HUBUNGAN EARNINGS , CASH FLOW, BANK RISK FACTORS DAN SIZE TERHADAP STOCK RETURNS PADA PERUSAHAAN PERBANKAN YANG TERDAFTAR DI BURSA EFEK INDONESIA PERIODE 2010-2012
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Keywords:
Stock returns, bank risk factors, earnings, cash flow, size
Abstract
Penelitian ini bertujuan untuk melihat pengaruh mengenai hubungan earnings, cash flow, bank risk factors dan size terhadap stock return. Objek penelitian adalah badan usaha yang bergerak di sektor industri perbankan yang terdaftar di Bursa Efek Indonesia periode 2010-2012. Sektor industri perbankan dipilih karena memiliki market capital paling tinggi dan ada bank risk factors. Variabel dependen yang digunakan adalah stock returns sebagai proxy dari kinerja perusahan.Variabel independen adalah earnings, cash flow, bank risk factors yang terdiri dari interest rate risk factor (INTR), credit risk factor (CRR), liquidity risk factor (LIQR) dan solvency risk factor (SOLR) yang semuanya harus mempunyai nilai eigenvalues lebih dari 1,0. Selanjutnya sifat earnings dan size. Penelitian dilakukan dengan menggunakan regresi linier berganda. Hasil dari penelitian ini menunjukkan (1) baik earnings maupun cash flow tidak mempunyai hubungan yang signifikan terhadap perubahan stock returns; (2) bank risk factors juga tidak mempunyai hubungan yang signifikan dengan perubahan stock returns; (3) pada saat earnings bersifat transitory, cash flow tetap tidak mempunyai hubungan yang signifikan dengan perubahan stock returns; (4) size tidak mempunyai dampak pada hubungan earnings dan cash flow terhadap stock returns.
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Dimitroupolus, Panagiotis E., Dimitrios Asteriou, Evangelos Koumanakos. 2010. The Relevance of Earnings and Cash Flows in a Heavily Regulated Industry: Evidence from Greek Banking Sector. Advances in Accounting, in Corporating Advances in International Accounting 26 (2010) 290-303
Elliott, Larry, Jill Treanor. 2009. Lehman Downfall Triggered by Mixed-up between London and Washington. (online). (http://www.theguardian.com/business/2009/sep/03/lehman-collapse-us-uk-blame, diakses tanggal 25 September 2013) Fraser, Lyn M., Aileen Ormiston. 2013. Understanding Financial Statements 10th edition. England: Pearson Education
F., Cheng F., A. Nasir. 2010. Earnings Response Coefficients and the Financial Risks of China Commercial Banks. International Review of Business Research Papers Vol. 6, No. 3 August 2010 pp. 178-188
Guenther, David A. 2005. Financial Reporting and Analysis. USA: McGraw Hill Education.
Habib, Ahsan. 2008. The Role of Accruals and Cash Flows in Explaining Security Returns: Evidence from New Zealand. Journal of International Accounting, Auditing and Taxation 17 (2008) 51-66
Kryzanowski, Lawrence, Sana Mohsni. 2013. Growth of Aggregate Corporate Earnings and Cash Flows: Persistences and Determinants. International Review of Economics and Finance 25 (2013) 13-23
Kompas. 2008. Lehman Brothers Bangkrut. (online). (http://entertainment.kompas.com/read/2008/09/16/00345387/lehman.brothers.bangkrut, diakses tanggal 25 September 2013)
Lopez, Jose E. Miranda, Linda M. Nichols. 2012. The Use of Earnings and Cash Flow in Investment Decisions in the US and Mexico: Experimental Evidence. Journal of International Accounting, Auditing and Taxation 21 (2012) 198-208
Madura, Jeff. 2010. Financial Institutions and Markets 9th edition. Sydney: South-Western Cenga
Mishkin, Frederic S.. 2010. The Economics of Money, Banking and Financial Markets 9th edition. Addison Weasley: Pearson Education Inc.
Nataputra, Cecilia. 2009. Analisis Perilaku Institusional dengan Pendekatan Analytical Hierarchy Process (AHP). Bisnis dan Birokrasi Jurnal Ilmu Administrasi dan Organisasi Vol. 16 No. 3 Sept-Des 2009, hlm 180-187
Nichols, D. Craig, James M. Whalen. 2004. How Do Earnings Relate to Stock Returns? A Review of Classic Accounting Research with Updated Evidence. Accounting Horizons Vol. 18 No. 4 December 2004, pp 263-286
Nugroho, B.A. 2005. Strategi Jitu Memilih Metode Statistik: Penelitian dengan SPSS. Yogyakarta: CV Andi Offset
Nurhidayah, Budi Artinah. 2012. Pengaruh Resiko Keuangan terhadap Earnings Response Coefficient (ERC) pada Perusahaan Perbankan di Indonesia. Jurnal Ilmu Sosial Vol. 4 No. 1 Februari 2012
Primus, Josephus. 2008. Lehmann Brothers Bikin IHSG Loyo. (online). (http://health.kompas.com/read/2008/09/15/17083476/www.kompas.com, diakses tanggal 25 September 2013)
Priyatno, D. 2009. SPSS untuk Analisis Korelasi, Regresi dan Multivariate. Yogyakarta: Gava Media
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Rose, Peter S., Sylvia C. Hudgins. 2006. Bank Management & Financial Services 6th edition. New York: McGraw Hill Education.
Rose, Peter S., Sylvia C. Hudgins. 2010. Bank Management & Financial Services 8th edition. USA: McGraw Hill Education.
Rose, Peter S., Sylvia C. Hudgins. 2013. Bank Management & Financial Services 9th edition. New York: McGraw Hill Education.
Santoso, S. 2002. Buku Latihan SPSS Statistik Multivariat. Jakarta: Elex Media Komputindo
Santoso, S. 2010. Statistik Nonparametrik: Konsep dan Implikasi dengan SPSS. Jakarta: Elex Media Komputindo
Saunders, Anthony, Marcia Milton Cornett. 2011. Financial Institutions Management: a Risk Management Approach 7th edition. Boston: Mc-Graw Hill Education.
Taswan.2006. Manajemen Perbankan. Jogjakarta: UPP STIM YKPN.
Published
2013-09-01
Section
Bidang Akuntansi (AK)
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