Analisis Pengaruh Leverage, Likuiditas, Efisiensi dan Ekspektasi Pertumbuhan Laba terhadap Market-Beta pada Perusahaan Non-Keuangan LQ45

Abstract

Penelitian ini bertujuan untuk mengetahui pengaruh variabel independen (DOL, DFL, CR, TATO, dan PER) terhadap beta-pasar (market-beta). Sampel yang digunakan dalam penelitian ini adalah perusahaan non-keuangan LQ 45 yang terdaftar di Bursa Efek Indonesia (BEI) selama periode 2016 - 2020. Dalam pengujian pengaruh variabel independen (DOL, DFL, CR, TATO, dan PER) terhadap beta-pasar (market-beta) digunakan data panel dengan menggunakan Pooled least-square dan fixed effect dengan metode cross-section weights. Karena yang dihasilkan diuji dengan uji chow (chow test) diketahui f statistiknya lebih besar dari f tabel. Maka, hipotesis nol ditolak. Dari hasil regresi dengan pooled-least-square dan fixed effect dengan metode cross-section weights berpengaruh positif terhadap beta-pasar (market-pasar). DOL, DFL dan PER menggambarkan sales, net income dan ekspetasi perusahaan terhadap laba perusahaan. Sedangkan CR dan TATO terbukti berpengaruh negatif terhadap beta-pasar. CR dan TATO menggambarkan kemampuan perushaan untuk membayar pinjaman dan efisiensi perusahaan dalam memanfaatkan asetnya untuk menghasilkan keuntungan.

Debt Policy, Efficiency Ratio, Profitability, and Systematic Risk: Evidence From Indonesia

“…The circumstance means that when managers effectively manage the firm assets to create revenues, they can decrease systematic risk. As detected in the previous study with the Indonesian capital market data, this negative tendency is proven by Nugraha and Firdaus (2021). Similarly, the managerial success in cutting systematic risk by increasing the total asset turnover is confirmed by the scholars utilizing the capital market data from India (Arora et al, 2019) and Japan (Riaz et al, 2019).…”

“…As it should be, the higher this ratio, the lower the systematic risk, as Arora et al (2019) report based on a pooling-data regression model. Also, this indication is confirmed by Riaz et al (2019) after investigating the Japanese shipping companies listed on the Tokyo stock exchange from 2000 to 2017, Nugraha and Firdaus (2021) after studying 25 non-financial firms in the Indonesian stock exchange between 2016 and 2020, and Tigor et al ( 2021) after researching the firms in the property, real estate and building construction industry in the Indonesian capital market from 2014 to 2018. Based on this evidence, this study formulates the second hypothesis: H2: The efficiency ratio negatively affects systematic risk.…”

“…Arora et al (2019) exhibit a negative and positive relationship between asset turnover and this risk when the pooling data and fixed effect regression model are utilized, respectively. Furthermore, Riaz et al (2019) and Nugraha and Firdaus (2021) demonstrate a negative association between net asset turnover and this risk. Meanwhile, Jaafar et al (2020) cannot prove anything.…”

“…Following Rowe and Kim (2010), Riaz et al (2019), Ha (2020), andJafaar et al (2020), the liabilities-to-assets ratio (LAR) is utilized to measure it. For the second independent: efficiency ratio, this study quantifies it by total asset turnover by mentioning Rowe and Kim (2010), Riaz et al (2019), Jafaar et al ( 2020), and Nugraha and Firdaus (2021). For the last one, i.e., profitability, its measurement is based on the return on assets by denoting Rowe and Kim (2010), Riaz et al (2019), Ha (2020)…”

“…The studies attempting to connect the total asset turnover as the proxy of the efficiency ratio with the systematic risk are conducted by researchers employing capital market data from several countries: United States (Rowe & Kim, 2010), India (Arora et al, 2019), Japan (Riaz et al, 2019), Indonesia (Nugraha & Firdaus, 2021), and Malaysia (Jaafar et al, 2020). However, the association is still arguable.…”