On the causality analysis of the correlation between financial leverage and systematic risk: evidence from Indonesian Stock Exchange

This research is aimed at analyzing the causality puzzle on the correlation between financial leverage and systematic risk (beta). Financial leverage and beta are usually considered as two proxies of risk derived from different domains: one ends at financial decision outcome, and the other points to market. Cross-sectionally, this result does not support the moderating-variable impact of size on the relation between financial leverage and systematic risk. On the other hand, however, the moderating-variable impact of industry and operating leverage (to some extent) on the relation between financial leverage and systematic risk were well documented. Inter-temporally, financial leverage is significantly and symmetrically related to beta, not moderated by size and operating leverage. This means that the two variables show bidirectional causality. This study contributes to the new insight that financial leverage and beta are the two variables with bidirectional causality, showing that in the long run, risks from fundamental (financial/micro-economy) and from market (macro-economy) are tightly linked to each other inter-temporally.

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Determining Force behind Value Premium: The Case of Financial Leverage and Operating Leverage

Journal of Risk and Financial Management ◽

10.3390/jrfm13090196 ◽

2020 ◽

Vol 13 (9) ◽

pp. 196

Author(s):

Hafiz Muhammad Zia ul haq ◽

Muhammad Sohail Shafiq ◽

Muhammad Kashif ◽

Saba Ameer

Keyword(s):

Stock Returns ◽

Financial Distress ◽

Stock Exchange ◽

Systematic Risk ◽

Theoretical Models ◽

Value Premium ◽

Financial Leverage ◽

Investment Activity ◽

Book To Market Ratio ◽

Operating Leverage

The determining force behind the value premium is the matter of debate among the researchers. Some are of the opinion that the financial distress risk determines value premium whereas other theorize that value premium is basically the compensation for operating leverage (investment activity risk). This research provides empirical evidence on this theoretical contradiction by investigating the relationships of financial leverage (FL) and operating leverage (OL) with stock returns, the book to market ratio (B/M), and systematic risk on non-financial sector firms trading at the Pakistan stock exchange (PSE). This research empirically finds significant and direct influence of operating leverage on stock returns, the book to market ratio, and systematic risk respectively. Overall findings provide support for the theoretical models which have a linked book to market effect with operating leverage. Thus, we conclude that investment activity risk seems to be the major factor that determines value premium.

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ANALISIS VARIABEL YANG BERPENGARUH TERHADAP KINERJA PERUSAHAAN DI BURSA EFEK INDONESIA

10.31227/osf.io/7vum4 ◽

2019 ◽

Author(s):

SUSENO - SUSENO

Keyword(s):

Linear Regression ◽

Multiple Linear Regression ◽

Stock Exchange ◽

T Test ◽

The Other ◽

Financial Leverage ◽

F Test ◽

Research Results ◽

Independent Variables ◽

Influential Variable

ANALISIS VARIABEL YANG BERPENGARUH TERHADAP KINERJA PERUSAHAAN DI BURSA EFEK INDONESIAOleh : Suseno STIE SATRIA Purwokerto ABSTRACT The aims of the research are (1) to analyze influence of age, scale, financial leverage, and profitability to performance of firms at The Indonesian Stock Exchange. (2) to determine the most influential variable on the performance of the firms. Hypotheses proposed in this research were: (1) Age, Scales, Financial Leverage, Profitability influences the performance of firms, (2) Age influences the performance of firms, (3) Scales influences the performance of firms, (4) Financial Leverage influences the performance of firms, (5) Profitability influences the performance of firms. Instrument of analysis employed in the research was multiple linear regression with t test and F test.The results of analyses of t test showed that profitability did not influence the performance of the firms. It was indicated by the value of computed t which was smaller than the value of t table. Meanwhile, the t test of age, scale and financial leverage indicated that the value of computed t > t table. It means that these variables (scale and financial leverage) influenced the performance of the firms. The F test showed that the independent variables of age, scale, financial leverage and profitability as a whole significantly influenced the performance of the firms. It was indicated by the calculated F > the value of F table, the value the age computed t which was smaller than the value of -t table..Based on the research results that age and profitability do not influence the performance of the firms, it is suggested that investors should not pay any attention to those variables. On the other hand, they should pay attention to the variables of scale and financial leverage. It is recommended that for further research should include longer periode of the sample.

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ANALISIS PENGARUH CAPITAL/LABOUR INTENSIVE, INVESTASI, KEPEMILIKAN MANAJERIAL, LEVERAGE OPERASI DENGAN VARIABEL MEDIASI KEBIJAKAN DIVIDEN DAN LEVERAGE KEUANGAN TERHADAP NILAI PERUSAHAAN

Jurnal Dinamika Manajemen dan Bisnis ◽

10.21009/jdmb.01.1.5 ◽

2017 ◽

Vol 1 (1) ◽

pp. 1-21 ◽

Cited By ~ 1

Author(s):

Robi Nugraha

Keyword(s):

Path Analysis ◽

Firm Value ◽

Stock Exchange ◽

Financial Sector ◽

Managerial Ownership ◽

Financial Leverage ◽

Panel Data Regression ◽

Data Regression ◽

Result Show ◽

Operating Leverage

ABSTRACT The purpose of this study was to analyze the influence of capital labour intensive, investment, managerial ownership, operating leverage, dividen and financial leverage on the firm value of Indonesia non financial sector companies, the influence of capital labour intensive, investment, managerial ownership, operating leverage variable on dividen and financial leverage of Indonesia non financial sector companies, and the influence of capital labour intensive, investment, managerial ownership, operating leverage variable on the firm value through dividen and financial leverage as intervening variable. The research data was collected using purposive sampling method to the data of non financial sector companies listed on the Indonesian Stock Exchange during the period 2003-2012. Based on the criteria of the study obtained 310 samples were then analyzed Using the panel data regression and path analysis. The results show that the capital labour intensive, investment, managerial ownership, operating leverage, dividen and financial leverage have significant influences on the firm value of Indonesia non financial sector companies. The capital labour intensive, investment, managerial ownership, operating leverage variable do not have significant influences on dividen. The capital labour intensive, investment, managerial ownership, operating leverage variable have significant influences on financial leverage. With path analysis, the result show the The capital labour intensive, investment, managerial ownership, operating leverage variable do not have significant influence on the firm value of Indonesia non financial sector companies with dividen and financial leverage as intervening variable. Keywords: Capital Labour Intensive, Investment, Managerial Ownership, Operating Leverage, Dividen and Financial Leverage, Firm Value.

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ANALISIS PENGARUH FAKTOR MIKRO EKONOMI TERHADAP RISIKO INVESTASI SAHAM PADA SEKTOR INDUSTRI MAKANAN DAN MINUMAN DI BURSA EFEK INDONESIA

Widya Amerta ◽

10.37637/wa.v6i2.373 ◽

2019 ◽

Vol 6 (2) ◽

Author(s):

Made Santana Putra Adiyadnya ◽

I Gede Rihayana ◽

Putu Agus Eka Rismawan ◽

Bagus Nyoman Kusuma Putra

Keyword(s):

Exchange Rate ◽

Capital Market ◽

Stock Exchange ◽

National Development ◽

Investment Risk ◽

Financial Leverage ◽

Beverage Industry ◽

Food And Beverage Industry ◽

Food And Beverage ◽

Operating Leverage

The Indonesian Capital Market has an important role in the mobilization of funds for national development. The capability of the Indonesian Capital Market in mobilizing funds has become an important container besides banking to provide funds through the sale of shares and bonds. The counting of return and risk are two important things in any capital or fund to be invested. Investment risk generally is affected by micro and macro factors. The purpose of this research is to analyze how the effect of financial leverage, operating leverage and company liquidity simultaneously and partially to share investment risk on the food and beverage industry in Indonesia stock exchange period 2013-2017. The result of this research were the variable of economic conditions, interest rate, inflation, exchange rate, financial leverage, operating leverage and company liquidity simultaneously have a significant effect to share investment risk on the food and beverage industry in Indonesia stock exchange period 2013-2017 and the variable of exchange rate with financial leverage variable has a negative and significant effect to share investment risk on the food and beverage industry in Indonesia stock exchange period 2013-2017.

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FAKTOR – FAKTOR FUNDAMENTAL YANG MEMPENGARUHI BETA SAHAM PADA PERUSAHAAN NON-KEUANGAN YANG TERDAFTAR DI BEI

Jurnal Magister Akuntansi Trisakti ◽

10.25105/jmat.v2i2.4958 ◽

2015 ◽

Vol 2 (2) ◽

pp. 121 ◽

Cited By ~ 1

Author(s):

Yulia Yulia ◽

Hotman T. Pohan

Keyword(s):

Significant Influence ◽

Return On Investment ◽

Stock Exchange ◽

The Other ◽

Financial Statement ◽

Financial Leverage ◽

Dividend Payout ◽

Other Hand

The objectives of this research are to analyze and investigate whether there is influence from financial leverage, liquidity, assets growth, assets size, return on investment and dividend payout ratio to stock beta. This research uses 309 financial statement of non-financial companies listed in Indonesia Stock Exchange during the period of 2011 to 2013. The result of this research shows that assets size has significant influence to stock beta. On the other hand, financial leverage, liquidity, assets growth, return on investment and dividend payout ratio have no significant influence to stock beta.

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THE IMPACT OF DEGREE OF FINANCIAL LEVERAGE AND DEGREE OF OPERATING LEVERAGE ON THE SYSTEMATIC RISK OF COMMON STOCK

Malaysian E Commerce Journal ◽

10.26480/mecj.01.2020.24.32 ◽

2020 ◽

Vol 4 (1) ◽

pp. 24-32

Author(s):

Khadija Younas ◽

Muhammad Sarmad

Keyword(s):

Systematic Risk ◽

Regression Technique ◽

Securities Market ◽

Financial Leverage ◽

Wealth Maximization ◽

Independent Variables ◽

Risk Return ◽

Operating Leverage ◽

The Impact

The aim of this study is that the to evaluate the effect of financial leverage and operating leverage on the systematic risk of stock. In trendy competitive business era, the power to extend come of the firm is usually depends on economical use of leverage within the capital structure. Leverage is outlined as an extended term debt funding that improves the permanent financial performance yet because the success of the organization. It conjointly explained because the use borrowed funds to ascertain investment and come thereon investment however it’s a lot of risky if they can’t be ready to generate higher rate of come in compare with value of capital. For this reason, the determination of the proportion of debt and equity is one in every of the foremost essential choices that the organization faces, and any variability in leverage will influence a company’s monetary capability, risk, return, investment, strategic call and therefore the wealth maximization of organization. During this study, financial leverage and operating leverage as independent variables and systematic risk because the variable is considered. This study used a quantitative analysis style. The population of the study was created from the 8 cement industries of Pakistan. The study used secondary knowledge that was obtained from the annual audited monetary statements that had audited and revealed by securities market of Pakistan for an amount of five years between 2014 and 2019. This study used a correlation analysis and a multiple rectilinear regression technique in analyzing the collected knowledge. The study found that financial leverage and operating leverage had a big positive relationship with systematic risk of stock. This study covers that financial leverage and operating leverage have an immediate result on the systematic risk of stock in a very companies’ come. The study counseled that management of corporations listed at the securities market to draw in smart management therefore to beat the danger of stock. Whereas important at ≤ 0/05 H0 hypothesis, is rejected. Otherwise, there’s no different adequate reason for rejecting H0 hypothesis. For testing the hypothesis of this study, rectilinear regression technique has been used. In step with the results obtained, H0 is rejected because of important = zero.00< 0.05. This analysis is 100% because of all knowledge is collected from the correct places.

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Forecasting systematic risk by Least Angel Regression, AdaBoost and Kernel Ridge Regression

Modern Applied Science ◽

10.5539/mas.v9n11p135 ◽

2015 ◽

Vol 9 (11) ◽

pp. 135

Author(s):

Mahdi Salehi ◽

Mahdi Moradi ◽

Samaneh Molaei

Keyword(s):

Ridge Regression ◽

Stock Exchange ◽

Systematic Risk ◽

Financial Data ◽

Matlab Software ◽

Kernel Ridge Regression ◽

Financial Decision

In according to importance of risk in financial decision and investment is one of issue that helps to investors is existing tools and appropriate models in order to predict systematic risk. Aim of this research was forecasting systematic risk of companies admitted at Tehran stock Exchange by Least Angel Regression (LARS), AdaBoost and Kernel Ridge Regression (KRR) and comparing ability of the algorithms in order to find the best methods of the test. In this study the financial data of (1159 observations) during 2005-2014. We used MATLAB software vision (R2013b). Results indicated that Kernel Ridge Regression (KRR) with 9.65% error (90.35% confidence) in comparison with Least Angel Regression (LARS) with 12.15% error (87.85% confidence) and AdaBoost with 28.91% error (71.09 confidence) has more ability for forecasting systematic risk. Moreover, ability of forecasting systematic risk in Least Angel Regression (LARS) is more than AdaBoost.

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Analisis Pengaruh Beta Saham, Debt To Equity Rasio (DER) terhadap Return On Asset (ROA) Perusahaan di Bursa Efek Indonesia

Jurnal STEI Ekonomi ◽

10.36406/jemi.v28i02.251 ◽

2019 ◽

Vol 28 (02) ◽

pp. 198-212

Author(s):

Muhammad Ikhsan ◽

Eko Budi Santoso

Keyword(s):

Stock Returns ◽

Stock Exchange ◽

Systematic Risk ◽

Net Income ◽

Financial Leverage ◽

Return On Equity ◽

Market Index ◽

Sample Data ◽

Equity Ratio ◽

Excess Stock Returns

Perhitungan rasio keuangan penting bagi perusahaan.. Investor dapat melihat kinerja perusahaan apakah perusahaan berkinerja baik dibandingkan dari rata-rata industri. Rasio adalah ukuran perbandingan antara pos dalam laporan keuangan dengan pos lainnya. Misalnya rasio profitabilitas yaitu Return on Asset makin tinggi ROA makin baik karena Net income makin tinngi. Demikian juga Debt to Equity ratio yaitu berapa batasan berhutang yang ideal yaitu financial leverage berapa ukuran maksimal sehingga net income maksimal.Resiko sistematis atau Beta saham didapat dari slope hasil regresi antara ekses return saham dengan ekses pasar adalah ukuran resiko juga dalam berinvestasi saham . Resiko adalah hal yang menyimpang dari target yang kita inginkan atau sesuatu pencapaian yangberbeda dari hal atau sesuatu yang kita inginkan atau harapkan. Contoh Resiko berinvestasi adalah jika kita menderita kerugian atau kehilangan pokok yang kita tanankan. Resiko yang mempengaruhi saham di bursa yaitu bisa resikosistematik atau bisa juga resiko unsistematis atau resiko di dalam perusahaan misalnya manajemennya. Resiko sistematisjuga disebut resiko pasar yang menimpa semua saham seperti pengaruh dari luar yaitu inflasi, kurs mata uang atau kebijakan pemerintah.Penelitian ini akan membahas apakah ada pengaruh Debt to equity ratio dan beta saham/ resiko sistematis terhadap nilai ROA karena bagi perusahaan net income adalah penting juga bagi investor untuk membeli saham.Sampel datayang diambil penulis sebanyak 35 macam saham dengan cara mengambil secara acak saham-saham yang ada di Bursa efek Indonesia. Data sampel akan diolah dengan statistik menjadi informasi dalam menjawab permasalahan dengan Aplikasi SPSS edisi 19. Hasil penelitian ini yaitu secara bersama-sama variabel Debt to Equity ratio dengan Beta saham mempunyai pengaruh yang signifikan terhadap Return on Equity (ROA) perusahaan di Bursa Efek Indonesia Calculation of finance ratios is important for the company. Investors can view the performance of the company if the company performs well compared to the average industry. The ratio is a measure of the ratio between account in the financial statements with another accounts. For example profitability ratios Return on Assets( ROA) higher is better because Net income increasing. Likewise with Debt to Equity ratio, is how much restriction ideal loanlikethe ideal size of financial leverage to maximum net income. Beta is a systematic risk obtained from the slope of the regression results between excess stock returns with excess return of the capital market index. This is a measure of risk in stock investing. Risk is something that deviates from the target that we want or something less achievement from thing or something we want or expect. Examples of investment risk is if we suffer any loss of money that we invest. Risks of invest stocks is a systematic risk or a unsystematis risk for examplelike a management in the company. Systematic risk is also called market risk hapend to all shares like outside influence,for example inflation, foreign exchange rates or government policy. This research will address the influence Debt to equity ratio and beta stocks / systematic risk to the value of Return of Asset (ROA) because for the company's net income is important for investors to decide buy shares. Sample data is retrieved author as many as 35 kinds of stocks by taking random stocks that exist in the Indonesian Stock Exchange. The sample data will be processed with statistical information in the answer problems with SPSS applications editions 19. Results of this research is jointly variable Debt to Equity ratio with Beta stocks have a significant influence on Return on Equity (ROA) companies in Indonesia Stock Exchange

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Analysis of the Effect of Operating Leverage and Financial Leverage on Companies Profitability Listed on Indonesia Stock Exchange

Ilomata International Journal of Management ◽

10.52728/ijjm.v1i2.65 ◽

2020 ◽

Vol 1 (2) ◽

pp. 45-50

Author(s):

Asraf Asraf ◽

Mia Muchia Desda

Keyword(s):

Consumer Goods ◽

Quantitative Data ◽

Sampling Method ◽

Stock Exchange ◽

Financial Leverage ◽

Financial Report ◽

Purposive Sampling ◽

Operating Leverage

The purpose of this study was to explain the influence of the Degree of Operating Leverage (DOL) and Degree of Financial Leverage (DFL) on company profitability. The population in this study was consumer goods companies listed on the Indonesia Stock Exchange in 2017-2018, with 33 sample companies selected using purposive sampling. Method research was causality research and the data used is quantitative data. The company published a complete financial report from 2017 to 2018 which could be accessed through the Indonesian Stock Exchange Website and related company websites. The data were analyzed using the SPSS 21 application. The result shows that individual testing of DOL with profitability and DFL with profitability and joint testing of DOL and DFL with profitability found that DOL and DCL did not have a significant effect on the changes in company profitability (ROE and ROA) .

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PENGARUH FAKTOR-FAKTOR INTERNAL PERUSAHAAN TERHADAP INCOME SMOOTHING

Media Riset Akuntansi Auditing & Informasi ◽

10.25105/mraai.v6i1.906 ◽

2006 ◽

Vol 6 (1) ◽

pp. 75

Author(s):

Etty M. Nasser ◽

Tobia Parulian

Keyword(s):

Logistic Regression ◽

Stock Exchange ◽

Income Smoothing ◽

The Other ◽

Chi Square ◽

Internal Factors ◽

Industrial Sectors ◽

Chi Square Test ◽

Operating Leverage ◽

Univariate Test

The objective of this research is to identify the influence of internal factor, such as size, profitability, operating leverage and sectors to the income smoothing practice. And the other objective is to examine the diffrerence between internal factors such as, size, profitability, operating leverage, industrial sectors from companies's income smoothing practice and the other companies's income smoothing practice. This research examine 47 companies listed in Jakarta Stock Exchange and issues ana dited finanacial statement since 2002-2004. The statistical methods used to test the hypothesis are univariate test, such as one-sample mogorov-Smimov test, Mann-Whitney test, Chi- Square Test, and ultivariate test that is Logistic Regression. To calculate the income smoothing used Eckel indexs. The result of the univariate test showed that industrial sectors and profitability between companies's income smoothing practice and the other companies's income smoothing practice has significantly differences. The multivariate test with logistic regression give result that only profitability have significant influence to income smoothing practice.keywords : Income smoothing, size, profitability, operating leverage, and industrial sectors.

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