Estimating systematic risk for the best investment decisions on manufacturing company in Indonesia
-
DOIhttp://dx.doi.org/10.21511/imfi.14(1).2017.05
-
Article InfoVolume 14 2017, Issue #1, pp. 46-54
- Cited by
- 1745 Views
-
792 Downloads
This work is licensed under a
Creative Commons Attribution-NonCommercial 4.0 International License
Estimation of systematic risk is one of the important aspects of the best investment decisions. Through systematic risk prediction will be known risks to be faced by investors, because systematic risk is a measure of investment risk. In addition to returns, investors always consider the risk of investment, because investors are rational individuals, ie individuals who always consider the trade-off between return and risk. At a certain level of return, investors will tend to choose investments with the lowest risk level. Conversely, at a certain level of risk, investors tend to choose investments with the highest return rate. The purpose of this paper is to analyze the influence of the financial information on the systematic risk of stock manufacturing companies listed on the Indonesia Stock Exchange over a period of five years from January 2011 to December 2015. The financial information is measured in four accounting variables, i.e. financial leverage, liquidity, profitability, and firm size. The results of data analysis using multiple linear regression method to prove that at the 0.05 level only variable sized companies that significantly influence systematic risk. Meanwhile, the variable financial leverage, liquidity, and profitability does not affect the systematic risk. The results showed inconsistencies with the results of several previous studies. This inconsistency may be due to measurement problems variable accounting, the implementation period of the study, and the use of different research samples.
- Keywords
-
JEL Classification (Paper profile tab)G11, G17, N25
-
References49
-
Tables1
-
Figures0
-
- Table 1. The results of multiple linear regression analysis
-
- Amato, L. H. and Amato, C. H. (2007). Retail Philanthropy: Firm Size, Industry, and Business Cycle. Journal of Business Ethics, 107(4), 435-448.
- Amato, L. H., and Amato, C. H. (2012). The Effects of Firm Size and Industry on Corporate Giving. Journal of Business Ethics, 72(3), 229-241.
- Anjum, S. (2014). Systematic Risk Outliers and Beta Reliability in Emerging Economics: estimation-Risk Reduction with AZAM Regression. Review of Integrative Business and Economics Research, 3(1), 288-302.
- Artikis, P. G., and Nifora, G. (2013). Leverage Premium in a Southern European Frame. Journal of Computational Optimization in Economics and Finance, 5(1), 1-26.
- Asgari, M. R., Pour, A. A. S., Zadeh, R. A., and Pahlavan, S. (2015). The Relationship Between Firm’s Growth Opportunities and Firm Size on Changes Ratio in Retained Earnings of Listed Companies in Tehran Stock Exchange. International Journal of Innovation and Applied Studies, 10(3), 923-931.
- Beaver, W. H. Kettler, P., and Scholes, M. (1970). The Association Between Market Determined And Accounting Determined Risk Measures. The Accounting Review, 654-682.
- Belkaoui, A. (1978). Accounting Determinants of Systematic Risk in Canadian Common Stocks: a Multivariate Approach. Accounting and Business Research, 3-10.
- Ben-Zion, U., and Shalit, S. S. (1975). Size, Leverage, and Dividend Record as Determinants of Equity Risk. The Journal of Finance, 30(4), 1015-1026.
- Bera, A. K., and Kannan, S. (1986). An Adjustment Procedure For Predicting Systematic Risk. Journal of Applied Econometrics, 1(4), pp. 317-332.
- Bodie, Z., Kane, A., and Marcus, A. J. (2009). Investment. 8th edition. McGraw-Hill Companies, Inc.
- Capstaff, J. (1992). The Usefulness of UK Accounting and Market Data for Predicting the Perceived Risk Class of Securities. Accounting and Business Research, 219-228.
- Christie, A. A. (1982). The Stochastic Behavior of Common Stock Variances: Value, Leverage, and Interest Rate Effect. Journal of Financial Economics, 407-432.
- Chun, L. S. and Ramasamy, M. (1989). Accounting Variables as Determinants of Systematic Risk in Malaysian Common Stocks. Asia Pacific Journal of Management, 6(2), 339-350.
- Dhingra, H. L. (1982). The Impact of Accounting Variables on Stock Market Measures of Risk. Accounting And Business Research, 193-201.
- Estrada, J. (2002). Systematic Risk in Emerging Markets: the D-CAPM. Emerging Marets Review, 3, 363-379.
- Fama, E. F., and French, K. R. (2004). The Capital Asset Pricing Model: Theory and Evidence. Journal of Economic Perspectives, 18(3), 25-46.
- Gahlon, J. M. (1981). Operating Leverage as a Determinant of Systematic Risk. Journal of Business Research, 9(2), 297-308.
- Gahlon, J. M., and Gentry, J. A. (1982). On the Relationship Between Systematic Risk and the Degrees of Operating and Financial Leverage. Journal of Financial Management, 11(2), 15-23.
- Gujarati, D. (2003). Basic Econometric. 3th edition. McGraw-Hill Companies.
- Gumanti, T. A. (2003). Can Accounting Information Act As A Proxy For Ex Ante Uncertainty In Initial Public Offerings? Gadjah Mada International Journal of Business, 5(2), 249-269.
- Hamada, R. (1969). Portfolio Analysis, Market Equilibrium and Corporation Finance. Journal of Finance, 13-31.
- Hamada, R. (1972). The Effect of the Firm’s Capital Structure on the Systematic Risk of Common Stocks. The Journal of Finance, 435-452.
- Harianto, F., and Sudomo, S. (1998). Perangkat dan Teknik Analisis Investasi di Pasar Modal Indonesia. Jakarta: PT. Bursa Efek Jakarta.
- Hartono, J. (2008). Teori Portofolio dan Analisis Investasi. Edisi Kelima, Yogyakarta: BPFE.
- Homan, A. (2006). The Impact of 9/11 on Financial Risk, Volatility and Returns of Marine Firms. Maritime Economics & Logistics, 8, 387-401.
- Ismail, R. (2016). Impact on Liquidity Management on Profitability of Pakistani Firms: A Case of KSE-100 Index. International Journal of Innovation and Applied Studies, 14(2), 304-314.
- Jami, M. and Bahar, M.N. (2016). Analysis of Profitability Ratios to Evaluation of Performance of Indian Automobile Industry. Journal of Current Research in Science, 747-755.
- Lai, T. Y., and Stohs, M. H. (2015). Yes, CAPM Is Dead. International Journal of Business, 20(2), 144-158.
- Mandelker, G. N., and Rhee, S. G. (1984). The Impact of The Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock. Journal of Financial and Quantitative Analysis, 1(1), 45-57.
- Mishra, S., and Modi, S. B. (2013). Positive and Negative Corporate Social Responsibility, Financial Leverage, and Idiosyncratic Risk. Journal of Business Ethics, 117(2), 431-448.
- Niresh, J. A. (2012). Trade-off Between Liquidity & Profitability: A Study Of Selected Manufacturing Firms in Sri Lanka. Researchers World, 3(4), 34-40.
- Panwala, M. (2009). Dimension of Liquidity Management – a Case Study of the Surat Textile’s Traders Co-Operatve Bank LTD, Surat. National Journal of System and Information Technology, 2(1), 117-126.
- Puspitaningtyas, Z. (2010). Manfaat Informasi Akuntansi Untuk Memprediksi Risiko Investasi Saham Berdasarkan Pendekatan Decision Usefulness. Jurnal Akuntansi Multiparadigma, 1(3), 467-488.
- Puspitaningtyas, Z. (2011). Pembentukan Model Prediksi Risiko Investasi Saham Berdasarkan Decision Usefulness Approach of Accounting Information. Prosiding Seminar Nasional dan Call for Paper 2011: Kajian Penelitian Aktual Guna Pengembangan Teori Baru Bidang Ekonomi dan Bisnis, 43-58.
- Puspitaningtyas, Z. (2012). Relevansi Nilai Informasi Akuntansi dan Manfaatnya Bagi Investor. Ekuitas: Jurnal Ekonomi dan Keuangan, 16(2), 164-183.
- Puspitaningtyas, Z. (2015). Prediksi Risiko Investasi Saham: Decision Usefulness Approach. Yogyakarta: Griya Pandiva.
- Putra, A. P., Lahindah, L., and Bambang, R. (2014). Financial Performance Analysis Before and After Global Crisis (Case Study in Indonesian Oil and Gas Sector for the Period of 2016-2011). Review of Integrative Business and Economics Research, 3(1), 42-51.
- Radjev, A. (2013). Working Capital Management of Makson Healthcare PVT LTD: a Trade-off Between Liquidity and Profitability, an Empirical Study. International Refereed Research Journal, 4(3), 87-94.
- Rubenstein, M. E. (1973). A Mean Variance Synthesis of Corporate Financial Theory. Journal of Finance, 167-181.
- Scott, W. R. (2009). Financial Accounting Theory. 4rd edition, Toronto, Ontario: Prentice Hall, Inc.
- Selva, M. (1995). The Association Between Accounting Determined Risk Measures and Analysts’ Risk Perceptions in a Medium-Sized Stock Market. Journal of International Financial Management and Accounting, 207-229.
- Shahzad, S. J. H. Ali, P. Ahmad, T., and Ali, S. (2015). Financial Leverage and Corporate Performance: Does Financial Crisis Owe an Explanation? Pakistan Journal of Statistics and Operation Research, 11(1), 67-90.
- Sudarsono, R., Husnan, S., Tandelilin, E., and Ekawati, E. (2012). Time Varying Beta (Dual Beta): Conditional Market Timing CAPM. Manajemen & Bisnis, 11(2), 269 p.
- Sufiyati. Na’im, A. (1998). Pengaruh Leverage Operasi Dan Leverage Finansial Terhadap Risiko Sistematik Saham: Studi Pada Perusahaan Publik Di Indonesia. Jurnal Ekonomi dan Bisnis Indonesia, 13(3), 57-69.
- Sulistio, H. (2005). Pengaruh Informasi Akuntansi dan Non Akuntansi terhadap Initial Return: Studi pada Perusahaan Yang Melakukan Initial Public Offering di Bursa Efek Jakarta. SNA 8 Solo, 87-99.
- Syamsuddin, L. (2007). Manajemen Keuangan Perusahaan (Konsep Aplikasi dalam: Perencanaan, Pengawasan, dan Pengambilan Keputusan). Jakarta: PT. RajaGrafindo Persada.
- Tandelilin, E. (1997). Determinants of Systematic Risk: The Experience of Some Indonesian Common Stock. Gadjah Mada University, 101-123.
- Toth, M., Lancaric, D., Piterkova, A., and Savov, R. (2014). Systematic Risk in Agriculture: A Case of Slovakia. AGRIS On-line Papers in Economics and Informatics, 6(4), 185-193.
- Zuhrohtun, Baridwan, Z. (2005). Pengaruh Pengumuman Peringkat Terhadap Kinerja Obligasi. SNA 8 Solo, 355-366.