Anomali akrual dan anomali investasi di pasar saham Indonesia

Hamsa, Juliman (2018) Anomali akrual dan anomali investasi di pasar saham Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

The main goals of this research are to confirm the NCOA & PPE miss pricing effect to future stock return in Indonesian Stock Market. This study using sample of 273 Indonesian non-financial firm which listed in Bursa Efek Indonesia over the period of 2007-2015. The result of this study confirms NCOA & PPE miss pricing effect to future stock return in Indonesian Stock Market. Company with high changes in noncurrent operating asset have lower stock returns than firms with low change in noncurrent operating asset. This mispricing also applies to PPE changes correlation to stock returns. The effect of mispricing on the Bursa Efek Indonesia is smaller than in the UK due to the characteristics of Indonesian economic system that most of the funding sources are from bank loans. Loan monitoring by banks minimizes the risk of company over-invest. / Penelitian ini bertujuan mengetahui apakah terdapat efek mispricing aset tidak lancar terhadap return saham di Bursa Efek Indonesia, serta efek mispricing asset tetap terhadap return saham. Penelitian dilakukan pada saham-saham yang tercatat di Bursa Efek Indonesia dengan pengambilan sample penelitian adalah 273 perusahaan (kecuali bank dan Lembaga keuangan lainnya) yang terdaftar di BEI pada periode 2007 hinga 2015. Hasil dari penelitian ini mengkonfirmasi adanya efek mispricing aset tidak lancar dan mispricing aset tetap terhadap return saham di bursa efek Jakarta. Perusahaan dengan perubahan aset tidak lancar yang tinggi mempunyai return saham yang lebih rendah dibandingkan perusahaan dengan perubahan aset tidak lancar yang rendah. mispricing ini juga berlaku di korelasi aset tetap dengan return saham. Efek mispricing di BEI lebih kecil dibandingkan di UK dikarenakan karakteristik sistem perekonomian Indonesia yang sebagian besar sumber pendanaannya dari pinjaman bank. Monitoring pinjaman oleh bank memperkecil resiko perusahaan melakukan investasi yang berlebih.

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