PENGARUH FAKTOR-FAKTOR FUNDAMENTAL PERUSAHAAN, KURS DAN TINGKAT BUNGA TERHADAP NILAI PERUSAHAAN PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA
Keywords:
growth, leverage, return on equity, dividend payout ratio, exchange rate, interest rate, pooled panel data modelsAbstract
Researches on the influence of fundamental factors, exchange rate, and interest rate on corporate value have been widely conducted, however results inconsistency occurred. Fundamental factors, exchange rate, interest rate, which in this case is assessed by growth, leverage, profit/Return on Equity (ROE), dividend payout ratio have a positive effect on corporate value; however there are also some findings that, leverage, profit/Return on Equity (ROE), dividend payout ratio have a negative effect. Researchers predicted that there are other influencing factors. This condition drives researchers to use exchange rate, interest rate as adding variables. This research aims to test the influence of fundamental factors on corporate value by adding the two variables.
This research uses 10 manufacturing firms listed on the Indonesian Stock Exchange during 2003-2009 as samples with 63 observations. Hypothesis is tested using Pooled Regression Models to find out the interactive influence of the two variables. The corporate value measured using Tobin's Q.
Results indicate that (1) ROE has a positive effect on corporate value, (2) growth has a negative effect on corporate value, (3) leverage has a negative effect on corporate value, (4) DPR has a negative effect on corporate value, (5) exchange rate has a negative effect on corporate value, (6) interest rate has a negative effect on corporate value, (7) growth, leverage, profit/Return on Equity (ROE), exchange rate, interest rate affect the corporate value which Tobin’s Q acts as its proxy.
References
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Atmaja, L. S. (1994). Manajemen keuangan. Yogyakarta: Andi.
Black, F., & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, 1, 1-22.
Benhart, S. W. (1994). Board composition, managerial ownership and firm performance: an empirical analysis. Working paper. Department of Finance, Clemson University, 2-24.
Bathala, C. T., Moon, K. P., & Rao. (1994). Managerial ownership, debt policy and the impact of institutional holding. An Agency Perspective Financial Management, 23, 38-50.
Bistrova, J., & Lace, N. (2009). Relevance of fundamental analysis on the Baltic equity market. Economics and Management, 14, 132-137.
Bethel, J.E., & Liebeskind, J. (1993). The of ownership structure on corporate structuring. Strategic Management Journal, 14, 15-31.
Brigham, E. F., & Houston, J. F. (2001). Manajemen keuangan. Jakarta: Erlangga.
Chung, K. H., & Pruitt, S. W. (1994). A simple approximation of Tobin’s Q. Financial Management, 23 (3), 70-75.
Cooke, T. E. (1989). Disclosure in the corporate annual report of Swedish companies. Accounting Business Research, 19 (74), 113-124.
Chan, Louis K. C., Hamao, Y., & Lakonishok, J. (1991). Fundamental and stock return in Japan. Journal of Finance, 46, 1739-1764.
Chen, C. R., & Steiner, T. (1999). Manajerial ownership and agency conflict: A nonlinier simultaneous equation analysis of management ownership, risk taking, debt policy, and dividen policy. Financial Review, 34, 119-136.
Denis, David J., & Osobov, I. (2008). Why do firms pay dividends? International evidence on the determinants of dividen policy. Journal of Financial Economic, 89.
Dickens, Ross N., Casey, K. M., & Newman, J. A. (2002). Bank dividend policy: Explanatory factors. Quarterly Journal of Business & Economics, 41.
Durnev, A., & Kim, H. (2005). To steal or not to steal: Firm atributes, legal environment and valuation. Journal of Finance, 60 (3), 1461-1493.
Emory, C. W., & Cooper, D. R. (1994). Business Research Methods. New York: McGraw-Hill.
Fama, Eugene F., & French, R. K. (1998). Taxes, financing decision, and firm value. The Journal of Finance, 53 (3), 819-843.
Farrar, D. E., & Selwyn, L. L. (1967). Taxes, corporate financial policy and return to investors. National Tax Journal, 20, 443-454.
Frankfurter, G. M., & Wood, J. B. G. (2002). Dividend policy theories and their empirical tests. International Review of Financial Analysis, 11 (2), 111-138.
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Glen, J. D., Karmokolias, Y., Miller, R. R., & Shah, S. (1995). Dividend policy and behaviour in emerging markets: To pay or not to pay. International Financial Corporation, Discussion Paper No. 26.
Gordon, M. (1962). The savings, investments and valuation of a corporation. Review of Economics and Statistics, 37-51.
Gordon, M. (1961). The invesment, financing, and valuation of corporation. Review of Economics and Statistics.
Gujarati, D. M. (1995). Basic econometric. New York: McGraw-Hill.
Hasnawati, Sri. (2005). Pengaruh keputusan investasi, keputusan pendanaan dan kebijakan dividen terhadap nilai perusahaan publik (di Bursa Efek Jakarta). Disertasi, Universitas Pajajaran Bandung.
Hanafi, M. M. (2004). Manajemen keuangan. Yogyakarta: BPFE.
Hanafi, M. M. (2007). Analisis laporan keuangan. Yogyakarta: UPP STIM YKPN.
Irfan, C. M., & Nishat, M. (2002). Key fundamental factors and long-run price changes in an emerging market - A case study of Karachi stock exchange. The Pakistan Development Review, 41 (4), 517-533.
Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76 (2), 323-329.
Jensen, M. C., & Warner, J. B. (1988). The distribution of power among corporate manegers, shareholders, and directors. Journal of Financial Economics, 20, 3-24.
Jensen, S., & Zorn. (1992). Simultaneous determination of insider ownership, debt, and dividend policies. Journal of Financial Economic, 3, 305-360.
Jauhari, B. R., & Wibowo, B. (2004). Analisis fundamental terhadap return saham pada periode bullish dan bearish Indeks Harga Saham Gabungan. Jurnal Akuntansi dan Keuangan.
Joseph, D. P. (2000). Value investing: The use of historical financial statement information to separate winner from losser. Journal of Accounting Research, 38.
Jiraporn, P., & Ning, Y. (2006). Dividen policy, shareholder rights, and corporate governance. Journal of Applied Finance.
Jun, A., Gallagher, D. R., & Partington, G. (2006). An examination of institutional dividend clienteles: Evidence from Australian institutional portfolio holdings. Juli 21, 2006. http://ssrn.com/abstract=972413
Kowalewski, O., Stetsyuk, I., & Talavera, O. (2007). Corporate governance and dividend policy in Poland. April, 2007. http://ssrn.com/abstract=986111
Lemmon, Michael L., & Lins, K. V. (2001). Ownership structure, corporate governance, and firm value: Evidence from east Asian financial crisis. Journal of Finance, 58, 1445-1468.
Liu, S., & Hu, Y. (2005). Empirical analysis of cash dividend payment in Chinese listed companies. Nature and Science, 3(1).
Lundstrum, L. (2005). Testing the dividend signaling hypothesis: conditional event study versus residual analysis. Working Paper. Department of Management, North Carolina State University.
Mitton, T. (2004). Corporate governance and dividend policy in emerging markets. Emerging Markets Review, 5 (4), 409-426.
Naceur, S. B., Goaied, M., & Belanes, A. (2006). On the determinants and dynamics of dividend policy. International Review of Finance, 6 (1-2), 1-23.
Nainggolan, S. G. V. (2008). Pengaruh variabel fundamental terhadap harga saham perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia. Thesis (tidak dipublikasikan). Pascasarjana Universitas Sumatera Utara.
Papadopoulos, D. L., & Charalambidis, D. (2007). Focus on present status and determinants of dividend payout policy: Athens Stock Exchange in perspective. Journal of Financial Management and Analysis, 20 (2), 24-37.
Qureshi, M. A. (2006). System dynamics modelling of firm value. Journal of Modelling in Management, 2 (1), 24-39.
Riyanto, Bambang. (1999). Dasar-dasar pembelajaan perusahaan. Yogyakarta: Fakultas Ekonomi, Universitas Gadjah Mada.
Rozeff, M. S. (1982). Growth, beta and agency cost as determinants of dividend payout ratios. Journal of Financial Research, 5, 249-259.
Sarac, M. (2007). Does fundamental analysis matter for foreign investor: An empirical analysis of foreign invesment in the Istambul Stock Exchange. Journal of Economic and Social Research, 9 (2), 37-59.
Sartono, Agus. (2001). Manajemen keuangan: Teori dan aplikasi. Yogyakarta: BPFE.
Sundjaya, R. S. (2003). Manajemen keuangan. Klaten: Intan Sejati.
Silveira, A. D. M., & Barros, L. A. B. C. (2007). Corporate governance quality and firm value in Brazil. Working Paper. Juni, 2007. http://ssrn.com/abstract=923310
Sugiyono. (2006). Statistika untuk penelitian. Bandung: Alfabeta.
Shahid, S. A. (2003). Does ownership structure affect firm value? Evidence from the Egyption Stock Market. Working Paper. http://ssrn.com/abtract=378580
Utama, S., & Santoso, A. Y. B. (1998). Kaitan antara rasio price/book value dan imbal hasil saham pada Bursa Efek Indonesia. Jurnal Riset Akuntansi Indonesia, 1 (1), 127-140.
Wright, P., & Ferris, S. P. (1997). Agency conflict and corporate strategy: The effect of divestment on corporate value. Strategic Management Journal, 18, 77-83.
Allen, F., & Michaely, R. (2002). Payout policy. Center for Financial Institutions Working Papers, 01-21.
Agnes, Sawir. (2004). Kebijakan pendanaan dan restrukturisasi perusahaan. Jakarta: Gramedia.
Amidu, M., & Abor, J. (2006). Determinants of dividend payout ratios in Ghana. Journal of Risk Finance, 7, 136-145.
Amidu, M. (2007). How does dividend policy affect performance of the firm on Ghana Stock Exchange. Investment Management & Financial Innovation, 4 (2), 103-112.
Atmaja, L. S. (1994). Manajemen keuangan. Yogyakarta: Andi.
Black, F., & Scholes, M. (1974). The effects of dividend yield and dividend policy on common stock prices and returns. Journal of Financial Economics, 1, 1-22.
Benhart, S. W. (1994). Board composition, managerial ownership and firm performance: an empirical analysis. Working paper. Department of Finance, Clemson University, 2-24.
Bathala, C. T., Moon, K. P., & Rao. (1994). Managerial ownership, debt policy and the impact of institutional holding. An Agency Perspective Financial Management, 23, 38-50.
Bistrova, J., & Lace, N. (2009). Relevance of fundamental analysis on the Baltic equity market. Economics and Management, 14, 132-137.
Bethel, J.E., & Liebeskind, J. (1993). The of ownership structure on corporate structuring. Strategic Management Journal, 14, 15-31.
Brigham, E. F., & Houston, J. F. (2001). Manajemen keuangan. Jakarta: Erlangga.
Chung, K. H., & Pruitt, S. W. (1994). A simple approximation of Tobin’s Q. Financial Management, 23 (3), 70-75.
Cooke, T. E. (1989). Disclosure in the corporate annual report of Swedish companies. Accounting Business Research, 19 (74), 113-124.
Chan, Louis K. C., Hamao, Y., & Lakonishok, J. (1991). Fundamental and stock return in Japan. Journal of Finance, 46, 1739-1764.
Chen, C. R., & Steiner, T. (1999). Manajerial ownership and agency conflict: A nonlinier simultaneous equation analysis of management ownership, risk taking, debt policy, and dividen policy. Financial Review, 34, 119-136.
Denis, David J., & Osobov, I. (2008). Why do firms pay dividends? International evidence on the determinants of dividen policy. Journal of Financial Economic, 89.
Dickens, Ross N., Casey, K. M., & Newman, J. A. (2002). Bank dividend policy: Explanatory factors. Quarterly Journal of Business & Economics, 41.
Durnev, A., & Kim, H. (2005). To steal or not to steal: Firm atributes, legal environment and valuation. Journal of Finance, 60 (3), 1461-1493.
Emory, C. W., & Cooper, D. R. (1994). Business Research Methods. New York: McGraw-Hill.
Fama, Eugene F., & French, R. K. (1998). Taxes, financing decision, and firm value. The Journal of Finance, 53 (3), 819-843.
Farrar, D. E., & Selwyn, L. L. (1967). Taxes, corporate financial policy and return to investors. National Tax Journal, 20, 443-454.
Frankfurter, G. M., & Wood, J. B. G. (2002). Dividend policy theories and their empirical tests. International Review of Financial Analysis, 11 (2), 111-138.
Fahlenbrach, R., & Stulz, R. M. (2007). Managerial ownership dynamics and firm value. NBER Working Paper Series 13202. http://www.nber.org/papers/w13202.
Ferdinan, A. (2004). Metode penelitian bisnis dalam marketing. Semarang: Badan Penerbit Universitas Diponegoro.
Ferdinan, A. (2005). Structural equation modelling dalam penelitian manajemen. Semarang: Badan Penerbit Universitas Diponegoro.
Gitman, L. J. (2003). Fundamental of financial management. Massachusetts: Addison-Wesly.
Glen, J. D., Karmokolias, Y., Miller, R. R., & Shah, S. (1995). Dividend policy and behaviour in emerging markets: To pay or not to pay. International Financial Corporation, Discussion Paper No. 26.
Gordon, M. (1962). The savings, investments and valuation of a corporation. Review of Economics and Statistics, 37-51.
Gordon, M. (1961). The invesment, financing, and valuation of corporation. Review of Economics and Statistics.
Gujarati, D. M. (1995). Basic econometric. New York: McGraw-Hill.
Hasnawati, Sri. (2005). Pengaruh keputusan investasi, keputusan pendanaan dan kebijakan dividen terhadap nilai perusahaan publik (di Bursa Efek Jakarta). Disertasi, Universitas Pajajaran Bandung.
Hanafi, M. M. (2004). Manajemen keuangan. Yogyakarta: BPFE.
Hanafi, M. M. (2007). Analisis laporan keuangan. Yogyakarta: UPP STIM YKPN.
Irfan, C. M., & Nishat, M. (2002). Key fundamental factors and long-run price changes in an emerging market - A case study of Karachi stock exchange. The Pakistan Development Review, 41 (4), 517-533.
Jensen, M. C. (1986). Agency costs of free cash flow, corporate finance, and takeovers. American Economic Review, 76 (2), 323-329.
Jensen, M. C., & Warner, J. B. (1988). The distribution of power among corporate manegers, shareholders, and directors. Journal of Financial Economics, 20, 3-24.
Jensen, S., & Zorn. (1992). Simultaneous determination of insider ownership, debt, and dividend policies. Journal of Financial Economic, 3, 305-360.
Jauhari, B. R., & Wibowo, B. (2004). Analisis fundamental terhadap return saham pada periode bullish dan bearish Indeks Harga Saham Gabungan. Jurnal Akuntansi dan Keuangan.
Joseph, D. P. (2000). Value investing: The use of historical financial statement information to separate winner from losser. Journal of Accounting Research, 38.
Jiraporn, P., & Ning, Y. (2006). Dividen policy, shareholder rights, and corporate governance. Journal of Applied Finance.
Jun, A., Gallagher, D. R., & Partington, G. (2006). An examination of institutional dividend clienteles: Evidence from Australian institutional portfolio holdings. Juli 21, 2006. http://ssrn.com/abstract=972413
Kowalewski, O., Stetsyuk, I., & Talavera, O. (2007). Corporate governance and dividend policy in Poland. April, 2007. http://ssrn.com/abstract=986111
Lemmon, Michael L., & Lins, K. V. (2001). Ownership structure, corporate governance, and firm value: Evidence from east Asian financial crisis. Journal of Finance, 58, 1445-1468.
Liu, S., & Hu, Y. (2005). Empirical analysis of cash dividend payment in Chinese listed companies. Nature and Science, 3(1).
Lundstrum, L. (2005). Testing the dividend signaling hypothesis: conditional event study versus residual analysis. Working Paper. Department of Management, North Carolina State University.
Mitton, T. (2004). Corporate governance and dividend policy in emerging markets. Emerging Markets Review, 5 (4), 409-426.
Naceur, S. B., Goaied, M., & Belanes, A. (2006). On the determinants and dynamics of dividend policy. International Review of Finance, 6 (1-2), 1-23.
Nainggolan, S. G. V. (2008). Pengaruh variabel fundamental terhadap harga saham perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia. Thesis (tidak dipublikasikan). Pascasarjana Universitas Sumatera Utara.
Papadopoulos, D. L., & Charalambidis, D. (2007). Focus on present status and determinants of dividend payout policy: Athens Stock Exchange in perspective. Journal of Financial Management and Analysis, 20 (2), 24-37.
Qureshi, M. A. (2006). System dynamics modelling of firm value. Journal of Modelling in Management, 2 (1), 24-39.
Riyanto, Bambang. (1999). Dasar-dasar pembelajaan perusahaan. Yogyakarta: Fakultas Ekonomi, Universitas Gadjah Mada.
Rozeff, M. S. (1982). Growth, beta and agency cost as determinants of dividend payout ratios. Journal of Financial Research, 5, 249-259.
Sarac, M. (2007). Does fundamental analysis matter for foreign investor: An empirical analysis of foreign invesment in the Istambul Stock Exchange. Journal of Economic and Social Research, 9 (2), 37-59.
Sartono, Agus. (2001). Manajemen keuangan: Teori dan aplikasi. Yogyakarta: BPFE.
Sundjaya, R. S. (2003). Manajemen keuangan. Klaten: Intan Sejati.
Silveira, A. D. M., & Barros, L. A. B. C. (2007). Corporate governance quality and firm value in Brazil. Working Paper. Juni, 2007. http://ssrn.com/abstract=923310
Sugiyono. (2006). Statistika untuk penelitian. Bandung: Alfabeta.
Shahid, S. A. (2003). Does ownership structure affect firm value? Evidence from the Egyption Stock Market. Working Paper. http://ssrn.com/abtract=378580
Utama, S., & Santoso, A. Y. B. (1998). Kaitan antara rasio price/book value dan imbal hasil saham pada Bursa Efek Indonesia. Jurnal Riset Akuntansi Indonesia, 1 (1), 127-140.
Wright, P., & Ferris, S. P. (1997). Agency conflict and corporate strategy: The effect of divestment on corporate value. Strategic Management Journal, 18, 77-83.
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2013-09-01
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Articles in JBIMA (Jurnal Bisnis dan Manajemen) Vol. 1 No. 1
