ABSTRACT. The Effect Of Economic Value Added And Market Value Added To The Stock Returns Of Manufacturing Companies

ABSTRACT

“The Effect Of Economic Value Added And Market Value Added To The Stock Returns Of Manufacturing Companies” EVA and MVA is a new method that can be used to calculate the company's financial performance. Calculating the company's financial performance with EVA and MVA calculation method is very useful for investors in making investment decisions. Therefore, EVA and MVA is a new method that can be used to calculate the company's financial performance. EVA and MVA is a method of measurement of financial performance which are compatible with the expectations of investors This is due to EVA and MVA is not only seen from the rate of return but also consider the company's risk level. The sample in this study using 30 manufacturing companies already listed on the Indonesia Stock Exchange, and are registered in a member of LQ-45 on December 31, 2008. The analysis used regression analysis is to analyze the relationship between financial performance using the concept of EVA (X1) and MVA (X2) with stock returns. The statistic shows that the company's financial performance relationship using the concept of EVA with stock returns.

Key Words: Economic Value Added, Market Value Added, Rate Stock Returns

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Universitas Kristen Maranatha

ABSTRAK

“Pengaruh Economic Value Added dan Market Value Added Terhadap Tingkat Pengembalian Saham Pada Perusahaan Manufaktur”

EVA dan MVA merupakan metode baru yang dapat digunakan untuk menghitung kinerja keuangan perusahaan. Penghitungan kinerja keuangan perusahaan dengan metode perhitungan EVA dan MVA sangat berguna bagi investor dalam pengambilan keputusan investasinya. Oleh sebab itu EVA dan MVA merupakan suatu metode yang pengukuran kinerja keuangan yang dianggap sesuai dengan harapan para investor. Hal ini disebabkan karena EVA dan MVA tidak hanya melihat dari tingkat pengembalian saja tetapi juga mempertimbangkan tingkat risiko perusahaan. Sampel dalam penelitian ini menggunakan 30 perusahaan manufaktur yang sudah terdaftar di Bursa Efek Indonesia, dan yang terdaftar dalam anggota Indeks LQ-45 pada 31 Desember 2008. Analisis yang digunakan adalah analisis berganda untuk menganalisis hubungan antara kinerja keuangan menggunakan konsep EVA (X1) dan MVA (X2) dengan tingkat pengembalian saham (Y). Hasil statistik menunjukkan bahwa hubungan kinerja keuangan perusahaan menggunakan konsep EVA dengan tingkat pengembalian saham .

Kata-kata kunci: Economic Value Added, Market Value Added, Tingkat Pengembalian Saham

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DAFTAR ISI HALAMAN JUDUL.................................................................................................... i LEMBAR PENGESAHAN......................................................................................... ii SURAT PERNYATAAN KEASLIAN SKRIPSI...................................................... iii KATA PENGANTAR................................................................................................ iv ABSTRACT.............................................................................................................. vii ABSTRAK............................................................................................................... viii DAFTAR ISI.............................................................................................................. ix DAFTAR GAMBAR.................................................................................................. xi DAFTAR TABEL..................................................................................................... xii DAFTAR LAMPIRAN............................................................................................ xiii BAB I PENDAHULUAN.......................................................................................... 1 1.1 Latar Belakang Penelitian....................................................................... 1 1.2 Identifikasi Masalah............................................................................... 6 1.3 Maksud dan Tujuan Penelitian............................................................... 6 1.4 Kegunaan Penelitian............................................................................... 7 BAB II KAJIAN PUSTAKA, KERANGKA PEMIKIRAN, DAN PENGEMBANGAN HIPOTESIS.................................................................. 8 2.1 Kajian Pustaka......................................................................................... 8 2.1.1 Konsep Umum Penilaian Kinerja................................................. 8 2.1.2 Laporan Keuangan...................................................................... 10 2.1.2.1 Pengertian Laporan Keuangan...................................... 10 2.1.2.2 Tujuan Laporan Keuangan............................................ 11 2.1.2.3 Komponen Laporan Keuangan..................................... 12

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2.1.2.3.1 Neraca........................................................... 12 2.1.2.3.2 Laporan Laba Rugi........................................ 13 2.1.2.3.3 Laporan Perubahan Ekuitas.......................... 13 2.1.2.3.4 Laporan Arus Kas......................................... 14 2.1.2.3.5 Catatan Laporan Keuangan........................... 15 2.1.2.4 Jenis Laporan Keuangan............................................... 15 2.1.3 Economic Value Added (EVA)................................................... 16 2.1.3.1 Pengertian Economic Value Added (EVA).................. 16 2.1.3.2 Keunggulan EVA......................................................... 19 2.1.3.3 Kelemahan EVA.......................................................... 20 2.1.3.4 Langkah-Langkah Perhitungan EVA........................... 21 2.1.3.4.1 Net Operating Profit After Tax (NOPAT)... 21 2.1.3.4.2 Invested Capital........................................... 22 2.1.3.4.3 Biaya Modal Rata-Rata Tertimbang (Cost of Capital).......................................... 22 2.1.3.4.3.1 Ongkos Modal Terhutang (Cost of Debt = Kd)...................... 24 2.1.3.4.3.2 Ongkos Modal Ekuitas (Cost of Equity = Ks)................................. 25 2.1.3.4.3.3 Ongkos Modal Saham Prefferen (Cost of Prefferred Stock = Kp)... 27 2.1.3.5 Market Value Added (MVA)...................................... 27 2.1.3.6 Hubungan EVA dan MVA.......................................... 28 2.1.3.7 Return Saham............................................................... 30

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2.1.3.8 Hubungan Kinerja Keuangan Dengan Tingkat Pengembalian Saham................................................... 32 2.2 Kerangka Pemikiran............................................................................ 33 2.3 Kontribusi Penelitian........................................................................... 36 2.4 Pengembangan Hipotesis..................................................................... 39 BAB III METODE PENELITIAN............................................................................ 40 3.1 Objek Penelitian................................................................................... 40 3.2 Operasionalisasi Variabel.................................................................... 42 3.3 Populasi dan Sampel............................................................................ 42 3.4 Prosedur Pengumpulan Data................................................................ 44 3.5 Teknik Pengolahan Data...................................................................... 46 3.5.1 Cara Menghitung Economic Value Added (EVA).................... 46 3.5.2 Cara Menghitung Market Value Added (MVA)...................... 48 3.5.3 Cara Menghitung Tingkat Pengembalian Saham (Return)....... 49 3.6 Rancangan Pengujian Hipotesis.......................................................... 49 3.7 Penarikan Kesimpulan......................................................................... 50 BAB IV HASIL PENELITIAN DAN PEMBAHASAN........................................... 51 4.1 Hasil Penelitian.................................................................................... 51 4.1.1 Gambaran Umum Perusahaan.................................................... 51 4.2 Pembahasan......................................................................................... 81 4.2.1 Analisis Kinerja Keuangan Perusahaan Menggunakan Konsep EVA............................................................................................ 81 4.2.1.1 Net Operating Profit After Tax (NOPAT)...................... 81

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4.2.1.2 Invested Capital.............................................................. 83 4.2.1.3 Biaya Modal Rata-Rata Tertimbang (WACC)............... 85 4.2.1.3.1 Perhitungan Cost Of Debt (kd)........................ 85 4.2.1.3.2 Perhitungan Cost of Common Stock (Ks)........ 87 4.2.1.3.3 Perhitungan Cost of Preffered Stock (Kp)........ 89 4.2.1.3.4 Perhitungan Proporsi Modal............................. 90 4.2.1.3.5 Perhitungan Biaya Modal Rata-Rata Tertimbang (WACC)........................................................... 92 4.2.2 Perhitungan Kinerja Keuangan Menggunakan EVA .................. 94 4.2.3 Perhitungan Kinerja Keuangan Menggunakan MVA................. 96 4.2.4 Analisis Tingkat Pengembalian Saham ...................................... 98 4.2.5 Analisis Statistik........................................................................ 101 4.2.5.1 Uji Asumsi Klasik......................................................... 101 4.2.5.1.1 Uji Normalitas............................................... 101 4.2.5.1.2Uji Autokorelasi............................................. 102 4.2.5.1.3 Uji Multikolinearitas..................................... 103 4.2.5.1.4 Uji Heteroskedastisitas.................................. 105 4.2.5.2 Pengujian Koefisien Regresi Secara Parsial................. 105 4.2.5.2.1 Pengaruh EVA Terhadap Return Saham...... 106 4.2.5.2.2 Pengaruh MVA Terhadap Return Saham..... 107 4.2.5.3 Pengujian Koefisien Regresi Secara Simultan.............. 108 BAB V SIMPULAN DAN SARAN........................................................................ 110 5.1 Simpulan.............................................................................................. 110 5.2 Saran.................................................................................................... 112

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DAFTAR PUSTAKA.............................................................................................. 113 LAMPIRAN............................................................................................................. 115 RIWAYAT HIDUP................................................................................................ 204

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DAFTAR GAMBAR

Gambar I

Kerangka Pemikiran........................................................................... 38

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DAFTAR TABEL

Tabel I

Operasionalisasi Variabel.................................................................. 42

Tabel II

Perusahaan-Perusahaan Manufaktur Go Publik Yang Terdapat Dalam Indeks LQ 45 Per 31 Desember 2008................................... 43

Tabel III

NOPAT tahun 2008........................................................................... 82

Tabel IV

Average Invested Capital Tahun 2008............................................... 84

Tabel V

Cost Of Debt...................................................................................... 86

Tabel VI

Cost of Common Stock...................................................................... 88

Tabel VII

Proporsi Modal................................................................................... 90

Tabel VIII

WACC................................................................................................ 93

Tabel IX

EVA................................................................................................... 95

Tabel X

MVA.................................................................................................. 97

Tabel XI

Average Monthly Return................................................................... 99

Tabel XII

Uji Normalitas Setelah Transformasi Data...................................... 101

Tabel XIII

Uji Autokorelasi............................................................................... 103

Tabel XIV

Uji Multikorelasi.............................................................................. 104

Tabel XV

Uji Heteroskedastisitas..................................................................... 105

Tabel XVI

Koefisien Regresi............................................................................. 106

Tabel XVII

Pengujian Koefisien Korelasi.......................................................... 109

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DAFTAR LAMPIRAN

Lampiran A

Perhitungan NOPAT........................................................................ 115

Lampiran B

Perhitungan Average Invested Capital............................................. 116

Lampiran C

Perhitungan Cost of Debt................................................................. 117

Lampiran D

Perhitungan Cost of Common Stock................................................ 123

Lampiran E

Perhitungan Proporsi Modal............................................................ 153

Lampiran F

Perhitungan WACC......................................................................... 156

Lampiran G

Perhitungan EVA............................................................................. 158

Lampiran H

Perhitungan MVA............................................................................ 160

Lampiran I

Perhitungan Average Monthly Return............................................. 163

Lampiran J

Perhitungan Analisis Korelasi.......................................................... 193

Lampiran K

Perhitungan Dengan Menggunakan SPSS....................................... 196

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ABSTRACT. The Effect Of Economic Value Added And Market Value Added To The Stock Returns Of Manufacturing Companies

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