Lihan Rini Puspo Wijaya
Magister Akuntansi Universitas Sebelas Maret
Anas Wibawa
Fakultas Ekonomi Universitas Sebelas Maret


This research tests the effect of investment decisions, financing decisions, and dividend policy on the firm value, using a data set consisting of 130 manufacturing company listed in Indonesia Stock Exchange. Population of this research is listed public company at Indonesia Stock Exchange with manufacturing company as sample. Sampling method uses purposive sampling method. Data analysis technique uses classic assumption test: multicolinierity test, autocorrelation test, heteroscedasticity test, and normality test. Hypothesis test uses multiple regression analysis. The results show that: investment decisions positively affects the firm value with beta coefficient is of 0.209 and level significance is of 0.014; financing decisions positively affects the firm value with beta coefficient is of 0.286 and level significance is of 0.001; dividend policy positively affects the firm value with beta coefficient is of 0.206 and level significance is of 0.015.
Keywords: investment decisions, financing decisions, dividend policy, the firm Value

Reksa Dana di Indonesia: Analisis Kebijakan Alokasi Aset, Pemilihan Saham, dan Tingkat Risiko

Ginting Prasetya Enka Nurcahya
Fakultas Ekonomi Universitas Sebelas Maret


This research aims to analyze the performance of equity mutual funds in Indonesia by observing their asset allocation policy, stock selection, and risk level. This research uses pooled data, the data choosing with purposive sampling. Data availability at:,,, and The sample consists of 63 items of equity mutual funds since January 2006 until December 2008. The hypothesis of this research are examined using the multiple regression. The result of this research shows that equity mutual funds performance is affected by asset allocation policy, stock selection, and risk level. It indicates that mutual funds performance is determined by those activities of investment managers and market return conditions.

Key words: Equity mutual funds performance, Asset allocation policy, Stock selection, Risk level, Investment managers

EKSPLORASI KINERJA PASAR PERUSAHAAN: KAJIAN BERDASARKAN MODAL INTELEKTUAL (Studi Empiris pada Perusahaan Keuangan yang Terdaftar di Bursa Efek Indones

Ni Wayan Yuniasih
Dewa Gede Wirama
I Dewa Nyoman Badera


Intellectual capital is believed to be a contributing factor to companies’ performances and values. Several studies have been carried out on the influence of this capital to a company’s performance. However, the results still show some inconsistency. Therefore, this study aims at re-evaluating the influence of intellectual capital through the addition of ownership structure as a control variable. Ownership structure needs to be controlled since, in Indonesia, it is likely to be concentrated due to the low rate of investor protection. Intellectual capital is measured by the VAICTM method, while the market performance is determined by the price to book value ratio. The sample is financial companies listed on Indonesian Stock Market during the 2004-2008 periods. The result of the analysis fails to support the hypothesis that intellectual capital is associated with firm’s values. The result probably is an indication that market is incapable to assess the value of a company’s intellectual capital because it has no standardized measure and the limited quantitative disclosure regarding intellectual capital.

Keywords: intellectual capital, value added, ownership structure, market performance

Pengaruh Ownership Retention, Investasi Dari Proceeds, dan Reputasi Auditor Terhadap Nilai Perusahaan Dengan Kepemilikan Manajerial dan Institusional

MAKSI Fakultas Ekonomi Universitas Sebelas Maret
Fakultas Ekonomi Universitas Sebelas Maret
Fakultas Ekonomi Universitas Sebelas Maret


The purpose of this study is to demonstrate the influence of signals delivered by the company regarding the company's prospects in the future through the shareholding proportion is retained by the entrepreneur (OR), investment of the proceeds and auditor reputation on the value of the firm after an initial public offering and the moderating effect of managerial ownership and institutional ownership variables on the relationship between the proportion of retained ownership with value of the firm after the initial public offering. The result of the previous research that are inconsistent motivate researchers to reexamine the influence of ownership retention on the firm value at a firm doing an IPO on the Indonesia Stock Exchange. The research data are taken from the prospectus issued by company that did an initial public offering which is available at the Center for Business and Economic Data (PDBE) Faculty of Economics and Business Universitas Gadjah Mada. The statistical methods used to test the research hipothesis is multiple linear regression and regression residual moderasian test. The results show that the ownership retention (OR) and investment ofthe proceeds positively affect on the firm value. The results of this study support the prediction of signaling theory of Leland and Pyle (1977), the research of Keasey and McGuinness (1992), and Keasey and Short (1997).

Keywords: ownership retention, investment of the proceeds, auditor reputation, managerial ownership, institutional ownership, firm value.


PERDANA WAHYU SANTOSA Fakultas Ekonomi Universitas YARSI
HARRY YUSUF A. LAKSANA Kementrian Keuangan Republik Indonesia


The purpose of this research is to analyze the impact of value at risk, market risk, stock price, liquidity and price-to-book value ratio to the stock return in low tick size (Rp 5 and Rp 10) at Bursa Efek Indonesia (BEI). This research focuess in (1) the relationship between return, VaR and market risk (2) the relationship between return, Size and liquidity and (3) analysis the relationship between return and PBV. We employ panel data analysis methodology which combines time series and cross section data in quarterly period in 2004-2006. We get data from active stocks of various companies of low price level in LQ-45 for period 2004-2005. The results of this research are VaR, beta, size, liquidity have positive impact significantly to the stock returns except PBV. These findings indicated that fundamental performance not relevan with trading activity at lower price. These results support the previous researches which are done by many scholars, and give opportunities to VaR build alternative models for Capital Asset Pricing Model (CAPM).

Keywords: Value-at-Risk, return, low tick size, asset pricing, market risk, size, liquidity, price-to-book value.


Dewa Gede Wirama
(Universitas Udayana)


This research reexamines the ability of Ohlson (1995) valuation model in predicting stock return. Empirical specifications of the model in previous researches violate the model assumptions regarding the nature of model’s parameters, discount factor, and the clean surplus relation. Those violations undermine the validity of the researches’ conclusions regarding the model. Two portfolios are formed based on the ratio between stock values as calculated by Ohlson Model and market prices, both in relative and absolute terms. In relative term, stocks with relatively high ratio are considered to be undervalued and therefore command a higher return, and vice versa. In absolute term, a stock is considered to be undervalued if the ratio is greater than one. Return prediction is based on a buy-and-hold strategy for one to eight years investment periods. Using a sample of 96 companies listed in the Indonesian Stock Exchange, providing a total of 768 firm-year observations, it is found the Ohlson Model can predict return only in relative term but not in absolute term. Consequently, an investor who wishes to utilize the model in forming stock portfolio must calculated the value of each company listed in the stock market, and buy those stocks that are relatively undervalued compared to the overall market valuation.

Key words: Ohlson valuation model, stock portfolio, return.


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