ABSTRACT
The purpose of this study is to examine the effect of early warning system ratios, DER, firm size, inflation, and foreign ownership on abnormal return of stocks of insurance companies. The early warning system ratios consists of incurred loss ratio, liabilities to liquid assets ratio, agents’ balance to surplus ratio, and premium growth ratio. Firm size is measured by using three proxies, namely total assets, sales, and market capitalization.
The population of this study is insurance company listed in Indonesia Stock Exchange in the periods 2004-2013. Sampling procedure is purposive sampling methods producing of 10 companies in each year. Method of analysis is multiple linier regression.
The results of this study indicate that premium growth ratio and DER have a positive and significant effect on abnormal stocks return. Meanwhile, inflation and firm size indicate conflicting finding. On the other hand, the incurred loss ratio, liabilities to liquid assets ratio,agents’ balance to surplus ratio, and foreign ownership have no significanteffect on abnormal stocks return.
Keywords: Abnormal return, early warning system, DER, firm size, inflation, and foreign ownership
ABSTRAKSI
Tujuan daripenelitian iniadalah untukmenguji pengaruhrasioearly warning system (sistemperingatan dini), DER, ukuran perusahaan, inflasi, dankepemilikan asingterhadap abnormal returnsahamperusahaanasuransi. RasioEWSterdiri darirasiobeban klaim, rasio likuiditas, agents’ balance to surplus ratio,danrasiopertumbuhan premi. Ukuran perusahaandiukurdengan menggunakantigaproksi, yaitutotal aset, penjualan, dankapitalisasi pasar.
Populasi dalam penelitian ini adalah perusahaan asuransi yang terdaftar di Bursa Efek Indonesia pada periode 2004-2013. Prosedur pengambilan sampel menggunakan metode purposive samplingyang menghasilkan 10 perusahaan di setiap tahunnya. Metode analisis yang digunakan adalah regresi linier berganda.
Hasilpenelitian ini menunjukkan bahwarasiopertumbuhan premidanDERmemiliki pengaruhpositif dan signifikan terhadapabnormal return. Sementara itu,inflasi danukuran perusahaanmenunjukkantemuanyang saling bertentangan. Di sisi lain, rasio beban klaim, rasio likuiditas, agents’ balanced to surplus,dankepemilikan asingtidak memiliki pengaruhyang signifikanterhadap abnormal return.
Kata kunci: Abnormal return, early warning system,DER, ukuran perusahaan, inflasi, dan kepemilikan asing.