) on firm value and to investigate political connections as a moderator of the causal relationship. Our sample is 450 Indonesian firms listed at the Indonesia Stock Exchange during the period of 2014–2017 with a total of 1,724 firm-year observations. Based on the panel data regression test, our results demonstrate that abnormal RPTs, especially account receivables-related RPTs and account payables-related RPTs, decrease firm value. Further, the results empirically show that political connections negatively affect firm value. Political connections strengthen the effects of abnormal non-account receivable RPT assets and abnormal non-account payable RPT liabilities on firm value. Our findings imply that agency theory explains the impacts of political connections of Indonesian firms better than resource dependence theory.

scholarly journals Effect of Firm Size Firm Growth Firm Age and Independent Commissioner on Intellectual Capital Disclosure in Banking Companies Listed on the Indonesia Stock Exchange in the period 2014 – 2018

Academia Open ◽  
2021 ◽  
Vol 3 ◽  
Author(s):  
Lailatul Khosi'ah ◽  
Sriyono
Keyword(s):  
Panel Data ◽  
Firm Size ◽  
Intellectual Capital ◽  
Firm Growth ◽  
Stock Exchange ◽  
Financial Statements ◽  
Firm Age ◽  
Panel Data Regression ◽  
Data Regression ◽  
Size Firm

The purpose of the study was to determine and analyze the effect of Firm Size, Firm Growth, Firm Age and Independent Commissioner on Intellectual Capital Disclousure partially and simultaneously to determine a model that can be used to measure Intellectual Capital Disclousure in companies by using panel data regression in Registered Banking companies on the Indonesia Stock Exchange. This study applies quantitative method and the object of this research is done by population and sample randomly (purposive sampling), which are 11 consumer goods companies that were Listed on the Indonesia Stock Exchange in the period 2014 - 2018. The technique of collecting data used annual financial statements from the period 2014 - 2018 and analysis used panel data regression method with common model approach using Eviews 9 program.The results of this study showed that simultaneously and partially variables Firm Size, Firm Growth, Firm Age and Independent Commissioner have a significant effect on Intellectual Capital Disclousure

scholarly journals Pengaruh Ukuran KAP, Ukuran Perusahaan dan Manajemen Laba terhadap Integritas Laporan Keuangan

2019 ◽  
Vol 10 (2) ◽  
pp. 138-149
Author(s):  
Intan Paulina Lubis ◽  
Lailah Fujianti ◽  
Rafrini Amyulianthy
Keyword(s):  
Regression Analysis ◽  
Earnings Management ◽  
Firm Size ◽  
Stock Exchange ◽  
Secondary Data ◽  
Financial Statements ◽  
Company Size ◽  
Panel Data Regression ◽  
Data Regression ◽  
Size Firm

This study aims to analyze the effect of KAP size, firm size and earnings management on the integrity of financial statements. The integrity of financial statements is the extent to which the financial statements presented indicate true and honest information. This study was taken because there are still contradictions from previous studies. This study uses secondary data. The population in this study is the consumer goods industry companies listed on the Indonesia Stock Exchange in 2012-2016. Determination of the sample by purposive sampling method, there are 13 samples from the total population of 40. The method used to analyze the data is panel data regression analysis, Eviews 9. Regression analysis results show that firm size negatively significant to the integrity of financial statements. While the size of KAP and earnings management have no significant effect on the integrity of financial statements.Keywords: Financial Statement Integrity, Company Size, Company Size and Earnings Management

scholarly journals The Effect of Intellectual Capital Disclosure, Corporate Governace, and Firm Size on Firm Value

2019 ◽  
Author(s):  
Dewi Puji Rahayu
Keyword(s):  
Firm Size ◽  
Intellectual Capital ◽  
Firm Value ◽  
Stock Exchange ◽  
Coefficient Of Determination ◽  
Panel Data Regression ◽  
Data Regression ◽  
Result Show ◽  
Negative Effect ◽  
Corporate Governace

This study aims to analyze the effect of intellectual capital, corporate governance and firm size towards firm value. The research method used is panel data regression analysis, by using purposive sampling method, there are eighty one companies from 2012 – 2017 period and listed on the Indonesia Stock Exchange. The result show that, intellectual capital disclosure and firm size have a significant negative effect on firm value. Furthermore, institution ownership have a significant positive on firm value. Intellectual capital disclosure, institution ownership and firm size simultaneously have a significant on firm value, with the value of the coefficient of determination (R2) of 0.90, indicate that all independent variables can explain the variation of firm value of 90%, whereas the remainder of 10% is explained by other factors not included in the model.

scholarly journals THE EFFECT OF PROFITABILITY, CAPITAL STRUCTURE AND CORPORATE VALUES ON RETURN OF SHARES (TELECOMMUNICATIONS SUB SECTOR IN INDONESIA STOCK EXCHANGE 2014-2018)

2020 ◽  
Vol 1 (1) ◽  
pp. 69-77
Author(s):  
Asih Try Wulandari ◽  
Aty Herawati
Keyword(s):  
Panel Data ◽  
Stock Returns ◽  
Stock Return ◽  
Stock Exchange ◽  
Series Data ◽  
Annual Data ◽  
Business World ◽  
Telecommunications Sector ◽  
Panel Data Regression ◽  
Data Regression

The development of increasingly stringent business world in Indonesia will create an increasingly sharp competition between companies. Firms in the industry in Indonesia is a land for investors to invest capital to be invested in various forms of securities. So it is not wrong for the company's various aspects and types become part of the capital market. This study was conducted to determine the effect of ROE, DER and PBV to Stock Return on Telecommunications Sector Sub Listed in Indonesia Stock Exchange. This study uses annual data for the observation period from 2014 until 2018. The research type is descriptive causality. The data used is the data panel that is a combination of annual time series data and cross section were processed using panel data regression analysis. The population is all Sub-Sector Telecommunications listed in Indonesia Stock Exchange from 2014 until 2018 the number of 5 companies. The sampling technique used purposive sampling, found a sample of four companies with the observation of 5 years in order to obtain total observation as much as 20. Data were obtained from the Indonesia Stock Exchange, and Yahoo Finance. Analysis of the data in this study is panel data regression. The model used is the Common Effect Model. The analysis showed that the ROE does not have a significant effect on stock returns, DER has no significant effect on stock returns, while PBV positive and significant effect Stock Return on Telecommunications Sector Sub Listed in Indonesia Stock Exchange.

scholarly journals ANALISIS PENGARUH FAKTOR INTERNAL DAN EKSTERNAL TERHADAP PENGAMBILAN SAHAM PERBANKAN BUMN YANG TERDAFTAR DI BEI PERIODE 2010-2014

2020 ◽  
Vol 6 (2) ◽  
pp. 167
Author(s):  
Sanuri Sanuri ◽  
Desta Rizky Kusuma
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Stock Exchange ◽  
Hypothesis Test ◽  
Capital Adequacy ◽  
Return On Assets ◽  
Panel Data Regression ◽  
Capital Adequacy Ratio ◽  
Data Regression ◽  
Independent Variable

This study aims to determine the influence of factors internal and external to the return of registered banking shares Indonesia Stock Exchange in 2010-2014. The population in this study were 4 BUMN bank companies registered in Indonesia Stock Exchange period 2010-2014 sampling techniques used is purposive sampling. obtained by 4 state-owned bank companies included in the independent variable criterion studied is Return On Assets (ROA), Capital Adequacy Ratio (CAR), Inflation Rate, and Rate of Interest Interest and the dependent variable studied is stock returns. Analysis Techniques used is Panel Data Regression and Hypothesis test using t-test. The results showed that both variables were simultaneously independent Return On Asset (ROA) has no effect on stock returns Partially the variables of the four independent variables are Return On Assets (ROA), Capital Adequacy Ratio (CAR), Inflation and Interest Rates are only Inflation and Interest rates that have a significant effect on stock returns. R-square value 33.42%.

Sign in / Sign up

Export Citation Format

Share Document