SKRIPSI PENGARUH INVESTMENT OPPORTUNITY SET TERHADAP LEVERAGE DAN RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA OLEH CECILIA A Y SIMANUNGKALIT

SKRIPSI

PENGARUH INVESTMENT OPPORTUNITY SET TERHADAP LEVERAGE DAN RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA

OLEH

CECILIA A Y SIMANUNGKALIT 110521160

PROGRAM STUDI STRATA 1 MANAJEMEN EKSTENSI DEPARTEMEN MANAJEMEN FAKULTAS EKONOMI UNIVERSITAS SUMATERA UTARA MEDAN 2013

Universitas Sumatera Utara

ABSTRAK

PENGARUH INVESTMENT OPPORTUNITY SET TERHADAP LEVERAGE DAN RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA

Tujuan penelitian ini adalah untuk mengetahui pengaruh Market to Book Value of Asset, Market to Book Value of Equity, Earning per Share/Price Ratio dan Capital Expenditure to Book Value of Asset sebagai rasio proksi Investment Opportunity Set baik pengaruh secara langsung maupun tidak langsung terhadap Leverage dan Return Saham. Data yang digunakan adalah data sekunder. Penelitian ini menggunakan data laporan keuangan sebanyak 30 (Tigapuluh) perusahaan yang terdaftar pada LQ 45 periode Agustus 2012 sampai Januari 2013 selama tahun 2010-2012. Metode pengumpulan data yang digunakan adalah studi dokumentasi dan metode analisis data yang digunakan adalah analisis jalur dengan menggunakan Uji F (Uji secara Simultan) dan Uji T (Uji secara Parsial). Hasil penelitian menunjukkan bahwa, Market to Book Value of Asset, Market to Book Value of Equity, Earning per Share/Price Ratio dan Capital Expenditure to Book Value of Asset secara simultan berpengaruh signifikan terhadap Debt to Equity sedangkan secara parsial menunjukkan Market to Book Value of Asset mempunyai pengaruh negatif dan signifikan, Market to Book Value of Equity berpengaruh positif dan signifikan, Earning per Share/Price berpengaruh positif dan tidak signifikan dan Capital Expenditure to Book Value of Assset berpengaruh negatif dan tidak signifikan. Market to Book Value of Asset, Market to Book Value of Equity, Earning per Share/Price Ratio, Capital Expenditure to Book Value of Asset dan Debt to Equity secara simultan berpengaruh signifikan sedangkan secara parsial menunjukkan Market to Book Value of Asset, Capital Expenditure to Book Value of Asset dan Debt to Equity berpengaruh negatif signifikan, Market to Book Value of Equity berpengaruh positif signifikan sedangkan Earning per Share/Price berpengaruh positif dan tidak signifikan.

Kata Kunci : Market to Book Value of Asset (MVBVA), Market to Book Value of Equity (MVBVE), Earning per Share/Price Ratio (EP), Capital Expenditure to Book Value of Asset (CABVA), Debt to Equity (DER), Return Saham, Investment Opportunity Set


ABSTRACT

INFLUENCE OF INVESTMENT OPPORTUNITY SET IN LEVERAGE AND RETURN OF SAHAM LQ 45 IN BURSA EFEK INDONESIA

The objective goal of this research is to better understand the influence of Market to Book Value of Asset, Market to Book Value of Equity, Earning per Share Price Ratio and Capital Expenditure to Book Value of Asset as proxy ratio of Investment Opportunity Set, either direct influence or indirect influence in Leverage and Venture Capital Return. Data used in this research is named secondary data. This research uses monetary report data from 30 (thirty) companies during period of August 2012 to January 2013 in 2010- 2012. Collecting data method used is documentation study and the data analysis method used is PATH Analysis with F Test ( Simultaneous Test) and T Test ( Partial Test). The research result shows that Market to Book Value of Asset, Market to Book Value of Equity, Earning per Share/ Price Ratio and Capital Expenditure to Book Value of Asset simultaneously affect the Debt to Equity significantly, while partially shows that Market to Book Value of Asset has negative effect and significant, Earning per Share/ Price has positive effect and insignificant, and Capital Expenditure to Book Value of Asset has negative effect and insignificant. Market to Book Value of Asset, Market to Book Value of Equity, Earning per Share/ Price Ratio, Capital Expenditure to Book Value of Asset, and Debt to Equity simultaneously affect significantly, while partially shows Market to Book Value of Asset, Capital Expenditure to Book Value of Asset, and Debt to equity have negative and significant effect, Market to Book Value of Equity have positive and significant effect while Earning per Share/ Price has positive and insignificant effect.

Keywords: Market to Book Value of Asset (MVBVA), Market to Book Value of Equity (MVBVE), Earning per Share/ Price Ratio (EP), Capital Expenditure to Book Value of Asset (CABVA), Debt to Equity (DER), Venture Capital Return, Investment Opportunity Set


KATA PENGANTAR

Puji dan syukur penulis panjatkan kepada Tuhan Yesus Kristus atas segala pertolongan, kasih dan berkat-Nya yang melimpah, sehingga penulis dapat menyelesaikan penulisan skripsi ini sebagai salah satu syarat guna memperoleh gelar Sarjana Ekonomi Departemen Manajemen pada Fakultas Ekonomi Universitas Sumatera Utara. Skripsi ini berjudul “Pengaruh Investment Opportunity Set Terhadap Leverage dan Return Saham LQ 45 Di Bursa Efek Indonesia”. Penulis telah banyak menerima bimbingan, saran, semangat, motivasi dan doa selama penulisan skripsi ini. Penulis ingin mengucapkan terimakasih terutama kepada kedua orangtua tercinta yaitu Ayahanda J. Simanungkalit S.Pd dan Ibunda Dra. L. Pasaribu. Tak lupa penulis ingin menyampaikan terimakasih kepada semua pihak yang telah memberikan bantuan dan bimbingannya yaitu kepada: 1. Bapak Prof. Dr. Azhar Maksum, S.E., M.Ec., M.AC selaku Dekan Fakultas Ekonomi Universitas Sumatera Utara. 2. Ibu Dr. Isfenti Sadalia SE, ME, selaku Ketua Departemen Manajemen Fakultas Ekonomi Universitas Sumatera Utara. 3. Ibu Dra. Marhayanie, M.Si, selaku Sekertaris Departemen Manajemen Fakultas Ekonomi Universitas Sumatera Utara. 4. Ibu Dr. Endang Sulistya Rini, SE, M.Si, Selaku Ketua Program Studi Departemen Manajemen Fakultas Ekonomi Universitas Sumatera Utara. 5. Ibu Dr. Isfenti Sadalia SE, ME, selaku Dosen Pembimbing yang telah berkenan meluangkan waktu untuk membimbing penulis dalam proses penulisan serta penyusunan skripsi ini. 6. Ibu Dra. Nisrul Irawati, MBA, selaku Dosen Pembaca Penilai, yang telah banyak memberikan masukan bagi penulis dalam penyusunan skripsi ini. 7. Bapak dan Ibu dosen, seluruh staf serta para pegawai Fakultas Ekonomi Universitas Sumatera Utara.


8. Kepada Edytama Sinaga yang saya cintai dan yang selalu mendoakan dan memberi dukungan untuk menyelesaikan skripsi ini. 9. Sahabat-sahabat penulis: Lisma, Dahlia, Anissa, Lisna, Sintong, dan pihak lainnya yang tidak dapat disebutkan satu persatu, yang telah banyak memberikan doa, dukungan dan motivasi untuk menyelesaikan skripsi ini.

Penulis menyadari bahwa skripsi ini masih jauh dari sempurna, oleh sebab itu penulis menerima semua saran dan kritik dari semua pihak. Semoga karya ini dapat bermanfaat bagi penulis dan pihak lain yang membutuhkan.

Medan,

November 2013

Penulis,

Cecilia A Y Simanungkalit


DAFTAR ISI

Halaman ABSTRAK .......................................................................................................... i ABSTRACT ......................................................................................................... ii KATA PENGANTAR ........................................................................................ iii DAFTAR ISI ........................................................................................................ v DAFTAR TABEL ............................................................................................... ix DAFTAR GAMBAR ........................................................................................... x DAFTAR LAMPIRAN ...................................................................................... xi BAB I. PENDAHULUAN 1.1. 1.2. 1.3. 1.4.

Latar Belakang ......................................................................................... 1 Perumusan Masalah ................................................................................. 7 Tujuan Penelitian ..................................................................................... 8 Manfaat Penelitian ................................................................................... 9

BAB II. TINJAUAN PUSTAKA 2.1. Pengertian Investment Opportunity Set ................................................... 11 2.2. Jenis Proksi Investment Opportunity Set ................................................. 12 2.2.1. Proksi IOS berbasis pada Harga .................................................... 12 2.2.2. Proksi IOS berbasis pada Investasi ................................................ 13 2.2.3. Proksi IOS berbasis pada Varian ................................................... 13 2.3. Proksi Investment Opportunity Set Dalam Penelitian 2.3.1. Market to Book Value of Asset ...................................................... 13 2.3.2. Market to Book Value of Equity .................................................... 14 2.3.3. Earning per Share/Price Ratio ...................................................... 14


2.3.4. Capital Expenditure to Book Value of Asset ................................. 15 2.4. Leverage .................................................................................................. 15 2.5. Return Saham .......................................................................................... 16 2.6. Hubungan antara Investment Opportunity Set Terhadap Leverage......... 17 2.7. Hubungan antara Investment Opportunity Set Terhadap Return Saham . 18 2.8. Hubungan antara Leverage Terhadap Return Saham............................. 18 2.9. Penelitian Terdahulu ............................................................................... 19 2.10. Kerangka Konseptual .............................................................................. 21 2.11.Hipotesis ................................................................................................. 22

BAB III. METODE PENELITIAN 3.1. Jenis Penelitian ........................................................................................ 24 3.2. Tempat dan Waktu Penelitian .................................................................. 24 3.3. Batasan Operasional ................................................................................ 24 3.4. Defenisi Operasional................................................................................ 25 3.4.1. Variabel Terikat (Y) ...................................................................... 25 3.4.1.1. Debt to Equity Ratio .......................................................... 25 3.4.1.2. Return Saham .................................................................... 25 3.4.2. Variabel Bebas (X) ........................................................................ 26 3.4.2.1. Market to Book Value of Asset .......................................... 26 3.4.2.2. Market to Book Value of Equity ........................................ 26 3.4.2.3. Earning per Share/Price Ratio ...................................................... 26 3.4.2.4. Capital Expenditure to Book Value of Asset .................................. 27 3.5. Populasi dan Sampel ................................................................................ 27 3.6. Jenis Data ................................................................................................. 29 3.7. Metode Pengumpulan Data ...................................................................... 29 3.8. Teknik Analisis Data ................................................................................ 29 3.8.1. Uji Asumsi Klasik ......................................................................... 30


3.8.3. Pengujian Hipotesis ....................................................................... 32 3.8.1.1. Uji F ................................................................................... 32 3.8.1.2. Uji t .................................................................................... 33 3.8.1.3. Uji Koefisien Determinasi (R2) ......................................... 34

BAB IV. HASIL PENELITIAN DAN PEMBAHASAN 4.1. Gambaran Umum ..................................................................................... 36 4.1.1. Sejarah Indeks LQ 45 ................................................................... 36 4.1.2. Sejarah Singkat Perusahaan dalam LQ 45 ................................... 37 4.1.2.1. Astra Agro Lestari Tbk ......................................................... 37 4.1.2.2. Adaro Energy Tbk ................................................................ 37 4.1.2.3. AKR Corporindo Tbk ........................................................... 38 4.1.2.4. Aneka Tambang Tbk ............................................................ 38 4.1.2.5. Astra International Tbk ........................................................ 38 4.1.2.6. Alam Sutera Realty Tbk ....................................................... 39 4.1.2.7. Bank Central Asia Tbk ......................................................... 39 4.1.2.8. Bank Negara Indonesia Tbk ................................................. 39 4.1.2.9. Bank Rakyat Indonesia Tbk ................................................. 40 4.1.2.10.Bank Danamon Indonesia Tbk ............................................. 40 4.1.2.11.Bhakti Investama Tbk .......................................................... 40 4.1.2.12.Bank Pembangunan Daerah Jawa Barat dan Banten Tbk .... 41 4.1.2.13.Sentul City Tbk .................................................................... 41 4.1.2.14.Bank Mandiri (Persero) Tbk ................................................. 42 4.1.2.15.Borneo Lumbung Energy&Metal Tbk ................................. 42 4.1.2.16.Bumi Serpong Damai Tbk .................................................... 42 4.1.2.17.Bumi Resources Tbk ............................................................ 43 4.1.2.18.BW Plantation Tbk ............................................................... 43 4.1.2.19.Charoen Pokphand Indonesia Tbk ....................................... 44 4.1.2.20.Bakrieland Development Tbk .............................................. 44 4.1.2.21.Energi Mega Persada Tbk .................................................... 44 4.1.2.22.XL Axiata Tbk ...................................................................... 45 4.1.2.23.Gudang Garam Tbk .............................................................. 45 4.1.2.24.Harum Energy Tbk ............................................................... 45 4.1.2.25.Indofood CBP Sukses Makmur Tbk .................................... 46 4.1.2.26.Vale Indonesia Tbk .............................................................. 46 4.1.2.27.Indofood Sukses Makmur Tbk ............................................. 47 4.1.2.28.Indika Energy Tbk ................................................................ 47 4.1.2.29.Intraco Penta Tbk ................................................................. 47


4.1.2.30.Indocement Tunggal Prakarsa Tbk ....................................... 48 4.1.2.31.Indo Tambang Raya Megah Tbk .......................................... 48 4.1.2.32.Jasa Marga (Persero) Tbk ..................................................... 48 4.1.2.33.Kawasan Industri Jababeka Tbk ........................................... 49 4.1.2.34.Kalbe Farma Tbk .................................................................. 49 4.1.2.35.Lippo Karawaci Tbk ............................................................. 49 4.1.2.36.PP London Sumatra Indonesia Tbk ...................................... 50 4.1.2.37.Media Nusantara Citra Tbk .................................................. 50 4.1.2.38.Perusahaan Gas Negara (Persero) Tbk ................................. 50 4.1.2.39.Tambang Batubara Bukit Asam Tbk .................................... 51 4.1.2.40.Semen Gresik Tbk ................................................................ 51 4.1.2.41.Timah (Persero) Tbk ............................................................ 51 4.1.2.42.Telekomunikasi Indonesia (Persero) .................................... 52 4.1.2.43.Trada Maritime Tbk ............................................................. 52 4.1.2.44.United Tractors Tbk ............................................................. 52 4.1.2.45.Unilever Indonesia Tbk ........................................................ 53 4.2. Hasil Penelitian ........................................................................................ 53 4.3. Pembahasan ............................................................................................. 73

BAB V. KESIMPULAN DAN SARAN 5.1. Kesimpulan .............................................................................................. 78 5.2. Saran ........................................................................................................ 79

DAFTAR PUSTAKA .................................................................................... 80 LAMPIRAN ................................................................................................... 83


DAFTAR TABEL

No. Tabel

Judul

Halaman

1.1

Data Harga Penutupan Saham .................................................. 4

1.2

Data Total Hutang .................................................................... 5

1.3

Data Total Asset ....................................................................... 6

2.1

Penelitian Terdahulu................................................................. 19

3.1

Jumlah Sampel Berdasarkan Kriteria Penarikan Sampel ......... 28

3.2

Tiga Puluh Sembilan Perusahaan dalam LQ 45 Tahun 2012 ... 28

4.1

Hasil Uji Normalitas Persamaan Substruktur Pertama ............ 54

4.2

Hasil Uji Multikolinearitas Persamaan Substruktur Pertama ... 55

4.3

Hasil Uji Autokorelasi Persamaan Substruktur Pertama ......... 57

4.4

Hasil Uji Multikolinearitas Persamaan Substruktur Kedua .... 59

4.5

Hasil Uji Autokorelasi Persamaan Substruktur Kedua ........... 60

4.6

Hasil Uji Determinasi Substruktur Pertama ............................. 61

4.7

Hasil Uji F (Simultan) Persamaan Substruktur Pertama ......... 62

4.8

Hasil Uji t (Parsial) Persamaan Substruktur Pertama .............. 62

4.9

Analisis Korelasi ...................................................................... 64

4.10

Hasil Uji Determinasi Substruktur Kedua ................................ 67

4.11

Hasil Uji F (Simultan) Persamaan Substruktur Kedua ............. 67

4.12

Hasil Uji t (Parsial) Persamaan Substruktur Kedua ................. 68

4.13

Pengaruh Langsung, Tidak Langsung dan Total ...................... 72


DAFTAR GAMBAR

No. Gambar

Judul

Halaman

2.1

Kerangka Konseptual ............................................................... 22

4.1

Scatterplot 1 .............................................................................. 56

4.2

Normal Plot .............................................................................. 58

4.3

Scaterplot 2 ............................................................................... 60


DAFTAR LAMPIRAN

No. Gambar

Judul

Halaman

1

Data Rasio IOS, Debt to Equity dan Return Saham ................. 83

2

Analisis Uji Statistik ................................................................. 86


SKRIPSI PENGARUH INVESTMENT OPPORTUNITY SET TERHADAP LEVERAGE DAN RETURN SAHAM LQ 45 DI BURSA EFEK INDONESIA OLEH CECILIA A Y SIMANUNGKALIT

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