Pengaruh profitabilitas, leverage, dan earning per share terhadap return saham perusahaan manufaktur dan non manufaktur (Pengujian pada Perusahaan Besar dan Kecil dalam Total Aset)

Oleh :
Pratomo Wahyu Wibowo - F0399062 - Fak. Ekonomi dan Bisnis

Penelitian ini mempunyai tujuan untuk menguji pengaruh dari profitabilitas, leverage dan earning per share terhadap return saham perusahaan manufaktur dan non manufaktur yang terdaftar di Bursa Efek Jakarta selama periode 1999 sampai dengan 2002. Profitabilitas diukur dengan menggunakan return on asset, return on equity, operating profit margin, dan net profit margin. Sedangkan leverage diukur dengan menggunakan debt to total asset. Penelitian ini membagi sampel menjadi empat kelompok berdasarkan total aset yang dimiliki oleh perusahaan sampel, yaitu perusahaan manufaktur besar, perusahaan manufaktur kecil, perusahaan non manufaktur besar dan perusahaan non manufaktur kecil. Pengambilan sampel dalam penelitian ini dengan menggunakan purposive sampling dan berdasarkan kriteria yang telah ditentukan, terkumpul sebanyak 76 perusahaan baik manufaktur maupun non manufaktur. Hasil pengujian normalitas dan gejala asumsi klasik, menunjukkan bahwa data telah terdistribusi normal dan terbebas dari gejala autokorelasi, multikolinearitas, dan heterokedastisitas. Dengan menggunakan model regresi berganda, hasil uji-F menunjukkan bahwa selama periode pengamatan variabel independen return on asset, return on equity, operating profit margin, net profit margin, debt to total asset dan earning per share secara serentak berpengaruh signifikan terhadap variabel dependen return saham pada perusahaan manufaktur dan non manufaktur baik besar maupun kecil. Hasil uji-t menunjukkan bahwa pada perusahaan manufaktur besar, hanya operating profit margin, net profit margin dan debt to total asset yang konsisten berpengaruh signifikan secara individu terhadap return saham, sedangkan pada perusahaan manufaktur kecil, hanya net profit margin yang konsisten berpengaruh signifikan secara individu terhadap return saham. Pada perusahaan non manufaktur besar, hanya operating profit margin dan debt to total asset yang konsisten berpengaruh signifikan secara individu terhadap return saham, sedangkan pada perusahaan non manufaktur kecil, hanya net profit margin yang konsisten berpengaruh signifikan secara individu terhadap return saham. Variabel independen lainnya, tidak terdapat kekonsistenan pengaruh secara individu terhadap return saham peusahaan manufaktur dan non manufaktur, baik besar maupun kecil. The objective of this research is to test the influence of profitability, leverage and earning per share to the stock return on the manufacturer and non manufacturer companies, which are listed in Jakarta Stock Exchange from 1999 to 2002. Profitability is measured by return on asset, return on equity, operating profit margin, and net profit margin. While leverage is measured by debt to total asset. In this research, the writer divides the sample into four groups based on the total asset the sample companies have namely big manufacturer company, small manufacturer company, non-manufacturer big company, and non manufacturer small company. In this research, the writer uses purposive sampling and based on the criterion stated before, the writer collects 76 companies, either manufacturer and non manufacturer. The research result of normality and classic assumption indication shows that the data have been normally distributed and dispense from autocorrelation, multicollinearity, and heteroscedastisity indication. In analyzing data, the writer uses multiple regression model, the result of F-test shows that return on asset, return on equity, operating profit margin, net profit margin, debt to total asset and earning per share independent variable simultaneously influence stock return significantly to the stock return in manufacturer and non manufacturer companies either big or small. The result of t-test shows that in the big manufacturer companies, the only operating profit margin, net profit margin and debt to total asset which consistent significantly influence stock return individually, while in the small manufacturer companies the only net profit margin, which consistent significantly influence stock return individually. In the big non-manufacturer companies, the only operating profit margin and debt to total asset, which consistent significantly influence stock return individually, while in the small non-manufacturer companies the only net profit margin, which consistent significantly influence stock return individually. The other independent variable, they have no consistent influence to the stock return on the manufacturer and non-manufacturer companies.