PENGARUH KOMPONEN AKRUAL DAN KOMPONEN ARUS KAS TERHADAP RETURN SAHAM DALAM PERSPEKTIF PERSISTENSI DAN ANOMALI (Studi Empiris pada Perusahaan Keuangan yang Terdaftar di Bursa Efek Indonesia tahun 2010-2014)

Hana Hanifah - Program Studi Akuntansi Fakultas Ekonomi Universitas Negeri Padang

Abstract


components on stock returns in persistence and anomalies perspective in financial companies listed on the Indonesia Stock Exchange. Stock returns in this study was measured by abnormal return. Accrual component measured by total accruals divided by the difference between total assets and cash flow components measured by the difference in cash flow divided by total assets

This research is classified into causative research. The population in this study are all financial companies listed on the Indonesia Stock Exchange during the five years from 2010 to 2014. The study sample was determined by purposive sampling method. Hence 59 companies is selected as the sample. Data used in the form of secondary data obtained from the panel www.idx.co.id. The documentation technique is used in collecting the data. Meanwhile, panel data regression analysis is used in analyzing the data. The results of this study are (1) the persistence of accrual components was lower than the persistence of the cash flow components, (2) no finding anomalies accrual in the form overweight to accrual component and underweight to cash flow components, (3) Future stock returns is positive when current profit is seen from the accrual component, and (4) Future stock returns is positive when current profit is seen from the cash flow component.

Keywords: Return stock, Accrual Component, Cash Flow Component, Persistency, Accrual Anomaly



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