Perwito1,
Rita Zulbetti2
Computerized
Accounting Program
Piksi Ganesha
Polytechnic of Bandung
Abstract
The objective of this research is to analyzed the Earning Per Share, Price
Earning Ratio, Price Book Value, Interest Rate, Exchange
Rate, Inflation, and Economic
Growth to Stock Return of SRI Kehati Group which were registered in Indonesian Stock Exchange from 2009 to 2013.
Historical data was taken from Indonesia
Financial Statistic, Indonesian Stock Exchange, Statistic Center Bureau, Bank
of Indonesia Monthly
Report and Indonesia Capital
Market Directory. The number of population for this research is 35 companies and the number of sample that examined after passed the
purposive sampling is 17 companies. Analytical technique for this research is Dynamic Panel Data.
The results show that Earning Per Share, Price Earning Ratio,
Price Book Value, and Economic Growth have a positive and significant
influence to Stock Return, on the other hand Inflation, Interest Rate, and Exchange Rate have a negative and significant influence to Stock
Return.
Keywords
: Stock Return; Fundamental
Factors;
Dynamic
Panel Data.
1.
RESEARCH BACKGROUND
The global
financial crisis in early 2008 triggered by the subprime mortgage crisis
in the United States causing companies subprime mortgage lender insolvent.The
climax is on Monday, 28 September 2008 one of the leading financial
institutions in the United States, namely Lehman Brothers declared
bankruptcy. The bankruptcy news immediately spread and spread throughout
the world, without exception of Indonesia.
At the time of
the crisis, countries that have never been exposed to the financial crisis can
not avoid the transmission, such as the Netherlands, France, Germany,
Singapore, and of course, the impact is felt throughout the world, including
developing countries such as Indonesia. Even today there are indications
of an economic crisis caused by the crisis in Europe, primarily Greece crisis
and penetrated the Middle East region, it is caused by the political turmoil in
the Middle East.
The crisis events
also occur in the form of financial difficulties, panic banking crisis or a
systemic banking crisis, stock market crash, the bursting of financial
bubbles the collapse of the currency, balance of payments difficulties,
failure of repayment of government debt, or a combination of two or more events
. The crisis affects the performance of the companies listed on the
Exchange, so that could also affect the returns received by
investors. This can be seen in the decline of the stock market and
financial market.
The direct effect
of the global financial crisis on the Indonesian economy is: in the exchange
rate, the exchange rate in early 2008 persist at Rp 9,000, -, began to look to
fluctuate in mid-September 2008. The climax on December 28, 2008 the
exchange rate exceeded USD 12,650 per U.S. dollar, and today reoccur in the
weakening exchange rate at Rp 11,423. (BI.go.id//Sept 16th, 2013). The situation is of course making
companies that rely on imported raw materials into a panic.The decrease in the
value of the rupiah will have implications for the rise in prices of goods that
will eventually lead to inflation.
Another influence
on the performance index in Indonesia Stock Exchange. Foreign ownership
still dominates stake in the Indonesian Stock Exchange (BEI), inflict Indonesian stock market is vulnerable to the global financial
situation. Many investors who invest their funds in the Indonesia Stock
Exchange (IDX), a sudden large losses, the average of their assets lose up to
80%. (Bank Indonesia, 2010).
Performance of Jakarta Composite Index (IHSG) on the
Stock Exchange on the date of October 8, 2008 corrected to 10.38%, which makes
the market authority closed the trading of securities and derivatives for two days. This
step was taken to protect investors from losses even more. These
conditions result in reduced public confidence in the stock market in
Indonesia. This phenomenon resulted in the decline in investor interest in
stock trading. Consequences that occurred stock price will decline.
The stock price
is often considered by investors in making investment decisions. Stock
prices tend to rise in the short term will give the stock return in the form of
capital gains, whereas in the long term means that the improvement in the
financial performance of the company so as to allow investors to earn
dividends. Instead stock prices tend to decline in the short term means
that the investor will incur a loss (capital
loss), whereas in the long term showed worsening financial
performance of companies that investors suffered losses by not obtaining
dividends.
In determining
the value of stock investors need to pay attention to dividends and the
expected earnings of the company in the future. The amount of the dividend
and the expected earnings of a company will depend on the company's profit
outlook. In stock valuation analysis, investors can perform fundamental
analysis and technical analysis, fundamental analysis to assess the prospects
of the company include the analysis of macro-economic, industry analysis and
company analysis.
Macro
fundamentals in terms of capital market analysis referred to state the
fundamental factors, these factors are uncontrollable and therefore can not be controlled
company. Macro fundamental factors include the following factors: (1)
economic, (2) social, cultural, demographic and environment, (3) political
power, government, and laws, (4) technology, and (5) competition (David, 2003)
. In this study, the authors restrict the fundamental macroeconomic
factors with indicators of inflation, interest rate, exchange rate, and
economic growth. Data growth macro economic
indicators; inflation, interest rates, exchange rates and economic growth can
be seen in the following table:
Table 1
Development of Indonesia’s Macroeconomic Indicators
Year
2005-2012
|
No.
|
Indicator
|
2005
|
2006
|
2007
|
2008
|
2009
|
2010
|
2011
|
2012
|
|
1
|
Inflation
(%)
|
17.11
|
6:50
|
6.59
|
11.06
|
2.78
|
6.96
|
3.79
|
4.30
|
|
2
|
BI Rate
(%)
|
12.75
|
9.75
|
8.00
|
9.25
|
6.50
|
6.50
|
6.00
|
5.75
|
|
3
|
Exchange
Rate (U.S. $)
|
9830
|
9,020
|
9,419
|
10,950
|
9,400
|
8,991
|
9068
|
9670
|
|
4
|
Economic
Growth (%)
|
5.69
|
5.50
|
6.35
|
6.01
|
4.63
|
6.20
|
6.5
|
6.2
|
Sources: BPS, BI,
(data processing)
Based on Table 1
above can be explained that the price reduction BBM the end of 2008
the country has lowered the rate of inflation to 2.78 percent in 2009. Similarly, the BI rate, by looking at the
inflation rate of 2.78 percent BI rate also fell to 6.5 percent in 2009 and
lasted until 2010.
Table above also shows the development of Indonesia's
economic growth during the 2009 slump. The impact of the global financial
crisis on the Indonesian economy began to be felt in the fourth quarter of
2008, where economic growth fourth quarter 2008 decreased by minus 3.6 percent
compared to the third quarter of 2008 due to lower growth in exports of goods
and services.
The macroeconomic
fundamentals have a tendency to affect the stock market, either directly or
indirectly, in which these factors will be responded to directly by the capital
markets. This is in line with the opinion of the Tandelilin Siegel (2010)
which explains the strong relationship between stock prices and macroeconomic
performance, and find that the stock price changes always occur before the
economy changes.
According to
Crockett (1997) in Nezky financial stability is closely related
to the health of an economy. The more healthy financial sector in a
country, the more healthy the economy as well, and vice versa. Thus the
development of the financial sector, including capital markets, is one of the
indicators that need to be considered to maintain the health or stability of
the economy. Price movements of stocks, bonds, and so on in the stock
market of a country due to investors' perception of the condition of the
capital markets. This perception will ultimately affect investment coming
into the country, thus affecting the economic conditions of the country
concerned.
Fundamental
factor in the analysis of micro capital market is often referred to as the
company's fundamentals, these factors are controllable so that
it can be controlled company. Micro fundamentals can be grouped within a
factor of company policy and company performance factor. The concept of a
fundamental approach using the approach of the company's internal financial
reports, financial reports are very useful for investors to determine the best
investment decisions and profitable, investors can compare the intrinsic value
of the company's stock than the stock market price of the company
concerned. The results of the financial statements that could be the basis
of such assessment; Earning Per Share (EPS), Price
Earning Ratio (PER), and Price Book Value (PBV).
Selection of SRI Kehati group as the sample is because
this Index established as an
additional investment guideline for investors by establishing a benchmark on
stocks price of Listed Companies with excellent practices on supporting their
sustainability through methods that concern about the environment, social and
good corporate governance. The new Index is expected to enhance the exposure on
Listed Companies that have performed their environmental and social
responsibilities as well as good corporate governance.
The purpose of
this study was to analyze the influence of fundamental factors which consist
of; EPS, PER, PBV, inflation (INF), exchange rate (IR), exchange rate (ER), and
Economic Growth (GDP) to stock Return in the SRI Kehati group listed in
Indonesia Stock Exchange 2009-2013 period either
individually (partial) or jointly (simultaneously).
2.
LITERATURE REVIEW
2.1 Arbitrage Pricing Theory-Multi Factors Model
Arbitrage Pricing
Theory (APT) is a theory of the relationship between risk and return are
derived from the absence of arbitrage opportunities in the capital markets. APT
was formed in the hope of closing the weakness Capital Assets Pricing Model (CAPM), which
submits only one risk factor to take into account the existing volatility in
individual securities or a portfolio of securities.
Multi Factors Model are developed concerning
to the concept of Arbitrage Pricing Theory (APT), based on the
assumption that various economic factors, either directly or indirectly, effect
on stock returns. According to Amenc (2003), multi-factors model can be
distinguished explicitly factor model with macroeconomic variables (Roll and
Ross, 1980) and a model with firm-specific attribute’s factor (Fama and
French, 1996) (Charthart, 1997). The basic model of the APT are as follows:
Where:
R i
= actual return of assets during the period i, i = 1,2,3, ...,
n
E (R i) = expected return for asset i if all risk
factors had a probability equal to zero.
b ij = i
asset
return response to the movement of risk factor j.
δ i = number of factors or indices in common with the average zero
affecting return on all assets.
e i = random error
n = number of assets
Multi-factor
analysis model as described above, the valuation of common stock securities
known as fundamental analysis, Tjiptono (2006) suggests that fundamental
analysis is one way of doing stock research by studying or observing various
indicators related to macroeconomic conditions and industry conditions,
including a company's various financial indicators and corporate management.
Fundamental analysis aims to evaluate or to project a company's value. The
value of a stock can be undervalued or overvalued position. The undervalued stock
when the stock price is less than the market price or the fair value of the
stock is said to be overvalued, and vice versa if the stock price is greater
than the market price or fair value should be.
In general, fundamental analysis involves many variables the
data is important enough to be addressed;
A. Earning per Share
(EPS)
Fabozzi and Peterson
(2003) argued EPS "is earnings available for common shareholders, divided
by the number of common shares outstanding." While
Tandelilin (2010) suggested that EPS represent net that is ready to be
distributed to shareholders divided by the number of shares to the company.
This ratio shows per share
acquired by the company during a given accounting period.
For the investor, EPS is information that is considered the most fundamental
and useful, because it can describe the outlook for corporate earnings in the
future.
B. Price Earning Ratio
(PER)
Tandelilin (2010)
suggests that the PER or also referred to as earnings multipler is the
amount investor dollars to be paid to acquire a company’s earning dollars. In other
words, PER shows the magnitude of the price of every dollar of corporate
earnings.
Fabozzi and Peterson
(2003) who argued that "Many investors are interested in how the earnings
are valued by the market. A measure of how these earnings are valued is the
price-earnings ratio (P/E). This ratio compares the price per common share with
earnings per common share. "
PER is high will lead
to increased demand for the shares, as demand increases it will cause a rise in
stock prices. The higher PER shares of a company, the higher the price per
share is compared each share. This shows the higher interest of investors to
own the stock.
C. Price Book Value (PBV)
PBV portrait
appreciate how big the market share of a company's book value. This ratio takes
into account or compare market value (market price) and book value of a share, the higher the PBV ratio means the market
believes the prospects for the company. This is in accordance with the Opinion
Husnan (2005) who argued that "The greater the ratio the higher PBV
companies rated by investors relative to the funds that have been invested in
the company. Fama and French study also found that the PBV ratio has
significant relationship with stock returns.
D. Inflation (INF)
Inflation is the
macro fundamentals of the macroeconomic indicators describe the economic
conditions that are less healthy, because the prices of goods generally
increases thus weakening purchasing power. Mankiw (2007) suggests inflation is
a rise in the price of goods in general or decrease in purchasing power of a
units of currency.
The decline in
purchasing power, will affect the decline in demand for products as a result of
a company's sales also declined. The decline in sales resulted in lower
profits. Decline in corporate profits could affect stock prices, as investors
would prefer investments that can provide higher returns. Consequently, if the
stock price decreases, the value of the company also declined. Decline
in stock prices occurred in accordance with the law of demand, the less quantity of goods demanded, then the price will
decline.
E. Interest Rate (IR)
Macroeconomic
conditions or the market may be reflected in the interest rate. The interest
rate will be reflected on the BI rate, the BI rate is the interest
rate that reflects the attitude or policy of monetary policy set by Bank
Indonesia and announced to the public.
Husnan (2005)
explains, "interest rates will increase r, so that when other variables
are held constant, the stock price will decline, in other words; it is expected that
there is a negative correlation between movements in interest rates with market
conditions."
Changes in interest
rates can affect the variability of return of an investment. Theoretically,
because it happens: when interest rates rise, the investment return related
interests (e.g. deposits) will also rise. This condition will attract
investors who previously invested in stocks will shift or move funds from
stocks into the deposits. This if done jointly by investors to sell their
shares and move in the form of deposits, then in accordance with the law of
demand and supply, if a lot of the sellers of stocks, ceteris paribus, the
stock price will go down.
F.
Exchange Rate (ER)
Exchange rate is the price or value of the local currency against foreign
currencies. The actor in the international market is very concerned about the
determination of foreign exchange (forex), because the exchange rate will affect
the costs and benefits to the trade of goods, services and securities (Mudrajad,
2010).
A currency of a
country highly susceptible to changes, a weaker exchange rate shows that the
value of the rupiah depreciated against the U.S. dollar down. If the rupiah
appreciation against the rupiah demand is declining and demand for dollars
increases. The appreciation of the rupiah against the U.S. dollar would cause
investors choose to sell part or all of its shares to be transferred to the
foreign currency and then invest the savings elsewhere. This will cause the
share price down so that impact on the return.
G. Gross Domestic
Product (GDP)
Economic growth is
the out come variables arising from changes in inflation, interest rates and
exchange rates. Economic growth is often used as a barometer to predict
macroeconomic investment. If economic growth increasing, then there is an
indication that the investment outlook is also good (Mankiw, 2007).
High economic growth
illustrates increasing purchasing power (Mankiw, 2007). Increased purchasing
power will spur increased economic activity or transaction, and is a positive
signal for the company to improve its operations. Therefore, increased economic
growth, directly or indirectly, will increase investment in the real sector and
capital market activities, resulting in improved performance of the stock
market, so it will have implications for stock return.
2.2 Stock
Return
Measurement much stock returns using total return approach,
total return is the overall return of an investment in a particular period; the total return is
also often referred to return it. Total return consisting of capital gain
(loss) and yield, capital gain or capital loss is the difference between the
current price of investment relative to last period's price. Where as the yield is the
percentage of cash receipts periodically the investment price of an investment
period. For stocks, the yield is the percentage of dividend to share price the
previous period. Jogiyanto (2009) describes the return calculation formula is
as follows:
...
(2)
Research Hypothesis
a.
There is a positive influence EPS, PER, PBV, and GDP on Stock
Return (R) at SRI Kehati listed companies in
Indonesia Stock Exchange (IDX).
b.
There is a negatively influence
INF, IR, ER on Stock Return (R) at SRI
Kehati listed companies in Indonesia Stock Exchange (IDX).
3.
RESEARCH METHODS
In accordance with
the research objectives to be achieved, the method used in this study is a
quantitative analysis method. His approach with the linear regression equation
of the type of panel data (pooled data) which is a combination of time series
data with cross-section (Gujarati, 2010)
The population is the
entire group of SRI Kehati company listed on the Indonesia Stock Exchange (IDX) in the study period
(2009 -2013). Total population in this study is as much as 36 companies to the SRI Kehati.
The sampling technique through purposive sampling method in order to obtain
appropriate samples for the purpose of research. Purposive sampling method is
based on several considerations on certain criteria. Criteria for stocks that
will do the research for the study sampled a group of SRI Kehati recorded
throughout the study period. Based on these criteria, the
number of samples used in this study were 17 companies, as
shown in Table 2 below:
Table 2
Sample Research
|
No
|
Kode
|
Nama
|
|
1
|
AALI
|
Astra Agro Lestari
Tbk.
|
|
2
|
ANTM
|
Aneka Tambang Tbk.
|
|
3
|
ASII
|
Astra Internasional
Tbk.
|
|
4
|
BBCA
|
Bank Central Asia Tbk.
|
|
5
|
BBRI
|
Bank Rakyat Indonesia
Tbk.
|
|
6
|
BDMN
|
Bank Danamon Indonesia
Tbk.
|
|
7
|
BMRI
|
Bank Mandiri Tbk.
|
|
8
|
INDF
|
Indofood Sukses Makmur
Tbk.
|
|
9
|
ISAT
|
Indosat Tbk.
|
|
10
|
KLBF
|
Kalbe Farma Tbk.
|
|
11
|
MEDC
|
Medco Energi
Internasional Tbk.
|
|
12
|
PGAS
|
Perusahaan Gas Negara
Tbk.
|
|
13
|
PTBA
|
Tambang Batubara Bukit
Asam Tbk.
|
|
14
|
TINS
|
Timah Tbk.
|
|
15
|
TLKM
|
Telekomunikasi
Indonesia Tbk.
|
|
16
|
UNTR
|
United Tractors Tbk.
|
|
17
|
UNVR
|
Unilever Indonesia
Tbk.
|
Sumber: http//:
www.idx.co.id
The model used is the author
of Dynamic Panel Data that refer to the formulation of models of
Arellano and Bond (1991).
R = f (EPS, PER, PBV, INF, IR, ER, GDP) …(3)
Rit = a1Ri(t-1)
+ß1EPSit + ß2PERit + ß3PBVit
+ ß4INFit + ß5IRit + ß6
ERit + ß7GDPit +ɛit ... (4)
Where:
R it = the dependent
variable (Stock Return) every bank in period t
R i (t-1) = Lag1 of Stock Return
EPS = Earnings Per Share it in period t
PER it = Price Earning Ratio in period t
PBVit = Price Book Value at period t
INF it = Inflation in period t
IR it = Interest Rate in period t
ER it = Exchange Rate in period t
GDPit = GDP Growth in period t
i = Individual companies
t = Time of observation in the study (period
2009-2011)
α 1 = Coefficient R i (t-1)
ß 1 ...ß 7 = Coefficient EPS variables it ... GDP it
ɛit = Standard error
4.
RESULT AND DISCUSSION
The following table shows the
estimation results using the First-Differences Generalized Method of Moments
(FD-GMM).
Table 3
Results
Estimation Using FD-GMM Method
|
Variabel
|
Coefficient
|
Std.
Error
|
Prob.
|
|
RETURN(-1)
|
0,127
|
0,030
|
0,000
|
|
EPS
|
0,089
|
0,022
|
0,005
|
|
PER
|
0,018
|
0,032
|
0,038
|
|
PBV
|
0,027
|
0,007
|
0,000
|
|
INF
|
-0,040
|
0,042
|
0,000
|
|
IR
|
-0,003
|
0,005
|
0,003
|
|
ER
|
-0,056
|
0,064
|
0,041
|
|
GDP
|
0,283
|
0,056
|
0,000
|
|
|
|
|
|
|
R-squared
F-statistik
|
0,443
4,752
|
||
|
Prob(F-statistik)
|
0,000
|
||
|
Arellano Bond Test
m1
m2
Sargan Test
|
0,022
0,698
0,988
|
||
Source:
Eviews and STATA output (processed)
The
results of the GMM estimation shows all the signs of the coefficients are
consistent with the theory. Based on the estimates used in Table 3 can be formed
estimation model Stock Return (R) as follows:
R = -0,127 R(t-1) + 0,089 EPS - 0,018 PER
+ 0,027 PBV -0,040 INF - 0,003 IR
- 0,056 ER + 0,283 GDP + 9,773
5.
CONCLUSION
a.
Partialy (individual) variable EPS, PER, PBV and GDP have
a positive and significant influence to Stock Return (R). On
the other hand,
variables INF, IR and ER have
a negative and significant influence to Stock Return (R).
b.
Taken together (simultaneously) variable EPS, PER, PBV, INF,
IR, ER and GDP contributed significantly to the Stock Return (R) SRI Kehati group company listed
in Indonesia Stock Exchange 2009-2013 period.
6.
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