Determinasi Abnormal Return Industri Kosmetik
Abstract
Penelitian ini bertujuan untuk menguji pengaruh Current Ratio (CR), Net Profit Margin (NPM), Debt to Equity Ratio (DER) dan Earning per Share (EPS) terhadap Abnormal Return pada Perusahaan Subsektor Kosmetik dan Keperluan Rumah Tangga yang Terdaftar di BEI. Penelitian ini menggunakan pendekatan kuantitatif dengan memanfaatkan regresi linear berganda untuk menganalisis dampak dari empat metrik keuangan terhadap abnormal return. Teknik purposive sampling diterapkan pada populasi data sehingga menghasilkan sampel sebanyak 6 perusahaan pada periode 2018-2022. Hasil penelitian menunjukkan bahwa CR dan DER berpengaruh negatif dan signifikan terhadap abnormal return, NPM berpengaruh positif dan signifikan terhadap abnormal return, dan EPS tidak berpengaruh signifikan dan negatif terhadap abnormal return. Temuan ini diharapkan dapat memberikan wawasan yang berharga bagi manajemen dalam meningkatkan pengelolaan aset lancar, profitabilitas internal dan eksternal, serta ekuitas guna mengoptimalkan pengelolaan abnormal return.
Keywords
Full Text:
PDFReferences
Jurnal:
Adrian, Melia., Xiaojing, Song., Mark, Tippett. (2019). Subtle is the Lord, but malicious He is not: the calculation of abnormal stock returns in applied research. European Journal of Finance, doi: 10.1080/1351847X.2018.1537981
Alice, Mondello., Roberta, Salomone., Giovanni, Mondello. (2024). Exploring circular economy in the cosmetic industry: Insights from a literature review. Environmental Impact Assessment Review, doi: 10.1016/j.eiar.2024.107443
Antti, Paatela., Elias, Noschis., Ari-Pekka, Hameri. (2017). Abnormal Stock Returns Using Supply Chain Momentum and Operational Financials. The Journal of Portfolio Management, doi: 10.3905/JPM.2017.43.2.050
Antonio, Meles., Dario, Salerno. (2020). Abnormal operating performance in IPOs: Does public float matter? International Review of Financial Analysis, doi: 10.1016/J.IRFA.2020.101523
Bahar, Doryab., Mahdi, Salehi. (2018). Modeling and forecasting abnormal stock returns using the nonlinear Grey Bernoulli model. Journal of Economics, Finance and Administrative Science, doi: 10.1108/JEFAS-06-2017-0075
Blerina, Bela, Zykaj., Richard, W., Sias., Harry, J., Turtle. (2014). Hedge Fund Return Dependence and Liquidity Spirals. Social Science Research Network, doi: 10.2139/SSRN.2358466
Barukčić, Ilija. (2023). Profitability anomaly and aggregate volatility risk. Journal of Financial Markets, doi: 10.1016/j.finmar.2022.100782
Benjamin, Murray., Jiri, Svec., Danika, Wright. (2017). Wealth transfer, signaling and leverage in M&A. International Review of Financial Analysis, doi: 10.1016/J.IRFA.2017.06.002
Chris, T., Stivers., Licheng, Sun., Sounak, Saha. (2023). Abnormal stock returns and shorting around securities class action lawsuits: The role of pre-filing news releases. Journal of Financial Markets, doi: 10.1016/j.finmar.2023.100868
Dave, Ashvin., Parwani, Ashwin., Joshi, Ashish. (2022). Relationship between capital structure and sustainable profitability: evidence from indian cosmetics corporate. Towards excellence, doi: 10.37867/140422
Felix, J., Paprottka., Sebastian, Bernd, Rolfes., Dirk, F., Richter., Kai, O, Kaye. (2021). COVID-19 Pandemic: Evaluation of Socio-Economic Impact on Aesthetic Plastic Surgery Providers. Aesthetic Plastic Surgery, doi: 10.1007/S00266-021-02130-9
Frank, Venmans. (2018). The Leverage Anomaly in U.S. Bank Stock Returns. Social Science Research Network, doi: 10.2139/SSRN.3190398
Christopher, A., Hennessy., Dmitry, Livdan., Bruno, Miranda. (2010). Repeated Signaling and Firm Dynamics. Review of Financial Studies, doi: 10.1093/RFS/HHQ004
Griffiths, W., Jensen, P. and Webster, E. 2021). (57) What Creates Abnormal Profits: Collusion, Efficiency or Strategy? Social Science Research Network, doi: 10.2139/ssrn.3952305
Hafiz, Mustansar, Javaid., Snober, Javid. (2017). Determining Agency Theory Framework through Financial Leverage & Insider Ownership. International journal of economics and finance, doi: 10.5539/IJEF.V9N3P21
Jo, Danbolt., Antonios, Siganos., Abongeh, A., Tunyi. (2016). Abnormal returns from takeover prediction modelling: challenges and suggested investment strategies. Journal of Business Finance & Accounting, doi: 10.1111/JBFA.12179
Luis, Vasconcelos. (2017). A signaling-based theory of contractual commitment to relationships. European Economic Review, doi: 10.1016/J.EUROECOREV.2017.02.001
Marc, Chesney., Remo, Crameri., Loriano, Mancini. (2015). Detecting abnormal trading activities in option markets. Journal of Empirical Finance, doi: 10.1016/J.JEMPFIN.2015.03.008
Marcin, Puziak. (2017). (1) The Persistence of Abnormal Returns: Analysis of Polish Manufacturing Industry. Economics & Sociology, doi: 10.14254/2071-789X.2017/10-1/4
Mario, Mustilli., Francesco, Campanella., Eugenio, D’Angelo. (2018). Abnormal Returns and Fundamental Analysis in Institutional Investors’ Decision-making: An Agency Theory Approach. International Business Research, doi: 10.5539/IBR.V11N2P55
Niklas, Ahlgren., Jan, Antell. (2017). Tests for Abnormal Returns in the Presence of Event-Induced Cross-Sectional Correlation. Journal of Financial Econometrics, doi: 10.1093/JJFINEC/NBW012
Sari, K., Akhmadi, A., & Ichwanuddin, W. (2023). Leverage and liquidity to firm value moderated by firm size: a signaling theory approach. Enrichment: Journal of Management, 13(3), 2073-2082.doi.org/10.35335/enrichment. v13i3.1579
Stephen, H., Penman., Julie, Lei, Zhu. (2014). Accounting Anomalies, Risk, and Return. The Accounting Review, doi: 10.2308/ACCR-50799
Simon, Lalancette., Jean‐Guy, Simonato. (2022). Portfolios of value and momentum: disappointment aversion and non-normalities. Quantitative Finance, doi: 10.1080/14697688.2022.2040742
Siqi, Liu., Chao, Yin., Yeqin, Zeng. (2021). Abnormal investment and firm performance. International Review of Financial Analysis, doi: 10.1016/J.IRFA.2021.101886
Veronica, De, Blasio., Pietro, Pavone., Guido, Migliaccio. (2022). Cosmetics companies: income developments in time of crisis. Journal of Small Business and Enterprise Development, doi: 10.1108/jsbed-11-2019-0369
Niloofar, Tayer, Farahani., Mohammad, Reza, Asgari. (2015). The effects of efficiency on abnormal return: Evidence from banking industry. Management Science Letters, doi: 10.5267/j.msl.2015.7.006
Buku:
Ghozali, Imam. (2018). Aplikasi Analisis Multivariate Dengan Program IBM SPSS 25. Edisi 9. Semarang: Badan Penerbit - Undip.
Putra, I. L. (2022). Pengaruh Financial Pressure, Stability dan Target terhadap Financial Statement Fraud. RISTANSI: Riset Akuntansi, 3(2), 190-202.
Sumber Internet:
Tuljannah, Aura. (2020). “Pengaruh Rasio Keuangan Terhadap Harga Saham Sub Sektor Kosmetik Dan Barang Keperluan Rumah Tangga Yang Terdaftar Di Bursa Efek Indonesia Periode 2013-2018.” 1.
DOI: http://dx.doi.org/10.36448/jak.v15i2.3968
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.