Komparatif Model Stern Stewart, Sharpe, Treynor, dan Konvensional (Analisis Sensitifitas Kinerja Keuangan terhadap Harga Saham)

Arisyahidin HS, Edi Subiyantoro

Abstract


This research is intently to examines the effects of performance measurement Stern Stewart, Sharpe, Treynor, and Conventional model on the stock price of the go-public enterprises at JSX. The purposive sampling which based on several judgement criterion or judgement sampling produces 86 samples on data period 1999 – 2003. This choice of data period is to make a best model as representative of good ecomonic condition where the economic condition of Indonesia on the past year (1996 – 1998) is not normal as an excess of economics crisist, and eliminating bias analysis as a concequences of nonnormal economic condition. For example on that periode, the risk free rate (SBI) on 20,00% - 70,81%, and average ROIs of the firms were negative until the end of 2000.
Multiple regression analysis is used for final testing of hypotesises, produces conclusion that three models of performance measurement statistically and significantly correlate to the stock price, and the change variability of the stock price can be explained by the change variablity of these independent variables. With the results that alteration of financial performance significantly can be used to predict the alteration of the price of stock. The result of this research also describe partial conclusion that measurement model of performance (Stern Stewart, Sharpe, and Conventional) are used by investor as a strategic information, except the Treynor model is not significant.

References


Achour. Dominique, Robert Brown, Yvon Roy, 1984, Investment Performance Of Canadian Real Estate Stocks Using Sharpe’s Performance Index, Managerial And Decision Economics, Sep.1984;5,3; ABI/INFORM Global pg.183.

Amiadji, 1994. Aplikasi Economic Value Added (EVA), Untuk Memilih Saham Efisien dan Korelasinya Dengan Market Value Added (MVA), Tesis Pascasarjana Universitas Tujuh Belas Agustus Surabaya.

Ball, R. dan P. Brown. 1968. An Empirical Evaluation of Accounting Number. Journal of Accounting Research, Vol. 6, pp. 159 – 177.

Baridwan, Z. 1997. Analisis Nilai Tambah Informasi Laporan Arus Kas. Jurnal Ekonomi dan Bisnis Indonesia Volume 12.2 : 1 – 14.

Beaver, W. H. 1989. Financial Reporting An Accounting Revolution : Second Edition. Prentice-Hall. Inc. USA.

Bidlle, Gary C., Robert M. Bowen, James S. Wallace, (1999), Evidence On EVA, University Of Washington USA.

Brandi. Jay T, 2002, Sharpe/Treynor Performance Attribution Model: A Practitioner’s Approach To Using The Sharpe And Treynor Reward To Risk Ratios, Journal Of Pension Planning And Compliance; Summer 2002;28,2; ABI/INFORM Global pg.1.

Brigham, E. F., and Louis C. Gapenski, 1994, Financial Management (Theory and Practice), Seventh Edition, The Dryden Press, New York.

Brigham, E.F. and L.C. Gapenski, Phillip R. Daves, 1999, Intermediate Financial Management, Sixth Edition, The Dryden Press, New York.

Cooper. Robin, Regine Slagmulder, 1999, Integrating Activity-based Costing and Economic Value Added, Management Accounting, New York.

Dodd, J.L. dan Simmin, Chen. 1996. EVA a New Panacea?. B&E Review, July-September, pp. 26 – 28.

Dowd. Kevin, 1999, Adjusting for Risk: An Improved Sharpe Ratio, International Review of Economics and Finance, 209-222.

Emory C. William dan Coper R. Donald. 1996. Metode Penelitian Bisnis (Alih Bahasa). Penerbit Erlangga. Jakarta.

Foster, G. 1986. Financial Statement Analysis, Second Edition. Prentice-Hall International. Inc. USA.

Gibson, C.H. dan P.A. Boyer. 1980. Professional Notes. Journal of Accountancy (May): 78-84.

Goestzmann. William N., Stanley J. Garstka, n.a., The Development of Corporate Performance Measures: Benchmarks Before EVA, Yale School of Management.

Gujarati, Damodar. 1997, Ekonometrika Dasar. Terjemahan, Edisi 5, Erlangga, Jakarta.

Hall. J.H., L.M. Brummer, n.a., The Relationship Between The Market Value Of A Company and Internal Performance Measurements, University of Pretoria, Republic of South Africa.

Hair, JF. Jr., R.E.Anderson, R.LTatham, W.C. Black. 1998, Multivariate Data Analysis, Fifth Edition, Pretice Hall International.

Husnan S, 1998, Manajemen Keuangan, Teori dan Penerapan Keputusan Jangka Panjang, Edisi 4, BPFE, Yogyakarta.

Ikatan Akuntan Indonesia. 2002. Standar Akuntansi Keuangan. Salemba Empat. Jakarta.

Itan, Iskandar, Akhmad Syakhroza, 2003, The Influence of Financial Performance to The Price of LQ45 Stocks at Jakarta Stock Exchange, Simposium Nasional Akuntansi IV.

Jensen, M. and W. Meckling, 1976, Theory of The Firm: Managerial Behaviour Agency Cost, and Ownership Structure, Journal of Finance Economics 3, 305-360.

Jensen, Michael C., 1986, Agency Cost of Free Cash Flow, Corporate Finance And Takeover. Journal American Economic Review, 1986 pp.323-329.

Jogiyanto, H dan Chendrawati. 1999. ROA and EVA A Comparative Empirical Study. Gadjah Mada International Journal of Business. Vol. 1, No. 1, May.

Kusuma. Indra W., 1999, Financial Characteristics: Comparison of US Multinational and Domestic Firm, International Journal of Business, Yogyakarta, 1(1):11-28.

Lehn, K. dan Makhija, A.K. 1996. EVA and MVA as performance measures and signals for strategic chance, Strategy and Leadership Magazine. May-June 1996, 34-38.

Lev, B. dan S. R. Thiagarajan. 1993. Fundamental Information Analysis. Journal of Accounting Research (Autumn): 190-215.

Machfoedz, Mas’ud. 1994. Financial Ratio Analysis and The Prediction of Earnings Changes in Indonesia, Kelola. No. 7.

O’byrne, Stephen F. Stern Stewart & Co, 1996. EVA and Market Value. Journal of Applied Corporate Finance, Vol. 9 N0. 1.

Ou, J. A. dan S. H. Penman. 1989. Financial Statement Analysis and the Prediction of Stock Returns. Journal of Accounting and Economics 11 : 295 – 329.

Pedersen. Cristian S., Stephen E. Satchell, 2000, Small Sample Analysis Of Performance Measures In The Asymetric Response Model, Journal Of Financial And Quantitative Analysis; Sep.2000;35,3; ABI/INFORM Global pg.425.

Penman. Stephen H., 1996, A Comparison of Dividend, Cash Flow, and Earnings Approaches to Equity Valuation, University of California, Berkeley.

Penman, S. H. 1992. Financial Statement Information and the Pricing of Earnings Changes. Accounting Review (July) : 563 – 577.

Purwati, Titik. 1999. EVA dan MVA Sebagai Faktor Untuk Membedakan Kinerja Keuangan pada Perusahaan Manufaktur yang Go Publik di BEJ. Tesis Program Pascasarjana Universitas Brawijaya.

Rousana, M. 1997. Memanfaatkan EVA Untuk Menilai Perusahaan di Pasar Modal Indonesia, Manajemen Usahawan Indonesia No. 4 Th. XXVI April.

Sahn, Dawne, 2000, Economic Value Added, Computerworld, Framingham.

Santoso, S. 2001. Statistik Non Parametrik. Elek Media Komputindo, Jakarta.

-----------. 2002. Statistik Multivariat. Elek Media Komputindo, Jakarta.

Sartono A, 2000, Manajemen Keuangan - Teori dan Aplikasi, Edisi 3, BPFE, Yogyakarta.

Solimun, 2002, Structural Equation Modeling Lisrel dan Amos, Universitas Negeri Malang, Malang.

Spivey, Michael F., Jeffrey J. McMillan, n.a., Economic Value Added (EVA) and The Valuation of Small Business, Clemson University.

Stewart III, Bennet, G. dan Stern S. Co. 1991. The Quest For Value, The EVA Management Guide. New York : harper Business.

Sudarma, Made, 2003, Pengaruh Struktur Kepemilikan Saham, Faktor Intern dan Faktor Ekstern Terhadap Struktur Modal dan Nilai Perusahaan, Disertasi Universitas Brawijaya Malang.

Tandelilin, E. 2001. Analisis Investasi dan Manajemen Portofolio. BPFE Universitas Gadjah Mada. Yogyakarta.

Widayanto, G. 1993. EVA : Suatu Terobosan Baru Dalam Pengukuran Kinerja Perusahaan, Manajemen Usahawan Indonesia No. 12 Th XXVI.

Young, S. David dan Stephen F. O’Byrne. 2001. EVA and Value-Based Management: Practical Guide to Implementation (Diterjemahkan oleh Lusy Wijaya). Penerbit Salemba Empat. Jakarta.




DOI: http://dx.doi.org/10.20961/jab.v5i2.29

Jurnal Akuntansi dan Bisnis (JAB)
ISSN 1412-0852 (print), 2580-5444 (online)
Published by Accounting Study Program, Faculty of Economics and Business, Universitas Sebelas Maret, Indonesia


Creative Commons License
JAB on http://jab.fe.uns.ac.id/index.php/jab is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License

Visitor Statistic