JUDUL JURNAL : ANALISIS FAKTOR-FAKTOR YANG MEMPENGARUHI PREDIKSI PERINGKAT OBLIGASI PADA PERUSAHAAN KEUANGAN YANG TERDAFTAR DI BURSA EFEK INDONESIA

Penulis Jurnal : Rika Yuliana, Agus Budiatmanto Muhammad Agung Prabowo, Taufik Arifin Universitas Sebelas Maret

PENDAHULUAN

Dewasa ini banyak perusahaan menerbitkan obligasi selain menerbitkan saham sebagai sumber pendanaan perusahaan. Obligasi merupakan surat pengakuan hutang yang dikeluarkan oleh pemerintah atau perusahaan atau lembaga lain sebagai pihak yang berhutang, yang mempunyai nilai nominal tertentu dan kesanggupan untuk membayar bunga secara periodik atas dasar persentase tertentu yang tetap. Obligasi diterbitkan oleh perusahaan dalam rangka memenuhi kegiatan pendanaan perusahaan tersebut, untuk pengembangan usaha dan menutup hutang yang jatuh tempo (Setiawan dan Shanti, 2009). Obligasi menarik bagi investor karena obligasi memiliki beberapa kelebihan yang terkait keamanan dibandingkan dengan saham, yaitu: (1) volatilitas saham lebih tinggi dibandingkan dengan obligasi sehingga daya tarik saham berkurang, dan (2) obligasi menawarkan tingkat return yang positif dan memberikan income yang tetap Faeber (2001) dalam Purwaningsih (2003).

Penelitian ini ingin membuktikan apakah faktor akuntansi seperti size, leverage, profitability, activity, dan market value ratio serta faktor non-akuntansi yang terdiri dari maturity, secure dan reputasi auditor merupakan prediktor dalam menentukan peringkat obligasi untuk perusahaan keuangan yang akan datang dan variabel manakah yang signifikan. Peneliti pertama yang menguji kemampuan faktor akuntansi dalam memprediksi peringkat obligasi perusahaan adalah Horrigan (1966). Horrigan menguji apakah rasio keuangan dapat digunakan untuk menentukan keputusan kredit jangka panjang. Dari penelitian tersebut disimpulkan bahwa model terbaik untuk memprediksi peringkat obligasi terdiri dari TA, long-term solvency ratio, long-term capital-turnover ratio dan profit margin ratio yang meliputi net operating profit/sales dan sales/net worth ratio, dan juga dummy legal-status untuk memprediksi peringkat obligasi. Beberapa penelitian terdahulu lainnya yang menggunakan faktor akuntansi yaitu rasio keuangan untuk memprediksi peringkat obligasi diantaranya: Pinches & Mingo (1973; 1975); Kaplan & Urwitz (1979); Chan & Jagadeesh (2003); Nurhasanah (2003), Kesumawati (2003) dan Sari (2004).

Hipotesis

  • H1 : Ukuran perusahaan (size) berpengaruh positif terhadap prediksi peringkat obligasi perusahaan.
  • H2 : Leverage berpengaruh negatif terhadap prediksi peringkat obligasi perusahaan.
  • H3 : Profitability berpengaruh positif terhadap prediksi peringkat obligasi perusahaan.
  • H4 : Activity berpengaruh positif terhadap prediksi peringkat obligasi perusahaan.
  • H5 : Market value ratio berpengaruh positif terhadap prediksi peringkat obligasi perusahaan.
  • H6 : Umur obligasi (maturity) berpengaruh negatif terhadap prediksi peringkat obligasi perusahaan.
  • H7 : Jaminan (secure) berpengaruh positif terhadap prediksi peringkat obligasi perusahaan.
  • H8 : Reputasi auditor berpengaruh positif terhadap prediksi peringkat obligasi perusahaan.

DATAPENELITIAN

Data pada penelitian ini merupakan data sekunder yang diperoleh dari website Bursa Efek Indonesia (BEI), yaitu www.idx.co.id, website PT PEFINDO, yaitu www.new.pefindo.com dan buku ICMD (Indonesian Capital Market Directory). Dalam pengambilan sampel dengan beberapa kriteria yang telah ditetapkan maka didapat sampel sebanyak 45.

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Judul Jurnal (SNA 14) : Pengaruh Profitabilitas Dan Kepemilikan Insider Terhadap Nilai Perusahaan Dengan Kebijakan Utang Dan Kebijakan Dividen Sebagai Variabel Intervening (Studi Pada Perusahaan Manufaktur Di Bursa Efek Indonesia)

Penulis : Muhammad Ikbal (Universitas Mulawarman), Samarinda Sutrisno (Universitas Brawijaya), Samarinda Ali Djamhuri (Universitas Brawijaya)

Pendahuluan

Perusahaan sebagai entitas ekonomi lazimnya memiliki tujuan jangka pendek dan jangka panjang, dalam jangka pendek perusahaan bertujuan memperoleh laba secara maksimal dengan menggunakan sumberdaya yang ada, sementara dalam jangka panjang tujuan utama perusahaan adalah memaksimalkan nilai perusahaan. Upaya peningkatan nilai perusahaan bisa jadi akan mengalami kendala, khususnya menyangkut permasalahan keagenan (agency problem). Debtholders bisa termasuk dalam salah satu pihak yang terlibat dalam hubungan keagenan, jika manajer memiliki ikatan kontrak utang (debt contract) dengan debtholders.

Utang merupakan instrumen yang sangat sensitif terhadap perubahan nilai perusahaan. Sampai batas tertentu, semakin tinggi proporsi utang suatu perusahaan maka semakin tinggi harga saham perusahaan itu, namun pada titik tertentu lainnya peningkatan utang akan menurunkan nilai perusahaan (Chen dan Steiner, 1999). Selain utang, salah satu sumber pendanaan perusahaan berasal dari laba ditahan, yang ditetapkan melaui kebijakan dividen yang dilakukan oleh perusahaan (Anil dan Kapoor, 2008).

Upaya untuk mengetahui hubungan kausalitas antara profit dengan kebijakan utang telah dilakukan oleh beberapa peneliti, di antaranya adalah Myers dan Majluf (1984) yang menyatakan bahwa terdapat hubungan negatif antara profitability dengan leverage. Sementara itu Jensen (1986) menemukan hal yang berbeda dengan Myers dan Majluf, menurutnya leverage dengan profitability berhubungan positif jika kontrol pasar atas perusahaan tidak efektif. Megginson (1997:306) mengemukakan bahwa kecenderungan perusahaan dalam sebuah industri adalah profitabilitas berhubungan terbalik dengan leverage, karena perusahaan yang profitable cenderung untuk mempunyai pinjaman yang lebih sedikit. Begitu pula menurut pecking order theory, profitabilitas berpengaruh negatif terhadap leverage.

Hipotesis

  • Hipotesis 1 : Profitabilitas berpengaruh langsung secara negatif terhadap kebijakan utang demikian pula.
  • Hipotesis 2 : Profitabilitas berpengaruh langsung secara positif terhadap nilai perusahaan.
  • Hipotesis 3 : Profitabilitas berpengaruh langsung secara positif terhadap kebijakan dividen
  • Hipotesis 4 : Kepemilikan Insider berpengaruh langsung secara negatif terhadap kebijakan utang.
  • Hipotesis 5 : Kepemilikan Insider berpengaruh langsung secara positif terhadap nilai perusahaan.
  • Hipotesis 6 : Kepemilikan Insider berpengaruh langsung secara negatif terhadap kebijakan dividen.
  • Hipotesis 7 : Kebijakan utang berpengaruh langsung secara negatif terhadap kebijakan dividen.
  • Hipotesis 8 : Kebijakan utang berpengaruh langsung secara positif terhadap nilai perusahaan.
  • Hipotesis 9 : Kebijakan dividen berpengaruh langsung secara positif terhadap nilai perusahaan.

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EQUITY RISK PREMIUM PERUSAHAAN YANG TERDAFTAR DI BURSA EFEK INDONESIA DAN FAKTOR-FAKTOR YANG MEMPENGARUHINYA

Saiful

Uvi Elin Erliana

(Universitas Bengkulu)

ABSTRACT

The purpose of this study is to examine the impact of tenure, company’s size, book to market equity, leverage, beta and earnings quality on company’s equity risk premium. Sample was taken based on purposive sampling method from Manufacture companies that listed in Indonesia Stock Exchange in the year 2005 to 2008. The final samples consist of 45 companies.

This study found that book to market equity and leverage positively and significantly influence equity risk premium, while beta negatively and significantly influence equity risk premium. These findings indicate that equity risk premium increase as book to market equity increase, because the highest book to market equity ratio show that companies is not growth, so company’s risk will be high. Meanwhile, the highest leverage ratio show that companies have financial distress and its will increase the company’s risk. In contras, higher beta lead to lower equity risk premium, it may be effected by emerging market in Indonesia feature.

Keywords: Capital Asset Pricing Model, Auditor Tenure, Book to Market equity, Leverage, beta, and Equity Risk Premium.

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The capital market is one of the transfer of funds, from those excess funds to those who need it. There are two main functions of capital markets, first as a means of funding the business for the company to obtain funds from public investors (investors) with the purpose of business development, additional working capital or other, and the second function is as a means for people to invest in financial instruments such as stocks, bonds, mutual funds and the other with a view to profit (return) in the future.

Investment in capital markets world filled with elements of uncertainty or risk, because investors do not know with certainty the results to be obtained from the investment is doing. Investors just estimated how much the expected profit from investments, and how likely the actual future results will deviate from the expected results. Tandelilin (2001) suggested that the risk is the possibility of real return (actual return) that is different from the expected return (expected return).

Risk in investing can be influenced by economic factors, political, market, customer, internal company and others. These factors will impact on the risk of change (increased or decreased risk) and return that will alter investor confidence and response, as well as the effect on stock price changes and will ultimately affect the market beta and the company’s stock return variance. Tandelilin (2001) states that there are two types of investment risk in the systematic risk (Systematic risk) and unsystematic risk (unsystematic risk).

Download Jurnal Akuntansi SNA 13 – AKPM 21 >>EKSPLORASI KINERJA PASAR PERUSAHAAN: KAJIAN BERDASARKAN MODAL INTELEKTUAL (Studi Empiris pada Perusahaan Keuangan yang Terdaftar di Bursa Efek Indonesia)

Ni Wayan Yuniasih
Dewa Gede Wirama
I Dewa Nyoman Badera

ABSTRACT

Intellectual capital is believed to be a contributing factor to companies’ performances and values. Several studies have been carried out on the influence of this capital to a company’s performance. However, the results still show some inconsistency. Therefore, this study aims at re-evaluating the influence of intellectual capital through the addition of ownership structure as a control variable. Ownership structure needs to be controlled since,in Indonesia, it is likely to be concentrated due to the low rate of investor protection.

Intellectual capital is measured by the VAIC method, while the market performance is determined by the price to book value ratio. The sample is financial companies listed on Indonesian Stock Market during the 2004-2008 periods. The result of the analysis fails to support the hypothesis that intellectual capital is associated with firm’s values. The result probably is an indication that market is incapable to assess the value of a company’s intellectual capital because it has no standardized measure and the limited quantitative disclosure regarding intellectual capital. …..

Keywords: intellectual capital, value added, ownership structure, market performance

Intellectual capital (intellectual capital) is an emerging topic in recent years. In Indonesia, the phenomenon of intellectual capital (IC) began to flourish, especially after the advent of Statement of Financial Accounting Standards (SFAS) No.. 19 (revised 2000) on intangible assets. According to SFAS. 19, intangible assets are identifiable non-monetary assets and has no physical form and held for use in produce or deliver goods or services, leased to other parties, or for administrative purposes (Indonesian Institute of Accountants, 2007).

Contrary to the increasing recognition of intellectual capital in driving firm value and competitive advantage, precise measurement of the company’s intellectual capital can not be determined. For example, Pulic (1998; 1999; 2000, 2003) did not directly measure the company’s intellectual capital, but propose a measure to assess the efficiency of value added as a result of the company’s intellectual ability (Value Added Intellectual Coefficient – VAIC ™). The main components of VAIC ™ can be seen from the company’s resources, namely physical capital (value added capital employed – VACE), human capital (value added human capital – VAHC), and structural capital (value added structural capital – VASC). …..

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RETURN SAHAM, VALUE AT RISK DAN AKTIVITAS TRADING PADA KELOMPOK HARGA TERENDAH (LOW TICK SIZE) DI BURSA EFEK INDONESIA

PERDANA WAHYU SANTOSA
Fakultas Ekonomi Universitas YARSI
perdana.ws@gmail.com

HARRY YUSUF A. LAKSANA
Kementrian Keuangan Republik Indonesia
harry.yusuf@gmail.com

[Jurnal Akuntansi (SNA 13) – Akuntansi Keuangan dan Pasar Modal]

Abstract

The purpose of this research is to analyze the impact of value at risk, market risk, stock price, liquidity and price-to-book value ratio to the stock return in low tick size (Rp 5 and Rp 10) at Bursa Efek Indonesia (BEI).

This research focuess in (1) the relationship between return, VaR and market risk (2) the relationship between return, Size and liquidity and (3) analysis the relationship between return and PBV. We employ panel data analysis methodology which combines time series and cross section data in quarterly period in 2004-2006. We get data from active stocks of various companies of low price level in LQ-45 for period 2004-2005. The results of this research are VaR, beta, size, liquidity have positive impact significantly to the stock returns except PBV.

These findings indicated that fundamental performance not relevan with trading activity at lower price. These results support the previous researches which are done by many scholars, and give opportunities to VaR build alternative models for Capital Asset Pricing Model (CAPM).

Keywords: Value-at-Risk, return, low tick size, asset prcing, market risk, size, liquidity, price-to-book value.

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Channeled investment funds which had been in stock mutual funds (equity) only ranks the lowest, or about 1.5-2% of the total NAV of managed investment managers. The low allocation of funds in equity investments are influenced to bear the high risk investors in emerging markets with weak form efficiency rate (Bonser-Neal, et al 1999). Other causes of low investment in shares of the Indonesia Stock Exchange (IDX) is the inability of the investment manager in managing risk. These problems reduce investor interest in buying mutual fund shares. Other causes, frequently occur on the Stock Exchange transactions without knowing the assets at fair value (trading fad) that resulted in stock prices tend to be overvalued or undervalued causing asset prices and stock index mispricing often experienced. JCI also often have over-reaction in response to the entry of information / news that trading volatility is too high than it should. Investment risk is still marred the price reversal as a consequence the price correction that often occurs (Santosa, 2009).

During this time, theoretically, the risk of stock investment and yield expectations are generally using the traditional approach of Capital Asset Pricing Model (CAPM). But on a practical level, the CAPM is often questioned the accuracy and reliability as a gauge of market risk. According to Fama & French (1992) in the formation of the CAPM theory, variables or other factors not involved in explaining the expected return relationship with market risk (beta). Even more than 20 years, many financial and investment researchers found significant evidence that variables such as market capitalization (stock size), Price-to-Book Value (PBV) and Earnings to price ratio (EPS) has a significant influence (explanatory power) against the average yield on shares [Datar et al, (1998), Chan & Pfaff (2003); Jacoby et al (2000)].

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