DETERMINAN INFORMASI KINERJA KEUANGAN TERHADAP RETURN SAHAM PERUSAHAAN MANUFAKTUR

Eka Bertuah

Abstract


Abstract

This study aims to find how information determinant of financial performance can form positive and negative return in the stock of manufacturing corporations in the Indonesia Stock Exchange. This research do decomposition attitude to behave be investor character in response to information the financial performance of corporations. Begin with evaluate financial fundamental factors in expect to return of stock. Object research used is data from the financial reports of manufacturing company for years 2012-2016 which listing at Indonesia Stock Exchange. Analysis of data for the rest of the factor analysis and multi discriminant analysis. Factor analysis used to reduce variable the fundamentals that can predict stock return. Multi dicriminant analysis used to form a model of  financial performance information to return of stock. The research  result show that the first, information financial performance give contibution in change belief and investors action. Second, the result of testing shows that financial information consisting of ROA and FATA can to distinguish positive return and negative return. The result  of the study to provide support empirical proff against the signaling theory on The Indonesia Stock Exchange.

 

Keywords: positive return, negative return, information content

 

Abstrak

Penelitian ini bertujuan untuk mengetahui bagaimana determinan Informasi Kinerja Keuangan dapat membentuk return positif dan negatif pada saham perusahaan yang bergerak dibidang manufaktur pada Bursa Efek Indonesia. Penelitian ini melakukan dekomposisi sikap berperilaku menjadi karakteristik investor dalam menanggapi informasi kinerja keuangan perusahaan. Diawali dengan mengevaluasi faktor-faktor fundamental dalam laporan keuangan yang di duga menjadi indikator pembentuk return. Objek penelitian yang digunakan adalah data laporan keuangan perusahaan manufaktur selama tahun 2012-2016 yang listing di Bursa Efek Indonesia. Analisis data yang digunakan selanjutnya adalah factor analysis dan multi discriminant analysis. Factor analysis digunakan untuk mereduksi variabel fundamental perusahaan yang dapat memprediksi return saham. Multi Discriminant Analysis digunakan untuk membentuk model informasi kinerja keuangan perusahaan terhadap return saham. Hasil penelitian menunjukkan bahwa Pertama, informasi kinerja keuangan memberikan dapat memberikan kontribusi dalam mengubah belief dan investor action; Kedua, hasil pengujian menunjukkan bahwa informasi keuangan yang terdiri dari ROA dan FATA dapat membedakan return positif dan return negatif.  Hasil penelitian memberikan dukungan pembuktian empiris terhadap Teori Signaling pada Bursa Efek Indonesia.

 

Kata kunci: positive return, negative return,  kandungan informasi


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