Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy
Many previous researchs have proved that stock prices fail to immediately reflect publicly available information, especially earnings news. Based on this fact, it is seen another alternative which can be used to determine the stock prices well. The financial statements contain of information for the...
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| Format: | Article |
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[Yogyakarta] : Universitas Gadjah Mada
2000
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| _version_ | 1797017980003942400 |
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| author | Perpustakaan UGM, i-lib |
| author_facet | Perpustakaan UGM, i-lib |
| author_sort | Perpustakaan UGM, i-lib |
| collection | UGM |
| description | Many previous researchs have proved that stock prices fail to immediately reflect publicly available information, especially earnings news. Based on this fact, it is seen another alternative which can be used to determine the stock prices well.
The financial statements contain of information for the investor to making on analysis about the related company. This research is done by using data which in the financial statement (fundamental data).
The sample of research is taken by purposive random sampling to the manufacturing company listed in Jakarta Stock Exchange (JSX) between 1995 and 1996 and the stock is actively traded in that period. The results are 34 companies which have the criteria decided. This research uses 6 fundamental signals, those are: inventory (PERSD), account receivable (PD), capital expenditures (PM), gross margin (MK), selling and administrative expenses (P&A), and effective tax rate (PE). The fundamental signals are measured by using the average changing for two years before model. The abnormal return is counted by using mean-adjusted model and market-adjusted model. The hypotesses experiment is done by a simple regression analysis to know about the relationship among fundamental signals (univariate regression) as well as fundamental signals (multivariate regression) to CAR (cumulative abnormal return).
The used regression model is:
CAR. = a + PERSDL, + b, PD.Lt + b3 PM,3 + b5 P&A + b, PE. + e
The empirical result showsthat gross margin signal (MK) is able to predict the abnormal return significantly, that is the significant of t value is 0.0726 (mean-adjusted model) and 0.0165 (market-adjusted model). The others 5 signals are unable to predict abnormal return significantly because the statistic analysis shows that the significant of t value is more than 0.1, they are: PERSD = 0.4933 and 0.2938, PD = 0.2171 and 0.3119, PM = 0.2683 and 0.3076, P&A = 0.1758 and 0.2691, and PE = 0.2208 and 0.2333 (which for mean-adjusted model and market-
adjusted model).
Key words: Abnormal return -- Fundamental analysis -- Fundamental signals -Market efficiency. |
| first_indexed | 2024-03-05T22:55:07Z |
| format | Article |
| id | oai:generic.eprints.org:19229 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-05T22:55:07Z |
| publishDate | 2000 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:192292014-06-18T00:33:32Z https://repository.ugm.ac.id/19229/ Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy Perpustakaan UGM, i-lib Jurnal i-lib UGM Many previous researchs have proved that stock prices fail to immediately reflect publicly available information, especially earnings news. Based on this fact, it is seen another alternative which can be used to determine the stock prices well. The financial statements contain of information for the investor to making on analysis about the related company. This research is done by using data which in the financial statement (fundamental data). The sample of research is taken by purposive random sampling to the manufacturing company listed in Jakarta Stock Exchange (JSX) between 1995 and 1996 and the stock is actively traded in that period. The results are 34 companies which have the criteria decided. This research uses 6 fundamental signals, those are: inventory (PERSD), account receivable (PD), capital expenditures (PM), gross margin (MK), selling and administrative expenses (P&A), and effective tax rate (PE). The fundamental signals are measured by using the average changing for two years before model. The abnormal return is counted by using mean-adjusted model and market-adjusted model. The hypotesses experiment is done by a simple regression analysis to know about the relationship among fundamental signals (univariate regression) as well as fundamental signals (multivariate regression) to CAR (cumulative abnormal return). The used regression model is: CAR. = a + PERSDL, + b, PD.Lt + b3 PM,3 + b5 P&A + b, PE. + e The empirical result showsthat gross margin signal (MK) is able to predict the abnormal return significantly, that is the significant of t value is 0.0726 (mean-adjusted model) and 0.0165 (market-adjusted model). The others 5 signals are unable to predict abnormal return significantly because the statistic analysis shows that the significant of t value is more than 0.1, they are: PERSD = 0.4933 and 0.2938, PD = 0.2171 and 0.3119, PM = 0.2683 and 0.3076, P&A = 0.1758 and 0.2691, and PE = 0.2208 and 0.2333 (which for mean-adjusted model and market- adjusted model). Key words: Abnormal return -- Fundamental analysis -- Fundamental signals -Market efficiency. [Yogyakarta] : Universitas Gadjah Mada 2000 Article NonPeerReviewed Perpustakaan UGM, i-lib (2000) Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy. Jurnal i-lib UGM. http://i-lib.ugm.ac.id/jurnal/download.php?dataId=2058 |
| spellingShingle | Jurnal i-lib UGM Perpustakaan UGM, i-lib Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy |
| title | Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy |
| title_full | Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy |
| title_fullStr | Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy |
| title_full_unstemmed | Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy |
| title_short | Abnormal Return Dengan Strategi Analisis Fundamental. Abnormal Return With Fundamental Analysis Strategy |
| title_sort | abnormal return dengan strategi analisis fundamental abnormal return with fundamental analysis strategy |
| topic | Jurnal i-lib UGM |
| work_keys_str_mv | AT perpustakaanugmilib abnormalreturndenganstrategianalisisfundamentalabnormalreturnwithfundamentalanalysisstrategy |