Kemampuan Prediksi Return Saham Ditinjau dari Aset Operasi dan Pendapatan Operasi
Abstract
Penelitian ini bertujuan untuk menguji relevansi nilai dari asset dengan menggunakan kebermanfaatan asset operasi dalam memprediksi return saham. Sejalan dengan penggunaan adaptasi asset operasi, maka penelitian ini juga akan menguji kandungan informasi yang ada dalam laba operasi. Untuk mencapai tujuan tersebut, penelitian ini mengambil data dari perusahaan manufaktur yang terdaftar di BEI selama periode 2010-2020. Analisis Regresi Berganda dan Cluster Robust by year digunakan untuk menguji hipotesis. Hasil penelitian menunjukkan bahwa asset operasi berpengaruh signifikan positif terhadap return saham. Hasil ini mengindikasikan bahwa asset mampu beradaptasi dalam memberikan informasi ke pasar.
Downloads
References
Artikis, P. G., & Papanastasopoulos, G. A. (2016). Implications of the cash component of earnings for earnings persistence and stock returns. The British Accounting Review, 48(2), 117-133. https://doi.org/https://doi.org/10.1016/j.bar.2016.02.002
Athanasakou, V. E., Strong, N. C., & Walker, M. (2009). Earnings management or forecast guidance to meet analyst expectations? Accounting and Business Research, 39(1), 3-35. https://doi.org/https://doi.org/10.1080/00014788.2009.9663347
Atwood, T., Drake, M. S., & Myers, L. A. (2010). Book-tax conformity, earnings persistence and the association between earnings and future cash flows. Journal of Accounting and Economics, 50(1), 111-125. https://doi.org/https://doi.org/10.1016/j.jacceco.2009.11.001
Barnea, A., Cronqvist, H., & Siegel, S. (2010). Nature or nurture: What determines investor behavior? Journal of Financial Economics, 98(3), 583-604. https://doi.org/https://doi.org/10.1016/j.jfineco.2010.08.001
Barth, M. E., Clinch, G., & Israeli, D. (2016). What do accruals tell us about future cash flows? Review of Accounting Studies, 21(3), 768-807. https://doi.org/https://doi.org/10.1007/s11142-016-9360-4
Borges, M. R. (2010). Efficient market hypothesis in European stock markets. The European Journal of Finance, 16(7), 711-726. https://doi.org/https://doi.org/10.1080/1351847X.2010.495477
Bruns, W. J., & Merchant, K. (1990). The dangerous morality of managing earnings. Management accounting, 72(2), 22-25.
Bushman, R. M., Lerman, A., & Zhang, X. F. (2016). The changing landscape of accrual accounting. Journal of accounting research, 54(1), 41-78. https://doi.org/https://doi.org/10.1111/1475-679X.12100
Call, A. C., Chen, S., Miao, B., & Tong, Y. H. (2014). Short-term earnings guidance and accrual-based earnings management. Review of Accounting Studies, 19(2), 955-987. https://doi.org/https://doi.org/10.1007/s11142-013-9270-7
Callen, J. L., Hope, O. k., & Segal, D. (2005). Domestic and foreign earnings, stock return variability, and the impact of investor sophistication. Journal of accounting research, 43(3), 377-412. https://doi.org/https://doi.org/10.1111/j.1475-679x.2005.00175.x
Cao, Y., Myers, L. A., & Sougiannis, T. (2011). Does earnings acceleration convey information? Review of Accounting Studies, 16(4), 812-842. https://doi.org/https://doi.org/10.1007/s11142-011-9150-y
Dang, H. N., & Tran, D. M. (2019). Relationship between accrual anomaly and stock return: The case of Vietnam. The Journal of Asian Finance, Economics and Business, 6(4), 19-26. https://doi.org/https://doi.org/10.13106/jafeb.2019.vol6.no4.19
Dechow, P. M., Richardson, S. A., & Sloan, R. G. (2008). The persistence and pricing of the cash component of earnings. Journal of accounting research, 46(3), 537-566. https://doi.org/https://doi.org/10.1111/j.1475-679X.2008.00283.x
Drake, M. S., Roulstone, D. T., & Thornock, J. R. (2016). The usefulness of historical accounting reports. Journal of Accounting and Economics, 61(2-3), 448-464. https://doi.org/https://doi.org/10.1016/j.jacceco.2015.12.001
Farshadfar, S., & Monem, R. (2013). The usefulness of operating cash flow and accrual components in improving the predictive ability of earnings: a re‐examination and extension. Accounting & Finance, 53(4), 1061-1082. https://doi.org/https://doi.org/10.1111/j.1467-629X.2012.00486.x
Gray, P., Liao, I. S., & Strydom, M. (2018). The profitability of trading NOA and accruals: One effect or two? International Review of Financial Analysis, 58, 211-224. https://doi.org/https://doi.org/10.1016/j.irfa.2017.10.004
Habib, A. (2006). Disaggregated earnings and prediction of future profitability: evidence from industrial groups in Japan. Review of Accounting and Finance, 5(4), 355-369. https://doi.org/https://doi.org/10.1108/14757700610712435
He, S., & Narayanamoorthy, G. G. (2020). Earnings acceleration and stock returns. Journal of Accounting and Economics, 69(1), 101238. https://doi.org/https://doi.org/10.1016/j.jacceco.2019.101238
Hirshleifer, D., Hou, K., & Teoh, S. H. (2009). Accruals, cash flows, and aggregate stock returns. Journal of Financial Economics, 91(3), 389-406. https://doi.org/https://doi.org/10.1016/j.jfineco.2007.11.009
Hirshleifer, D., Hou, K., & Teoh, S. H. (2012). The accrual anomaly: risk or mispricing? Management Science, 58(2), 320-335. https://doi.org/https://doi.org/10.1287/mnsc.1100.1289
Hirshleifer, D., Hou, K., Teoh, S. H., & Zhang, Y. (2004). Do investors overvalue firms with bloated balance sheets? Journal of Accounting and Economics, 38, 297-331. https://doi.org/https://doi.org/10.1016/j.jacceco.2004.10.002
Lim, S. C. (2014). The information content of disaggregated accounting profitability: operating activities versus financing activities. Review of Quantitative Finance and Accounting, 43(1), 75-96. https://doi.org/https://doi.org/10.1007/s11156-013-0365-9
Morrin, M., Broniarczyk, S. M., & Inman, J. J. (2012). Plan format and participation in 401 (k) plans: The moderating role of investor knowledge. Journal of Public Policy & Marketing, 31(2), 254-268. https://doi.org/https://doi.org/10.1509/jppm.10.122
Nissim, D., & Penman, S. H. (2003). Financial statement analysis of leverage and how it informs about profitability and price-to-book ratios. Review of Accounting Studies, 8(4), 531-560. https://doi.org/https://doi.org/10.1023/A:1027324317663
Ohlson, J., & Gao, Z. (2006). 3: Basics of the OJ model. Foundations and Trends in Accounting, 1(1), 8-30.
Ohlson, J. A., & Juettner-Nauroth, B. E. (2005). Expected EPS and EPS growth as determinantsof value. Review of Accounting Studies, 10(2), 349-365. https://doi.org/https://doi.org/10.1007/s11142-005-1535-3
Papanastasopoulos, G., & Thomakos, D. (2017). Managerial discretion, net operating assets and the cross-section of stock returns: Evidence from European countries. Journal of International Financial Markets, Institutions and Money, 47, 188-210. https://doi.org/https://doi.org/10.1016/j.intfin.2016.11.013
Papanastasopoulos, G., Thomakos, D., & Wang, T. (2011). Information in balance sheets for future stock returns: Evidence from net operating assets. International Review of Financial Analysis, 20(5), 269-282. https://doi.org/https://doi.org/10.1016/j.irfa.2011.06.001
Resutek, R. J. (2010). Intangible returns, accruals, and return reversal: A multiperiod examination of the accrual anomaly. The accounting review, 85(4), 1347-1374. https://doi.org/https://doi.org/10.2308/accr.2010.85.4.1347
Sloan, R. G. (1996). Do stock prices fully reflect information in accruals and cash flows about future earnings? Accounting Review, 289-315.
Subramanyam, K. (2014). Financial statement analysis. New York, McGraw-Hill Education.
Sumiyana, S. (2020). Different characteristics of the aggregate of accounting earnings between developed and developing countries: Evidence for predicting future GDP. Journal of international studies, 13(1), 58-80. https://doi.org/doi:10.14254/2071-8330.2020/13-1/4
Sumiyana, S., Atmini, S., & Sugiri, S. (2019). Predictive power of aggregate corporate earnings and their components for future GDP growths: An international comparison. Economics & Sociology, 12(1), 125-367. https://doi.org/https://DOI:10.14254/2071-789X.2019/12-1/7
Ţiţan, A. G. (2015). The efficient market hypothesis: Review of specialized literature and empirical research. Procedia Economics and Finance, 32, 442-449. https://doi.org/https://doi.org/10.1016/S2212-5671(15)01416-1
Xie, H. (2001). The mispricing of abnormal accruals. The accounting review, 76(3), 357-373. https://doi.org/https://doi.org/10.2308/accr.2001.76.3.357
Copyright (c) 2021 Muhammadiyah Riau Accounting and Business Journal
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Authors who publish with this journal agree to the following terms:
- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work
Abstract views: 114 , 
PDF downloads: 113
