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Analisis pengaruh agregat implied cost of capital terhadap agregat return = The effect of aggregate implied cost of capital on aggregate return

Willy Sebastian; Eko Rizkianto, supervisor; Mochamad Muslich, examiner; Eka Pria Anas, examiner ([Fakultas Ekonomi dan Bisnis Universitas Indonesia, Fakultas Ekonomi dan Bisnis Universitas Indonesia], 2014)

 Abstrak

[ABSTRAK
Tujuan dari penelitian yang dilakukan dalam karya akhir ini adalah untuk menguji
pengaruh variabel agregat ICC (Implied Cost of Capital) tehadap pergerakan agregat
return yang berupa market return dan portfolio return. Nilai dari agregat ICC dihitung
sesuai dengan metode yang diajukan oleh Li, Ng, dan Swaminatan (2013) dimana
ICC untuk tiap perusahaan akan dibobot berdasarkan kapitalisasi pasarnya.
Pengujian hipotesis dalam penelitian ini dilakukan dengan menggunakan model
regresi dari 120 observasi pada nilai agregat ICC bulanan selama sepuluh tahun
dari periode Januari 2003 sampai Desember 2012. Hasil dari penelitian ini
membuktikan bawah agregat ICC berpengaruh secara positif dan signifikan
terhadap pergerakan agregat return, bahkan setelah dikontrol dengan beberapa
variabel valuation ratio seperti agregat dividend yield, agregat market to book
ratio, dan agregat price to earning ratio;

ABSTRACT
The objective of this research is to analyze the influence of aggregate implied cost of
capital toward the movement of aggregate return which are market return and portfolio
return. The construction of aggregate ICC is based on the method of Li, Ng, and
Swaminatan (2013) which the ICC of each firm are weighted by its market
capitatlization. Hypotesis testing is conducted using regression models with 120
observations of ten-year period of montly aggregate ICC from January 2003 to
December 2012. The empirical result from this research shows that the aggregate
ICC has a significant positive influence toward aggregate return, even after being
controlled by several aggregate valuation ratio such as aggregate dividend yield,
aggregate market to book ratio, and aggregate price to earning ratio.;The objective of this research is to analyze the influence of aggregate implied cost of
capital toward the movement of aggregate return which are market return and portfolio
return. The construction of aggregate ICC is based on the method of Li, Ng, and
Swaminatan (2013) which the ICC of each firm are weighted by its market
capitatlization. Hypotesis testing is conducted using regression models with 120
observations of ten-year period of montly aggregate ICC from January 2003 to
December 2012. The empirical result from this research shows that the aggregate
ICC has a significant positive influence toward aggregate return, even after being
controlled by several aggregate valuation ratio such as aggregate dividend yield,
aggregate market to book ratio, and aggregate price to earning ratio., The objective of this research is to analyze the influence of aggregate implied cost of
capital toward the movement of aggregate return which are market return and portfolio
return. The construction of aggregate ICC is based on the method of Li, Ng, and
Swaminatan (2013) which the ICC of each firm are weighted by its market
capitatlization. Hypotesis testing is conducted using regression models with 120
observations of ten-year period of montly aggregate ICC from January 2003 to
December 2012. The empirical result from this research shows that the aggregate
ICC has a significant positive influence toward aggregate return, even after being
controlled by several aggregate valuation ratio such as aggregate dividend yield,
aggregate market to book ratio, and aggregate price to earning ratio.]

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No. Panggil : T-Pdf
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Entri tambahan-Nama badan :
Subjek :
Penerbitan : Jakarta: [Fakultas Ekonomi dan Bisnis Universitas Indonesia, Fakultas Ekonomi dan Bisnis Universitas Indonesia], 2014
Program Studi :
Bahasa : ind
Sumber Pengatalogan : LibUI ind rda
Tipe Konten : text (rda content);
Tipe Media : computer ;
Tipe Carrier : online resource ;
Deskripsi Fisik : xiv, 71 pages : illustration ; 28 cm + appendix
Naskah Ringkas :
Lembaga Pemilik : Universitas Indonesia
Lokasi : Perpustakaan UI
  • Ketersediaan
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No. Panggil No. Barkod Ketersediaan
T-Pdf 15-18-132325892 TERSEDIA
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Tidak ada ulasan pada koleksi ini: 20389972