PENGARUH NILAI PERUSAHAAN, RISIKO BISNIS DAN TINGKAT PERTUMBUHAN TERHADAP IMBAL HASIL SAHAM (Studi pada Perusahaan yang Terdaftar di Jakarta Islamic Index Periode 2008-2011)
Keywords:
stock returns, book-to-market, firm size, sales price ratioAbstract
In order to minimize investment losses that may be encountered when investing in stocks it needs to determine the factors that influence stock returns. This study investigates the influence of firm value, business risk, and growth rate on stock returns. The study employs book to market ratio, firm size, and sales price ratio as proxies for firm value, business risk, and growth rate. The results show that book to market ratio has positive impact on stock returns while sales price ratio has negative impact on stock returns. Furthermore, the results show that firm size has no significant impact on stock returns.
References
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Banz, R. W., (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9, 3-18.
Barbee, W. C., Mukherji, S., & Raines, G. A. (1996). Do sales price and debt equity explain stock returns better than book market and firm size?. Financial Analysists Journal, 56-60.
Barber, & Lyon, J. (1997). Firm size, book-to-market and security returns: a holdout sample of financial firms. Journal of Finance, 52 (2), 875 – 883.
Cheng, Y. S., Liu, Y. P., & Chien, C. Y. (2010). Capital structure and firm value in china: A panel threshold regression analysis. African Journal of Business Management, 4 (12), 2500-2507.
Chowdhury, A., & Chowdhury, S. P. (2010). Impact of capital structure on firm’s value: evidence from Bangladesh. BEH – Business and Economic Horizons, 3(3), 111-122.
Darusman, Dery, & Prasetiono (2012). Analisis pengaruh firm size, book to market ratio, price earning ratio, dan momentum terhadap return portofolio saham. Diponegoro Journal of Management, 1 (1), 212-225.
Drakos, & Kallandranis. (2005). Firms-specific attributes of financing constraints: The case of Greek listed firms. Investment Management & Financial Innovations, 2 (2), 98 – 110.
Ernawati. (2003). Pengaruh sales price ratio, debt equity ratio, book market ratio dan firm size terhadap return saham (Studi pada perusahaan manufaktur di BEJ Jakarta). http://eprints.undip.ac.id/11390/1/2003MAK2086.pdf
Fama, E. F., & French, K. R. (2011). Size, value, and momentum in international stock returns. http://ssrn.com/abstract=1720139
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
Foster, G. (1986). Financial statement analysis. Englewood Cliffs: Prentice-Hall.
Gertler, M. (1988). Financial structure and aggregate economic activity: An overview. Journal of Money, Credit and Banking, 20 (2), 559 – 596.
Graham, B., & Dodd, D. (1934). Security analysis. New York: McGraw-Hill.
Hamed, & Kusnadi, Y. (2002). Momentum strategies: Evidence from pasific basin stocks markets. Journal of Financial Research, 25 (3), 383-397.
Hartono, J. S. (2000). Pengantar pengetahuan pasar modal (Edisi Pertama). Yogyakarta: UPP AMP YKPN.
Hong, & Stein, J. C. (1999). An unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54 (6), 2143-2184.
Jensen, M. (1986). Agency cost of free cash flow, corporate finance and takeovers. American Economic Review Papers and Proceedings, 76, 323-329.
Kheradyar, Sina, & Ibrahim, Izani. (2011). Financial ratios as empirical predictors of stock return. International Conference on Sociality and Economics Development IPEDR, 10. Singapore: IACSIT Press.
Kruger, Jan, & Lantermans, S. (2010). Risk, book to market and size effects in the south african stock market. Unisa School for Business Leadership.
Leong, K., Pagani, M., & Zaima, J. K. (2009). Portfolio strategies using EVA, earnings ratio or book-to-market is one best?. Review of Accounting and Finance, 8 (1), 76-86.
Banz, R. W., (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9, 3-18.
Barbee, W. C., Mukherji, S., & Raines, G. A. (1996). Do sales price and debt equity explain stock returns better than book market and firm size?. Financial Analysists Journal, 56-60.
Barber, & Lyon, J. (1997). Firm size, book-to-market and security returns: a holdout sample of financial firms. Journal of Finance, 52 (2), 875 – 883.
Cheng, Y. S., Liu, Y. P., & Chien, C. Y. (2010). Capital structure and firm value in china: A panel threshold regression analysis. African Journal of Business Management, 4 (12), 2500-2507.
Chowdhury, A., & Chowdhury, S. P. (2010). Impact of capital structure on firm’s value: evidence from Bangladesh. BEH – Business and Economic Horizons, 3(3), 111-122.
Darusman, Dery, & Prasetiono (2012). Analisis pengaruh firm size, book to market ratio, price earning ratio, dan momentum terhadap return portofolio saham. Diponegoro Journal of Management, 1 (1), 212-225.
Drakos, & Kallandranis. (2005). Firms-specific attributes of financing constraints: The case of Greek listed firms. Investment Management & Financial Innovations, 2 (2), 98 – 110.
Ernawati. (2003). Pengaruh sales price ratio, debt equity ratio, book market ratio dan firm size terhadap return saham (Studi pada perusahaan manufaktur di BEJ Jakarta). http://eprints.undip.ac.id/11390/1/2003MAK2086.pdf
Fama, E. F., & French, K. R. (2011). Size, value, and momentum in international stock returns. http://ssrn.com/abstract=1720139
Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33, 3-56.
Foster, G. (1986). Financial statement analysis. Englewood Cliffs: Prentice-Hall.
Gertler, M. (1988). Financial structure and aggregate economic activity: An overview. Journal of Money, Credit and Banking, 20 (2), 559 – 596.
Graham, B., & Dodd, D. (1934). Security analysis. New York: McGraw-Hill.
Hamed, & Kusnadi, Y. (2002). Momentum strategies: Evidence from pasific basin stocks markets. Journal of Financial Research, 25 (3), 383-397.
Hartono, J. S. (2000). Pengantar pengetahuan pasar modal (Edisi Pertama). Yogyakarta: UPP AMP YKPN.
Hong, & Stein, J. C. (1999). An unified theory of underreaction, momentum trading, and overreaction in asset markets. Journal of Finance, 54 (6), 2143-2184.
Jensen, M. (1986). Agency cost of free cash flow, corporate finance and takeovers. American Economic Review Papers and Proceedings, 76, 323-329.
Kheradyar, Sina, & Ibrahim, Izani. (2011). Financial ratios as empirical predictors of stock return. International Conference on Sociality and Economics Development IPEDR, 10. Singapore: IACSIT Press.
Kruger, Jan, & Lantermans, S. (2010). Risk, book to market and size effects in the south african stock market. Unisa School for Business Leadership.
Leong, K., Pagani, M., & Zaima, J. K. (2009). Portfolio strategies using EVA, earnings ratio or book-to-market is one best?. Review of Accounting and Finance, 8 (1), 76-86.
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Published
2014-03-01
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Articles in JBIMA (Jurnal Bisnis dan Manajemen) Vol. 2 No. 1
