Fakultas Ekonomi - Doktor Ilmu Manajemen, JOBMAN Vol. 1 No. 1, Januari 2014 (Views: 3773)

EFFECT OF FINANCIAL FUNDAMENTAL FACTORS AND MACROECONOMICS TO STOCK RETURN WITH IMPLICATIONS ON CORPORATE VALUE (TOBIN'S Q) REAL ESTATE AND PROPERTY GO PUBLIC IN INDONESIA

Edhi Asmirantho

ABSTRAK

This research aims to test empirically the effects of financial fundamentals (ROA, DER, PBV) and macroeconomics (rupiah exchange rate, interest rate, and inflation) of stock returns and its implications on corporate value (Tobin’s Q). The research was conducted on go-public property and real estate industry in Indonesia. The data used is the panel data. Data sources were obtained from the economic and financial statistics published by Bank Indonesia, ICMD (Indonesian Capital Market Directory, and the Jakarta Stock Exchange (JSX) Monthly Statistics periods between 2008, 2009, and 2010. Sampling companies used the purposive samping method that listed by BEI, 35 companies met the criteria, whereas analytical technique used the multiple regression analysis model with Mathematics equations: 1) Common Effect Model (CEM), 2) Fixed Effect Model (Least Square Dummy Variable), 3) Random Effect Model (REM). The three were tested by Chow Test, Lagrange Multiplier (LM) Test, and Hausman Test.The selected models are Common Effect Model (CEM) for measuring stock return and Random Effect Model for measuring corporate value. Processing the data used Eviews7 software and evaluating corporate value used ratio analysis of Tobin’s Q. The results showed that the first variable DER, Exchange rate, and INF significant effect on stock returns and ROA variables TSB whereas no significant effect on stock returns. Second, PBV variable, Exchange rate, and TSB significant effect on corporate value while variable ROA, DER, and INF had no significant effect on corporate value. Third, based on the R-square is formed, the independent variable can explain the growth of the stock return of 52.35% and explained 23.72% growth in corporate value. Fourth, variable stock returns (RS) high significant positive effect on corporate value (Tobin's Q) on the property and real estate industry go-public in Indonesia. These results can be used to guide or provide benefits to management in managing the company effectively and efficiently as well as investors in determining investment strategy.

Kata kunci: Financial And Macroeconomics Fundamental Factors, Stock Return, And Corporate Value (Tobin’s Q)

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