Kamis, 25 November 2010

VALUE AT RISK DAN IMBAL HASIL PADA AKTIVITAS TRADING KELOMPOK TICK SIZE TERTINGGI DI BURSA EFEK INDONESIA

Oleh : PERDANA WAHYU SANTOSA & HARRY YUSUF A. LAKSANA
(Dipublikasi : The 4th PPM National Conference on Management Research Jakarta, 25 November 2010, ISSN: 2086-0390, hal. 1-16)

Abstract
This research attemps to find how the VaR, stock’s return and some trading activity variables would inter relate when the Indonesia Stock Exchange (IDX) has liquidity. We try to analyze the affects of value at risk (VaR), market risk (Beta), stock’s size, liquidity and price-to-book value ratio to the stock’s return. One of the purposes of this reasearh specifically is to try create the model as the alternative of classic CAPM in highest tick size (Rp50). This research focuses in (1) the relationship between return, VaR and market risk (2) the relationship between return and liquidity and (3) the relationship between return and PBV. We employ panel data methodology which the combining of time series and cross section for data analysis. The purposive stratified sampling data from active stocks of various industry get 7 samples of highprice level in LQ-45 index for period 2004-2006. The findings of this research are VaR, Beta, and liquidity have positively relate to the stock returns but liquidity showed the different result. These findings indicated that investment risk measurement such as VaR and Beta in the liquid market can provide rational interrelate to stock’s return especially, on highest tick size at IDX. Furthermore, these results support the previous researches which are done by many scholars, and conclude with a systematic coverage of empirical evidence about the opportunity of VaR as an alternative factor for Capital Asset Pricing Model (CAPM).
Keywords: Value-at-Risk, return, hightick size, asset prcing, market risk, size, liquidity, price-to-book value.

I. PENDAHULUAN
Dewasa ini, praktisi pasar modal membutuhkan model yang dapat diandalkan untuk mengukur hubungan klasik risk-return. Model tersebut penting karena diperlukan untuk menghitung risk premium portofolionya pada pasar finansial yang dimasukinya. Pada umunya ini, secara teoritis, risiko investasi saham dan ekspektasi imbal hasilnya menggunakan pendekatan tradisional yaitu Capital Asset Pricing Model (CAPM). Namun pada tataran praktis, CAPM kerap dipertanyakan akurasi dan keandalannya sebagai alat pengukur risiko pasar.

Menurut Fama & French (1992) dalam pembentukan teori CAPM, terdapat variabel-variabel atau faktor-faktor penting lainnya tidak dilibatkan dalam menjelaskan hubungan expected return dengan risk market (Beta). Bahkan lebih dari 20 tahun terakhir ini, banyak peneliti keuangan dan investasi menemukan bukti-bukti signifikan bahwa variabel-variabel seperti kapitalisasi pasar (stock size), Price-to-Book Value (PBV) dan Earnings to price ratio (EPS) mempunyai pengaruh siginifikan (explanatory power) terhadap rerata imbal hasil saham [Datar et al. (1998), Chan & Pfaff (2003); Jacoby et al. (2000)].
Sebagai alternatif untuk melengkapi teori CAPM tersebut, adalah penggunaan Value at Risk (VaR) sebagai salah satu variabel untuk mengestimasi korelasi risiko dan imbal hasil. VaR dikenal luas oleh para manajer investasi dan hedge fund serta para regulator pasar finansial. Selain itu, VaR sudah diimplemantasikan oleh sebagian besar institusi keuangan ternama sebagai piranti manajemen risiko. Implementasi VaR merupakan suatu cara . . . . . . . .. . (baca selengkapnya)

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KEMAMPUAN PREDIKSI RASIO-RASIO KEUANGAN TERHADAP LABA DAN ARUS KAS MASA DEPAN & PENGARUHNYA TERHADAP DIVIDEND PAYOUT RATIO

PADA PERUSAHAAN MANUFAKTUR DAN JASA

Oleh : Isti Fadah & Dessy Putri Andini
(Dipublikasi : The 4th PPM National Conference on Management Research Jakarta, 25 November 2010, ISSN: 2086-0390, hal. 1-11)
ABSTRACT
The aim of this research is to test the ability of financial ratios including gross profit to net sales, current ratio, cost of goods sold inventory, cost of goods sold to net sales, inventory to net sales, net sales to net assets, quick assets to inventory, quick assets to total assets, working capital to total assets, working capital to net sales, profit before taxes to shareholders’ equity in predicting the profit which is gotten by the company and future cash flow, and also to rest the ability of profit and free cash flow for investating or funding increasing DPR.
The research population is all public company which are listed in Bursa Efek Indonesia (BEI). The research sample is taken by using purposive sampling and found 40 manufacture companies and 1 service company in 2006-2008 research period. This research uses path analysis.
The result of the rest shows that only CGSNS (cost of goods sold to net sales) ratio and PBTSE (profit before taxes to shareholders’ equity) ratio have positive and significance influence on profit intervening variable and cash flow. Meanwhile, profit and cash flow can be used to predict DPR. The profit has bether influence in predicting DPR than cash flow. This is normal because the company only can share the bigger dividend if the company can get bigger profit. If the profit is still stagnant, the company cannot give bigger dividend, because it means the company will share its own capital.
Key word : Funding Ratio, Profit, Cash Flow, and Dividend Payout Ratio.

I. PENDAHULUAN
Dividen seringkali digunakan sebagai indikator atau sinyal prospek suatu perusahaan. Oleh karena itu, perusahaan yang go public mempunyai kewajiban untuk melaporkan kinerjanya kepada investor dalam bentuk laporan keuangan dan pengumuman besarnya dividen yang dibagikan. Besar kecilnya dividen yang dibayarkan kepada pemegang saham tergantung pada kebijakan dividen masing-masing perusahaan dan dilakukan berdasarkan pertimbangan berbagai faktor. Menurut Gitman (2003), faktor-faktor yang mempengaruhi kebijakan dividen suatu perusahaan adalah debt covenant, likuiditas, posisi kas, prospek pertumbuhan perusahaan, dan kuasa kendali para pemegang saham yang memiliki mayoritas saham perusahaan.
Dividend payout ratio dapat diprediksi melalui laba dan arus kas menggunakan rasio keuangan, konsep laba dan arus kas hingga kini masih menjadi bahan perdebatan dan perbincangan yang menarik bagi para akuntan dan analisis keuangan. Hal ini terlihat dari banyak penelitian-penelitian yang masih mempelajari secara empiris variabel-variabel tersebut.

. . . . . . . . . . . . . (baca selengkapnya)

Artikel Lengkap dikompilasi oleh/ HUBUNGI :
Jln. Sariasih No. 54 BANDUNG 40151
HP. 08122353284 - 087822984716  Telp/Fax. 022-4267749
PIN BBm : 27CBC148      
Facebook : Kanaidi Ken & Kanaidi Ken Part II
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Disamping itu, .........MUNGKIN Anda/ teman Anda BUTUH ini?
Kami memiliki beberapa Artikel/Jurnal tentang :

·         Jurnal “ICT” … click di http://ken-ict.blogspot.com/
·         Jurnal “Corporate Image” … click di http://ken-image1.blogspot.com/
·         Jurnal “Customer Value” … click di http://www.ken-value.blogspot.com/
·         Jurnal “Customer Loyalty” … click di http://ken-loyalty.blogspot.com/
·         Jurnal “Brand & Merek” … click di http://ken-merek.blogspot.com/
·         Jurnal “Service Quality” … click di http://ken-servqual1.blogspot.com/
·         Jurnal “MARKETING & BUSINESS” … click di http://ken-promark.blogspot.com/
·         Jurnal “Customer Satisfaction” … click di http://ken-kepuasan.blogspot.com/
·         Jurnal “Personal Selling” … click di http://ken-selling.blogspot.com/
·         Jurnal “Corporate Culture” … click di http://ken-culture.blogspot.com/
·         Jurnal “Customer Relationship Management (CRM)” … click di http://ken-crm.blogspot.com/
·         Jurnal “DELPHI METHOD” … click di http://ken-delphi.blogspot.com/
·  Jurnal “Kewirausahaan (Entrepreneurship)” … click di http://ken-entrepreneurship.blogspot.com/
·         Business Plan dan Marketing Plan… click di http://ken-businessplan.blogspot.com/
·         Artikel “Competitive Strategy” … click di http://ken-persaingan.blogspot.com/
·  Jurnal “Customer Behavior (Perilaku Konsumen)”… click di http://ken-behavior.blogspot.com/
· Jurnal “LKMS (Lembaga Keuangan Mikro Syariah)”… click di http://lkmsnetkas.blogspot.com/
·         Artikel “Dunia PERIKLANAN” … click di http://ken-iklan.blogspot.com/
·         Artikel “QFD (Quality Function Deployment)” … click di http://ken-qfd.blogspot.com/
·  Artikel “STP (Segmenting, Targeting, & Positioning)”  … click di http://ken-stp.blogspot.com/
·         Jurnal “e-COMMERCE”....click di http://ken-international.blogspot.com/
·         Jurnal “BALANCED SCORECARD”....click di http://ken-keuangan.blogspot.com/
·         Jurnal “MANAJEMEN SDM” .....click di http://ken-msdm.blogspot.com/
·         Jurnal “CUSTOMER TRUST”.....click di  http://www.ken-trust.blogspot.com/
·         Jurnal “Good Corporate Governance (GCG)” … click di http://ken-gcg.blogspot.com/
·         Jurnal “CSR”  … click di http://ken-csr1.blogspot.com/
·         Jurnal “MEREK (Brand)”  … click di http://ken-merek.blogspot.com/
·         Jurnal “PERIKLANAN (Advertising)”  … click di http://ken-iklan.blogspot.com atau di http://ken-iklan1.blogspot.com/ atau di http://ken-iklan2.blogspot.com/ atau di http://ken-iklani.blogspot.com/
·         Jurnal “Manajemen Retail”  … click di http://ken-retail.blogspot.com/
·         Jurnal “Komunikasi Pemasaran Terpadu (IMC)”  … click di http://ken-imc.blogspot.com/
·         Jurnal “Internal Marketing” … click di http://ken-im.blogspot.com/
·         Jurnal “EXPERIENTIAL MARKETING”  … click di http://ken-experiental.blogspot.com/
·         “Peluang BISNIS ONLINE” secara Sederhana……MINAT?... coba lihat (click) dulu di http://formulabisnis.com/?id=ken_kanaidi
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