Pengaruh laba dan arus kas terhadap tingkat pengembalian saham

Isyanto, Silviana (2020) Pengaruh laba dan arus kas terhadap tingkat pengembalian saham. Masters thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini bertujuan untuk memperoleh bukti apakah arus kas metode langsung dan arus kas metode tidak langsung lebih baik sebagai stock return predictor daripada earnings. Variabel dependen dalam penelitian ini adalah stock return dari individual desil portofolio 1 sampai dengan portofolio 5 yang diurutkan menggunakan cash flow direct method, cash flow indirect method dan earnings. Sedangkan variabel independen di dalam penelitian ini menggunakan model tiga faktor fama-french. Populasi penelitian ini adalah perusahaan sektor non-keuangan yang terdaftar di Bursa Efek Indonesia pada periode Januari 2006 sampai dengan Desember 2014. Hasil analisis dalam penelitian ini menunjukkan bahwa tidak ada pola yang konsisten pada ukuran arus kas metode langsung, arus kas metode tidak langsung dan earnings sebagai stock return predictor. Namun dari hasil tersebut ditemukan bahwa nilai alpha (abnormal return) pada ukuran arus kas lebih konsisten dan stabil dalam memprediksi tingkat pengembalian saham dibandingkan ukuran laporan laba rugi berdasarkan pada earnings. / This study aims to obtain evidence of whether direct method cash flow and indirect method cash flow is better as a stock return predictor than profitability. The dependent variable in this study is stock returns from individual decile portfolio 1 to portfolio 5, which are sorted using the cash flow direct method, indirect cash flow method, and profitability. The independent variables in this study using three factors of the fama-french model. The population of this study is non-financial sector companies listed on the Indonesia Stock Exchange in the period January 2006 until December 2014. The results of the analysis in this study indicate that there is no consistent pattern on the size of the direct method cash flow, indirect method cash flow, and profitability as stock return predictors. However from these results, it was found that the value of alpha (abnormal returns) on the size of cash flow is more consistent and stable in predicting stock returns, compared to the size of the income statement based on profitability.

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