ANALISIS PENGARUH CAPM BETA, FIRM SIZE, BOOK TO MARKET RATIO, DAN MOMENTUM TERHADAP RETURN SAHAM

This research is performed to examine influence of capm beta, firm size, book to market ratio, and momentum on stock return in companies that listed on the Indonesia Stock Exchange. The population in this research was manufacture companies that listed on the Indonesia Stock Exchange during 2012-2014 with purposive sampling. Variables used in this research are capital gain (return), natural logarithma total asset (firm size), the ratio of book value to market value (book to market ratio), and return t-12 (momentum). The results shows that beta, firm size, book to market ratio and momentum simultaneously have a significant impact toward stock return. The conclusion based on partial test are (1) book to market ratio and momentum have a positive significance influence toward stock return (2) beta has negative insignificance influence toward stock return and firm size has positive insignificance influence toward stock return. Predictive capability of independent variabel in this research to stock return is 34,09% while other 65,91% was influenced by other factors.

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ANALISIS PENGARUH FAKTOR-FAKTOR YANG MEMPENGARUHI HARGA SAHAM PADA PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

Jurnal Benefita ◽

10.22216/jbe.v1i1.3417 ◽

2019 ◽

Vol 1 (1) ◽

pp. 115

Author(s):

Natalis Christian ◽

Frecky Frecky

Keyword(s):

Firm Size ◽

Sampling Method ◽

Stock Exchange ◽

Market Price ◽

Total Asset ◽

Dividend Yield ◽

Return On Equity ◽

Book Value ◽

Purposive Sampling ◽

The Impact

This research aims to analyze the impact of financial factors on market price in companies listed on the Indonesia Stock Exchange. The independent variables to be analyzed in this research namely return on equity, book value per share, earning per share, dividend per share, dividend yield, price earning and debt to total asset, and with the control variables namely firm size. 121 firms for the period of 2012-2016 used for sample which selected by using purposive sampling method. Software SPSS version 22.0 and Eviews Version 7 for windows are used to test in this research. The results of this research showed that return on equity, book value per share, earning per share, dividend per share, and firm size positively significant on market price while dividend yield show negatively significant on market price. This result also show price earnings positively insignificant and debts to total assets negatively insignificant on market price.Penelitian ini bertujuan untuk menganalisa dampak atas faktor-faktor keuangan terhadap harga saham pada perusahaan yang terdaftar di Bursa Efek Indonesia. Variabel independen yang dianalisa dalam penelitian ini adalah return on equity, book value per share, earning per share, dividend per share, dividend yield, price earning dan debt to total asset, serta ukuran perusahaan sebagai variabel kontrol. Selama periode 2012-2016 sebanyak 121 perusahaan dipilih sebagai objek dalam penelitian ini dengan menggunakan metode purposive sampling. Pengujian data dalam penelitian ini menggunakan software SPSS versi 22.0 dan Eviews versi 7. Hasil penelitian ini menunjukkan bahwa return on equity, book value per share, earning per share, dividend per share dan ukuran perusahaan berpengaruh signifikan positif terhadap harga saham sedangkan dividend yield berpengaruh signifikan negatif terhadap harga saham. Penelitian ini juga menemukan bahwa walaupun price earning dan debts to total assets tidak memiliki pengaruh signifikan terhadapa harga saham, price earning berpengaruh positif dan debts to total assets berpengaruh negatif terhadap harga saham.

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Analisis Perbandingan Financial Distress Pada Perusahaan Sub Sektor Rokok Periode 2015-2019

Business Innovation and Entrepreneurship Journal ◽

10.35899/biej.v3i3.304 ◽

2021 ◽

Vol 3 (3) ◽

pp. 157-163

Author(s):

Anang Makruf ◽

Deni Ramdani

Keyword(s):

Financial Distress ◽

Stock Exchange ◽

Market Value ◽

Sampling Technique ◽

Z Score ◽

Book Value ◽

Purposive Sampling ◽

Quantitative Models ◽

A Company ◽

Analyze Data

Abstract – The aim of the study was to analyze financial distress in cigarette companies list in Indonesia Stock Exchange in 2015-2019 using 3 methods, Altman Z-Score, Zmijewski, and Springate. Purposive sampling is used in this study to determine the sampling technique. The sample used in this study released 4 cigarette companies. Descriptive asalysis with quantitative models was used to analyze data in this research. Altman Z-Score, Zmijewski, and Springate in 2015-2019 PT. HM Sampoerna Tbk, PT. Gudang Garam Tbk, and PT. Wismilak Inti Makmur Tbk is related to safe, but it is needed a company that is estimated to be grey in the Altman Z-Score calculation in 2018, PT. Wismilak Inti Makmur Tbk. The Z-score is at the limit because the companie has a ratio with a lower value in market value of equity to book value of liabilities Abstrak – Penelitian ini memiliki bertujuan untuk menganalisis perbandingan kesulitan keuangan dalam perusahaan sun sektor rokok di Indonesia Stock Exchange periode 2015-2019 menggunakan tiga metode. Metode yang digunakan yaitu Altman Z-Score, Zmijewski, dan Springate. Purposive sampling digunakan dalam penelitian ini untuk menentukan teknik pengambilan sampel. Sampel yang digunakan berjumlah 4 perusahaan rokok. Analisis deskriptif dengan pendekatan kuantitatif digunakan sebagai teknik analisis data. Dalam penelitian ini menjelaskan financial distress yang dihitung menggunakan metode Altman Z-Score, Zmijewski , dan Springate pada tahun 2015-2019 PT. HM Sampoerna Tbk, PT. Gudang Garam Tbk, dan PT. Wismilak Inti Makmur Tbk mengalami dalam kondisi keuangan yang sehat, namun terdapat perusahaan yang diestimasi rawan kebangkrutan pada perhitungan Altman Z-Score pada tahun 2018 yaitu PT. Wismilak Inti Makmur Tbk. hal ini dapat terjadi karena nilai Z-Score PT. Wismilak Inti MakmurTbk berada pada Z < 1,81 salah satu penyebabnya ialah rendahnya rasio market value of equity terhadap liabilities.

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PENGARUH RETURN ON ASSETS, DEBT TO EQUITY RATIO, PRICE EARNING RATIO DAN FIRM-SIZE TERHADAP NILAI PERUSAHAAN PADA PERUSAHAAN KATEGORI INDEKS LQ-45 DI BURSA EFEK INDONESIA

Balance Vocation Accounting Journal ◽

10.31000/bvaj.v1i2.473 ◽

2018 ◽

Vol 1 (2) ◽

pp. 12

Author(s):

Triana Zuhrotun Aulia

Keyword(s):

Linear Regression ◽

Firm Size ◽

Firm Value ◽

Positive Impact ◽

Stock Exchange ◽

Market Value ◽

Analysis Tool ◽

Return On Assets ◽

Book Value ◽

Equity Ratio

Price to Book Value (PBV) is the ratio of the market value of equity to the book value of equity. PBV is the level of ability to create a company's value relative to the amount of capital invested. This study will analyze both simultaneous and partial effect of return on assets, debt to equity ratio, price earning ratio and firm-size to price book value. Companies classified in LQ-45 selected as the population used in this study are listed on the Stock Exchange 2012-2016 period. Purposive sampling is used to get the sample in this research using criterias and 18 companies or 72 firm-years are the samples. Analysis tool in this research using spss 23.0. This research is using multiple linear regression. Based on the results of the partial test (t test) on the real level (α) = 5% can be seen that the variabel return on assets, debt to equity ratio and price earning ratio have a significant and positive impact on price book value, meanwhile firm-size have no significant effect on price book value. Keywords : Firm value, Price Book Value, Return on Asset, Debt to Equity Ratio, Price Earning Ratio, Firm-size.

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PENGARUH KINERJA KEUANGAN TERHADAP RETURN SAHAM PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2008-2010

JURNAL INFORMASI, PERPAJAKAN, AKUNTANSI, DAN KEUANGAN PUBLIK ◽

10.25105/jipak.v6i2.4484 ◽

2019 ◽

Vol 6 (2) ◽

pp. 83

Author(s):

Hermi Hermi ◽

Ary Kurniawan

Keyword(s):

Financial Performance ◽

Stock Returns ◽

Stock Return ◽

Stock Exchange ◽

Profit Margin ◽

Manufacturing Companies ◽

Book Value ◽

Purposive Sampling ◽

Net Profit ◽

Selection Of

This study aims to determine the effect of financial performance (return on the investments (ROI), Return on Equty (ROE), Net Profit Margin (NPM), Earning Per Share (EPS), Price to Book Value (PB V)) to return the shares either partial or simultaneously. The study focused on manufacturing comanies listed in Indonesia Stock Exchange (BEI) in the period 2008 to 2010. The selection of samples based on purposive sampling, so that the obtained sample of 56 manufacturing companies. The result of the sestudies show that partially only variable that has just EPS significantly influence on stock returns. While other variables, namely ROl, ROE, NPM, PBV had no signfficant effect on stock returns. In simultaneoualy free variabrl ROI,ROE, NPM, EPS, PBV has a significant effect on the stock Return.

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ANALISIS RASIO ALTMAN MODIFIKASI PADA PREDIKSI KEBANGKRUTAN PERUSAHAAN PROPERTY DAN REAL ESTATE YANG TERDAFTAR DI BEI

Assets Jurnal Akuntansi dan Pendidikan ◽

10.25273/jap.v4i2.680 ◽

2015 ◽

Vol 4 (2) ◽

pp. 112

Author(s):

Anita Tri Widiyawati ◽

Supri Wahyudi Utomo ◽

Nik Amah

Keyword(s):

Logistic Regression ◽

Real Estate ◽

Market Value ◽

Total Asset ◽

Working Capital ◽

Book Value ◽

Purposive Sampling

Penelitian ini bertujuan untuk mengetahui pengaruh rasio Altman Modifikasi terhadap prediksi kebangkrutan. Jenis penelitian ini termasuk penelitian kuantitatif. Populasi dalam penelitian ini adalah perusahaan property dan real estate yang terdaftar di BEI. Teknik pengambilan sampel menggunakan purposive sampling sehingga diperoleh sampel sejumlah 32 perusahaan property dan real estate yang menerbitkan laporan keuangannya selama tahun 2011-2013. Teknik analisis data menggunakan regresi logistik (logistic regression). Hasil penelitian menunjukkan bahwa: (1) working capital/total asset tidak berpengaruh terhadap prediksi kebangkrutan; (2) retained earning/total asset tidak berpengaruh terhadap prediksi kebangkrutan; (3) earning before interest and tax/total asset berpengaruh terhadap prediksi kebangkrutan; (4) market value of equity/book value of equity tidak berpengaruh terhadap prediksi kebangkrutan; (5) rasio Altman Modifikasi secara simultan berpengaruh terhadap prediksi kebangkrutan. Rasio Altman Modifikasi terbukti secara bersama-sama dapat digunakan untuk memprediksi kebangkrutan.

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MODEL PREDIKSI KESULITAN KEUANGAN DENGAN RASIO KEUANGAN (Studi kasus Pada Perusahaan Manufaktur di Indonesia yang telah terdaftar selama 5 Tahun di BEI 2008-2012)

TEKUN: Jurnal Telaah Akuntansi dan Bisnis ◽

10.22441/tekun.v8i1.5524 ◽

2019 ◽

Vol 8 (1) ◽

Author(s):

Diaz Lunardi Santoso

Keyword(s):

Logistic Regression ◽

Financial Distress ◽

Manufacturing Industry ◽

Sampling Method ◽

Stock Exchange ◽

Market Value ◽

Financial Ratios ◽

Predicting Model ◽

Book Value ◽

Purposive Sampling

This research aimed to figure financial distress model and to determined wihich financial ratios can predict financial distress for 1 year; 2 years; and 3 years before. This research was using samples of manufacturing industry thst listed on The Indonesian Stock Exchange in 2008-2012. Based on purposive sampling method, the research samples total are 160 manufactured companies. To figure the model, this research used logistic regression. This research indicated that financial ratios likes leverage, profitability, activity, RE to Total Assets, Market value of Equity to Book Value of Debt can predict financial distress 1 year; 2 years; and 3 years before. These financial ratios can predict above 64% of financial distress for 1 year; 2 years, and 3 years before, while around 36% were influeced by others factors. The predicting model for 1 year have 96,3% clasification accuracy ,while 2 years model have 96,3% clasification accuracy and 3 years model have 92,5% clasification accuracy

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Financial Distress Analysis in an Indonesian Textile Company

KnE Social Sciences ◽

10.18502/kss.v5i5.8846 ◽

2021 ◽

Author(s):

Yanuar Ramadhan ◽

Marindah Marindah

Keyword(s):

Financial Distress ◽

Market Value ◽

Total Asset ◽

Z Score ◽

Working Capital ◽

Book Value ◽

Purposive Sampling ◽

Simultaneous Effect ◽

Score Method ◽

Altman Model

This research aimed to examine the health of textile companies by using the Altman Z-Score method. The Altman model is used to determine the effect on financial distress through Working Capital to Total Asset (WCTA), Retained Earning to Total Asset (RETA), Earning Before Interest and Tax to Total Asset (EBITA), Market Value of Equity to Book Value of Liabilities (MVEBL) and Sales to Total Asset (STA). The population in this study was textile companies for the period 2016-2019. The sample was 14 textile companies with a research time of 4 years resulting in 56 samples obtained by purposive sampling. The results indicated that WCTA, RETA, EBITA, MVEBL and STA had a simultaneous effect on financial distress, but they had no effect separately. Keywords: Altman Z-Score, financial distress, bankruptcy

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PENGARUH LEVERAGE, FIXED ASSET INTENSITY, DAN FIRM SIZE TERHADAP NILAI PERUSAHAAN DENGAN REVALUASI ASET SEBAGAI MODERASI

Jurnal Riset Ekonomi dan Bisnis ◽

10.26623/jreb.v12i1.1524 ◽

2019 ◽

Vol 12 (1) ◽

pp. 1

Author(s):

Riski Meirdiani Lestari ◽

Indarto Indarto

Keyword(s):

Firm Size ◽

Firm Value ◽

Stock Exchange ◽

Financial Statements ◽

Sem Analysis ◽

Manufacturing Companies ◽

Fixed Asset ◽

Book Value ◽

Purposive Sampling ◽

Fixed Assets

Penelitian ini bertujuan untuk menganalisis pengaruh leverage yang diproksikan dengan debt to asset ratio, fixed asset intensity dan firm size terhadap nilai perusahaan yang diproksikan dengan price to book value dengan revaluasi aset sebagai moderasi. Data diambil dari laporan keuangan dan laporan tahunan perusahaan manufaktur yang terdaftar di BEI tahun 2015-2016. Dengan metode purposive sampling, diperoleh 42 sampel perusahaan revaluer. Data diolah menggunakan analisis SEM smartPLS versi 3.0 Hasil pengujian menunjukkan bahwa leverage dan firm size berpengaruh signifikan terhadap nilai perusahaaan, sedangkan fixed asset intensity tidak berpengaruh terhadap nilai perusahaan. Revaluasi aset tidak memoderasi hubungan antara leverage, fixed asset intensity dan firm size terhadap nilai perusahaan The purpose of this study is to analyze the influence of leverage which using debt to asset ratio as the proxy, fixed asset intensity and firm size to the firm value which using price to book value as the proxy with revaluation of fixed assets as a moderating.The data obtained from the financial statements and annual report of manufacturing companies that listed in the Indonesian Stock Exchange on period 2015-2016. As much as 42 revaluer firms were taken as a sample using purposive sampling method, ande analyzed by the Structural Equatiom Modeling (SEM) analysis using smartPLS version 3.0.The results shows that leverage and firm size significantly effect to the firm value, but fixed asset intensity has not significant effect to the firm value. As a moderating variable, revaluation of fixed assets can not moderate the effect of leverage, fixed asset intensity and firm size to the firm value.

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Pengaruh DER, NPM, ROA, Dan TATO Terhadap Return Saham (Study Pada Perusahaan Sektor Industri Otomotif dan Komponen)

Jurnal Ilmiah Manajemen Kesatuan ◽

10.37641/jimkes.v9i2.450 ◽

2021 ◽

Vol 9 (2) ◽

pp. 21-30

Author(s):

Laeli Choerun Nikmah ◽

Sri Hermuningsih ◽

Agus Dwi Cahya

Keyword(s):

Stock Return ◽

Negative Impact ◽

Positive Impact ◽

Stock Exchange ◽

Profit Margin ◽

Total Asset ◽

Purposive Sampling ◽

Net Profit ◽

Equity Ratio ◽

Turn Over

ABSTRACT The purpose of this study to test the stock return by implemented Debt to Equity Ratio, Net Profit Margin, Return On Asset, Total Asset Turn Over of automotive and component industries listed in Indonesian Stock Exchange (IDX) 2015-2019 period. The entire population was 15 companies. Purposive sampling method was the technique used in sampling retrieval. From the method of determining the sample by purposive sampling, the were 11 companies that met the sampling criteria. The data analysis techniques used SPSS 20 analysis tools. The result showed that simultaneously DER, NPM, ROA, and, TATO had significant impact to stock return. In partial, DER had negative impact and did not significant impact to stock return. NPM variables affect significant negative to stock return. ROA and TATO had significant positive impact to stock return. ABSTRAK Maksud penelitian ini untuk menguji return saham dengan mengimplementasikan Debt to Equity Ratio, Net Profit Margin, Return On Asset, Total Asset Turn Over pada perusahaan sektor industri otomotif dan komponen yang terdaftar di Bursa Efek Indonesia (BEI) pada periode 2015-2019. Keseluruhan populasi yang ada yaitu berjumlah 15 perusahaan. Metode purposive sampling adalah teknik yang digunakan dalam pengambilan sampel penelitian. Dari metode penentuan sampel dengan purposive sampling, didapatkan 11 perusahaan yang memenuhi kriteria pengambilan sampel. SPSS 20 digunakan sebagai alat analisis dalam menganalisis data. Secara simultan, hasilnya yaitu variabel DER, NPM, ROA, dan TATO memengaruhi return saham secara signifikan. Secara parsial, variabel DER memengaruhi return saham secara negatif dan tidak signifikan. Variabel NPM memengaruhi return saham secara negatif dan signifikan. Variabel ROA dan variabel TATO memengaruhi return saham secara positif signifikan.

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THE EFFECT OF ECONOMICS VALUE-ADDED, MARKET VALUE-ADDED, TOTAL ASSET RATIO, AND PRICE EARNINGS RATIO ON STOCK RETURN

Jurnal Akuntansi Trisakti ◽

10.25105/jat.v5i2.4866 ◽

2019 ◽

Vol 5 (2) ◽

pp. 239

Author(s):

Willy Poltak Silitonga ◽

Rizky Alika Ramadhani ◽

Ridho Nugroho

Keyword(s):

Stock Returns ◽

Stock Return ◽

Stock Exchange ◽

Linear Regression Analysis ◽

Value Added ◽

Market Value ◽

Multiple Linear Regression Analysis ◽

Total Asset ◽

Price Earnings Ratio ◽

Market Value Added

This study is to analyze the effect of economic value added, market value added, total assets turn over and price earning ratio to stock returns. The multiple linear regression analysis used to identify the effect of independent variables on the dependent variable. The sample was obtained from the consumer goods sector listed on the Indonesia Stock Exchange. The data covers three years from 2015 to 2017. The results of this study indicate total asset turnover (TATO) and price earnings ratio (PER) have a significant effect on stock return whereas the other variable economics value added and market value added is insignificant on stock return.

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