Analisis Cross Section Imbal Hasil yang Diharapkan Berdasarkan Laba dan Nilai Buku Terhadap Pasar pada Bank di Indonesia

Abstract

This study aims to determine the effect of book to market on excess return. Testing is done through the components of book to market compilers, namely retained earnings, contributed capital, accumulated other comprehensive income in the banking sector which is listed on the Indonesia Stock Exchange (IDX). This study uses 28 samples of Tbk banks listed on the Indonesia Stock Exchange in the 2014- 2018 period to produce 140 bank observation data. Based on the Chow test it was stated that the Fixed Effect model was the best model in testing the panel data regression equation model. Book to market tested against excess return shows insignificant and negative results against excess return, then retained earnings tested with excess return shows insignificant and negative results, then when book to market is tested together with retained earnings also shows results that are insignificant and negative towards excess return. Likewise, testing with other variables, namely contributed capital, and accumulated other comprehensive income, shows the same results.The results of this study indicate that book to market does not have a significant negative effect on excess return. These results are obtained through testing one by one compiling book to market components, namely retained earnings, contributed capital, accumulated other comprehensive income, all of which have no significant and negative effect on book to market. so book to market has a negative influence on excess return on companies listed on the Indonesia Stock Exchange.

Penelitian ini bertujuan untuk mengetahui pengaruh book to market terhadap excess return. Pengujian dilakukan melalui komponen-komponen penyusun book to marketyaitu retained earning, contributed capital, accumulated other comprehensive incomepada sektor perbankan yang terdaftar di Bursa Efek Indonesi (BEI). Penelitian ini menggunakan 28 sampel bank Tbk yang terdaftar di Bursa Efek Indonesia periode 2014-2018 sehingga menghasilkan 140 data observasi bank. Berdasarkan uji Chow dinyatakan model Fixed Effect merupakan model terbaik dalam pengujian model persamaan regresi data panel. Book to market diuji terhadap excess return menunjukkan hasil yang tidak signifikan dan negatif tergadap excess return, kemudian retained earning diuji dengan excess return menunjukkan hasil yang tidak signifikan, namun ketika book to market diuji secara bersama-sama dengan retained earning hasil menunjukkan bahwa booktomarket dan retained earning berpengaruh positif dan signifikan terhadap excess return. Selanjutnya pengujian dengan variabel lainnya yaitu contributed capital, dan accumulated other comprehensive income, menunjukkan hasil yang tidak signifikan terhadap excess return. Hasil penelitian ini menunjukkan bahwa book to market berpengaruh signifikan terhadap excess return hanya karena diuji bersama-sama dengan retained earning. Hasil tersebut didapatkan melalui pengujian satu persatu dan berbarengan antara komponen penyusun book to market yaitu retained earning, contributed capital, accumulated other comprehensive income seluruhnya tidak berpengaruh signifikan terhadap book to market hanya ada satu variabel yang menjadikan booktomarket signifikan terhadap excess return yaitu adalah variable retained earning. . sehingga book to market memiliki pengaruh yang positif terhadap excess return pada perusahaan yang terdaftar di Bursa Efek Indonesia.