Pengaruh non linear capital expenditure terhadap return saham

Jackson, Jackson (2019) Pengaruh non linear capital expenditure terhadap return saham. Masters thesis, Universitas Pelita Harapan.

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Abstract

This research is conducted to better understanding the effect of capital expenditure to stock return. Data for this research is taken from 2008 to 2017. Regression in this research is carried out with Fama Macbeth regression (1973) and by lagging data for 6 months. This is done for the variables to be more represents data from financial statements. Regression result in this research is showing linear and non linear effect from capital expenditure to stock return. Result shows that there is a negative effect on linear model, but there is a positive effect on non linear model. / Penelitian ini bertujuan untuk dapat lebih mengetahui pengaruh capital expenditure terhadap return saham. Data yang digunakan dalam penelitian ini mulai dari tahun 2008 hingga tahun 2017. Regresi yang dilakukan dalam penelitian ini menggunakan metode regresi Fama Macbeth (1973) dan melakukan lag data selama 6 bulan agar variabel penelitian dapat lebih merepresentasikan data dari laporan keuangan. Hasil regresi penelitian memperlihatkan pengaruh linear dan non linear capital expenditure terhadap return saham. Hasil penelitian menunjukkan terdapat pengaruh linear yang negatif, sedangkan pengaruh non linear ditemukan dengan pengaruh yang positif.

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