64 DAFTAR PUSTAKA Adenso, D.B and Fernando Gascon, 2007. Linking and Weighting Efficiency Estimates with Stock Performance in Banking Firms, Financial Institutions Center, The Wharton School, University of Pennsylvania. Ang, Robert. 2005. Buku Pintar: Pasar Modal Indonesia. Mediasoft Indonesia. Basyori, Kurnia. 2008. Analisis Pengaruh Pengumuman Dividen Terhadap Return Saham. Skripsi, Fakultas Ekonomi Universitas Islam Indonesia Yogyakarta. (Tidak dipublikasikan). Harahap, Sofyan Syafri. 2009. Analisis Kritis Atas Laporan Keuangan. Jakarta: RajaGrafindo Persada. Haryanto, Sahmuddin, Arifuddin, 2007, Akuntasi Sektor Publik, Semarang, Badan Penerbit UNDIP. Henry Simamora, 2006. Akuntansi Basis Pengambilan Keputusan Bisnis,. Jakarta : Salemba Empat. Husnan, Suad. 2006. Dasar-dasar Teori Porotofolio dan Analisis Sekuritas. Edisi Revisi. Yogyakarta: AMP YKPN Jogiyanto HM, 2005, Analisis dan Desain: Sistem Informasi Pendekatan Terstruktur Teori dan Praktik Aplikasi Bisnis, Penerbit : Andi Offset, Yogyakarta Makridakis, S. dan Wheelwright, S.C. 2005. Metode dan Aplikasi Peramalan. Edisi. Ke-2. Terjemahan Hari Suminto. Jakarta: Binarupa Natarsyah, Syahib, 2005, Analisis Pengaruh beberapa Faktor Fundamental dan Risiko Sistematik terhadap Harga Saham, Journal Ekonomi dan Bisnis Indonesia,Vol 15, No. 3. Sutrisno.(2005).Manajemen Keuangan Teori, Konsep, dan Aplikasi.Yogyakarta: Ekonisi. Van Horne, James C. and John M. Wachowicz. 2005. Fundamentals of Financial:Management Prinsip-Prinsip Manajemen Keuangan. Penerjemah: Dewi Fitriasari dan Deny Arnos Kwary. Penerbit Salemba Empat: Jakarta. Wahyudi, Sugeng, 2006, Pengukuran Return Saham, Jurnal Ekonomi, Suara Merdeka.
DATA PENELITIAN NO Nama Perusahaan DPR ROE Return Saham 2009 2010 2011 2009 2010 2011 2010 2011 2012 1 Aneka Tambang Tbk 0.5 0.157848 0.605077 0.2779 0.362662652 0.585658 8 4.475 5.457 2 Astra Agro Lestari Tbk 0.2551 0.65082 0.151616 0.0701 0.286446719 0.485994 12.6 28 32 3 Astra Internasional Tbk 0.3847 0.163577 0.201863 0.5238 0.165898097 0.24179 15.7 27.3 45 4 Berlian Laju Tanker Tbk 0.3611 0.066007 0.201005 0.2094 0.384930848 0.228914 1.74 2.65 3.245 5 Bakrie Sumatra Plantation Tbk 0.4 0.129833 0.21328 0.0039 0.269107347 0.086607 9.7 2.275 5.458 6 Bumi Reseources Minerals Tbk 0.3067 0.00014 0.000153 0.1134 0.617605232 0.703236 900 6 452 7 Citra Marga Nusaphala Tbk 0.5 0.205725 0.298514 0.3162 0.094692664 0.088611 1.65 2.2 4.5 8 Gajah Tunggal Tbk 0.5 0.135135 0.172414 0.1401 0.055450858 0.038075 580 490 523 9 International Nickel Ind. Tbk 0.002 0.004808 0.815583 0.2053 0.30506579 0.846024 31 96.25 80.257 10 Indosat Tbk 0.4496 0.572327 0.345273 0.3432 0.092758627 0.123426 6.75 8.65 7.36 11 Indocement Tunggal Perkasa Tbk 0.4 0.310494 0.112268 0.0481 0.982637777 0.142028 5.75 8.2 9.2 12 Lippo Karawaci Tbk 0.0075 0.45 0.1925 0.3051 0.10972316 83934253 1.07 690 752 13 Perusahaan GAS Negara Tbk 0.4381 0.250239 2.714286 0.1341 0.339435769 0.012473 11.6 15.35 127 14 PT. Apexindo Pratama Duta Tbk 1.0968 0.132231 0.483129 0.0928 0.146159423 0.146364 1.73 2.1 1.25 15 PT. Semen Gresik Tbk 0.3025 2.032661 3.652375 0.2259 0.235565681 0.267895 36.3 5.6 478 16 Tambang Batubara Bukit Asam Tbk 0.4984 0.480841 0.319433 0.3394 0.211578507 0.271588 3.525 12 15 17 Telekomunikasi Indonesia Tbk 0.4583 0.088477 0.075224 0.0838 5.320073244 0.380965 10.1 10.15 10.89 18 Timah Tbk 0.023 0.243599 0.058314 0.3921 0.124146129 0.531279 4.425 28.7 275 19 United Tractor Tbk 0.0009 0.138037 0.114504 0.4264 0.202499675 0.260413 6.55 10.9 14.58 20 Unilever Indonesia Tbk 0.3054 0.353982 0.350195 0.0455 0.726863152 0.729773 6.6 6.75 6.88
OUTPUT SPSS Descriptive Statistics Mean Std. Deviation N Return Saham (Y) 99.3403 212.33929 60 Deviden Pay Out Ratio (DPR) (X1).4139.61014 60 Return On Equity (ROE) (X2) 1.3989E6 1.08359E7 60 Correlations Return Saham (Y) Deviden Pay Out Ratio (DPR) (X1) Return On Equity (ROE) (X2) Pearson Correlation Return Saham (Y) 1.000.135.404 Deviden Pay Out Ratio (DPR) (X1).135 1.000 -.048 Return On Equity (ROE) (X2).404 -.048 1.000 Sig. (1-tailed) Return Saham (Y)..152.001 Deviden Pay Out Ratio (DPR) (X1).152..359 Return On Equity (ROE) (X2).001.359. N Return Saham (Y) 60 60 60 Deviden Pay Out Ratio (DPR) (X1) 60 60 60 Return On Equity (ROE) (X2) 60 60 60 Variables Entered/Removed b Variables Variables Entered Removed Method 1 Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) a. Enter a. All requested variables entered.
Summary b R R Square Adjusted R Square Std. Error of the Estimate 1.432 a.187.158 194.82287 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression 496701.241 2 248350.621 6.543.003 a Residual 2163489.193 57 37955.951 Total 2660190.434 59 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) Coefficients a Unstandardized Coefficients Standardized Coefficients B Std. Error Beta t Sig. 1 (Constant) 65.793 30.748 2.140.037 Deviden Pay Out Ratio (DPR) (X1) Return On Equity (ROE) (X2) 53.837 41.618.155 1.294.201 8.052E-6.000.411 3.436.001 a. Dependent Variable: Return Saham (Y)
Residuals Statistics a Minimum Maximum Mean Std. Deviation N Predicted Value 65.8006 752.0000 99.3403 91.75328 60 Std. Predicted Value -.366 7.113.000 1.000 60 Standard Error of Predicted Value 25.374 194.823 33.909 27.580 60 Adjusted Predicted Value 51.6071 241.3962 85.6702 29.10961 59 Residual -1.69626E2 8.17695E2.00000 191.49232 60 Std. Residual -.871 4.197.000.983 60 Stud. Residual -.937 4.234.014 1.006 60 Deleted Residual -1.96320E2 8.32269E2 2.60805 203.18960 59 Stud. Deleted Residual -.936 5.069.033 1.103 59 Mahal. Distance.018 58.017 1.967 8.422 60 Cook's Distance.000.789.021.103 59 Centered Leverage Value.000.983.033.143 60 a. Dependent Variable: Return Saham (Y) Charts
Variables Entered/Removed b Variables Variables Entered Removed Method 1 Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) a. Enter a. All requested variables entered. Summary R R Square Adjusted R Square Std. Error of the Estimate 1.432 a.187.158 194.82287 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression 496701.241 2 248350.621 6.543.003 a Residual 2163489.193 57 37955.951 Total 2660190.434 59 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)
Coefficients a Unstandardized Coefficients Standardize d Coefficients Collinearity Statistics Toleranc B Std. Error Beta t Sig. e VIF 1 (Constant) 65.793 30.748 2.140.037 Deviden Pay Out Ratio (DPR) (X1) Return On Equity (ROE) (X2) 53.837 41.618.155 1.294.201.998 1.002 8.052E-6.000.411 3.436.001.998 1.002 a. Dependent Variable: Return Saham(Y) Collinearity Diagnostics a Variance Proportions Dimensi Deviden Pay Out Return On Equity on Eigenvalue Condition Index (Constant) Ratio (DPR) (X1) (ROE) (X2) 1 1 1.587 1.000.21.20.02 2.985 1.269.00.03.94 3.427 1.927.79.76.03 a. Dependent Variable: Return Saham (Y) Residuals Statistics a Minimum Maximum Mean Std. Deviation N Predicted Value 65.8006 752.0000 99.3403 91.75328 60 Residual -1.69626E2 8.17695E2.00000 191.49232 60 Std. Predicted Value -.366 7.113.000 1.000 60 Std. Residual -.871 4.197.000.983 60 a. Dependent Variable: Return Saham (Y) Runs Test
Unstandardized Residual Test Value a -68.90331 Cases < Test Value 30 Cases >= Test Value 30 Total Cases 60 Number of Runs 33 Z.521 Asymp. Sig. (2-tailed).602 a. Median One-Sample Kolmogorov-Smirnov Test Unstandardized Residual N 60 Normal Parameters a Mean.0000000 Std. Deviation 1.91492319E2 Most Extreme Differences Absolute.394 Positive.394 Negative -.280 Kolmogorov-Smirnov Z 3.055 Asymp. Sig. (2-tailed).000 a. Test distribution is Normal. Variables Entered/Removed b Variables Variables Entered Removed Method 1 Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) a. Enter a. All requested variables entered. Summary b
Adjusted R Std. Error of the R R Square Square Estimate Durbin-Watson 1.432 a.187.158 194.82287 2.233 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression 496701.241 2 248350.621 6.543.003 a Residual 2163489.193 57 37955.951 Total 2660190.434 59 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) Coefficients a Unstandardized Coefficients Standardized Coefficients B Std. Error Beta t Sig. 1 (Constant) 65.793 30.748 2.140.037 Deviden Pay Out Ratio (DPR) (X1) 53.837 41.618.155 1.294.201 Return On Equity (ROE) (X2) 8.052E-6.000.411 3.436.001 a. Dependent Variable: Return Saham (Y) Residuals Statistics a Minimum Maximum Mean Std. Deviation N Predicted Value 65.8006 752.0000 99.3403 91.75328 60 Residual -1.69626E2 8.17695E2.00000 191.49232 60 Std. Predicted Value -.366 7.113.000 1.000 60 Std. Residual -.871 4.197.000.983 60 a. Dependent Variable: Return Saham (Y) Variables Entered/Removed b
Variables Variables Entered Removed Method 1 Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) a. Enter a. All requested variables entered. Summary b R R Square Adjusted R Square Std. Error of the Estimate 1.432 a.187.158 194.82287 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) ANOVA b Sum of Squares df Mean Square F Sig. 1 Regression 496701.241 2 248350.621 6.543.003 a Residual 2163489.193 57 37955.951 Total 2660190.434 59 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)
Residuals Statistics a Minimum Maximum Mean Std. Deviation N Predicted Value 65.8006 752.0000 99.3403 91.75328 60 Std. Predicted Value -.366 7.113.000 1.000 60 Standard Error of Predicted Value 25.374 194.823 33.909 27.580 60 Adjusted Predicted Value 51.6071 241.3962 85.6702 29.10961 59 Residual -1.69626E2 8.17695E2.00000 191.49232 60 Std. Residual -.871 4.197.000.983 60 Stud. Residual -.937 4.234.014 1.006 60 Deleted Residual -1.96320E2 8.32269E2 2.60805 203.18960 59 Stud. Deleted Residual -.936 5.069.033 1.103 59 Mahal. Distance.018 58.017 1.967 8.422 60 Cook's Distance.000.789.021.103 59 Centered Leverage Value.000.983.033.143 60 a. Dependent Variable: Return Saham (Y)
N Taraf Signifikansi Tabel Nilai-Nilai "Product Moment" N Taraf Signifikansi N Taraf Signifikansi 5% 1% 5% 1% 5% 1% 3 0,997 0,999 26 02,388 0,496 55 0,266 0,345 4 0,950 0,990 27 0,381 0,487 60 0,254 0,330 5 0,878 0,959 28 0,374 0,478 65 0,244 0,317 29 0,367 0,470 70 0,235 0,306 30 0,361 0,463 75 0,227 0,296 6 0,811 0,917 31 0,355 0,456 80 0,220 0,286 7 0,754 0,874 32 0,349 0,449 85 0,213 0,278 8 0,707 0,834 33 0,344 0,442 90 0,207 0,270 9 0,666 0,798 34 0,339 0,436 96 0,202 0,263 10 0,632 0,765 35 0,334 0,430 1 00 0,195 0,256 11 0,602 0,735 36 0,329 0,424 1 25 0,176 0,230 12 0,576 0,708 37 0,325 0,418 1 50 0,159 0,210 13 0,553 0,684 38 0,320 0,413 1 75 0,148 0,194 14 0,532 0,661 39 0,316 0,408 2 00 0,138 0,181 15 0,514 0,641 40 0,312 0,403 3 00 0,113 0,148 16 0,497 0,623 41 0,308 0,398 4 00 0,098 0,128 17 0,482 0,606 42 0,304 0,393 5 00 0,088 0,115 18 0,468 0,590 43 0,301 0,389 19 0,456 0,575 44 0,297 0,384 6 00 0,080 0,105 20 0,444 0,561 45 0,294 0,380 7 00 0,074 0,097 21 0,433 0,549 46 0,291 0,376 8 00 0,070 0,091 22 0,423 0,537 47 0,288 0,372 23 0,413 0,526 48 0,284 0,368 9 00 0,065 0,086 24 0,404 0,515 49 0,281 0,364 25 0,396 0,505 50 0,279 0,361 10 00 0,062 0,081 Sumber: Burhan Bungin, 2005:h. 268, Metodologi Penelitian Kuantitatif
Derajat Tabel Nilai t Probabilitas bebas 0,1 0,05 0,01 0,001 1 6,314 12,706 63,657 636,619 2 2,920 4,303 9,925 31,598 3 2,353 3,182 5,841 12,924 4 2,132 2,776 4,604 8,610 5 2,015 2,571 4,032 6,869 6 1,943 2,447 3,707 5,959 7 1,895 2,365 3,499 5,408 8 1,860 2,306 3,355 5,041 9 1,833 2,262 3,250 4,781 10 1,812 2,228 3,169 4,587 11 1,796 2,201 3,106 4,437 12 1,782 2,179 3,055 4,318 13 1,771 2,160 3,012 4,221 14 1,761 2,145 2,977 4,140 15 1,753 2,131 2,947 4,073 16 1,746 2,120 2,921 4,015 17 1,740 2,110 2,898 3,965 18 1,734 2,101 2,878 3,922 19 1,729 2,093 2,861 3,883 20 1,725 2,086 2,845 3,850 21 1,721 2,080 2,831 3,819 22 1,717 2,074 2,819 3,792 23 1,714 2,069 2,807 3,767 24 1,711 2,064 2,797 3,745 25 1,708 2,060 2,787 3,725 26 1,706 2,056 2,779 3,707 27 1,703 2,052 2,771 3,690 28 1,701 2,048 2,763 3,674 29 1,699 2,045 2,756 3,659 30 1,697 2,042 2,750 3,646 40 1,684 2,021 2,704 3,551 60 1,671 2,000 2,660 3,460 120 1,658 1,980 2,617 3,373 Y 1,645 1,960 2,576 3,291
Tabel Nilai-Nilai Chi Square d.f Taraf Signifikansi 50% 30% 20% 10% 5% 1% 1 0,455 1,074 1,642 2,706 3,841 6,635 2 1,386 2,408 3,219 4,605 5,991 9,210 3 2,366 3,665 4,642 6,251 7,815 11,341 4 3,357 4,878 5,989 7,779 9,488 13,277 5 4,351 6,064 7,289 9,236 11,070 15,086 6 5,348 7,231 8,558 10,645 12,592 16,812 7 6,346 8,383 9,803 12,017 14,067 18,475 8 7,344 9,524 11,030 13,362 15,507 20,090 9 8,343 10,656 12,242 14,684 16,919 21,666 10 9,342 11,781 13,442 15,987 18,307 23,209 11 10,341 12,899 14,631 17,275 19,675 24,725 12 11,340 14,011 15,812 18,549 21,026 26,217 13 12,340 15,119 16,989 19,812 22,362 27,688 14 13,339 16,222 18,151 21,064 23,685 29,141 15 14,339 17,322 19,311 22,307 24,996 30,578 16 15,338 18,418 20,465 23,542 26,296 32,000 17 16,338 19,511 21,015 24,769 27,587 33,409 18 17,338 20,601 22,760 25,989 28,869 34,805 19 18,238 21,689 23,900 27,204 30,144 36,191 20 19,337 22,775 25,038 28,421 31,410 37,366 21 20,337 23,858 26,171 29,615 32,671 38,932 22 21,337 24,939 27,301 30,813 33,924 40,289 23 22,337 26,018 28,429 32,007 35,172 41,638 24 23,337 27,096 29,553 33,196 36,415 42,980 25 24,337 28,172 30,675 34,382 37,652 44,314 26 25,336 29,246 31,795 35,563 38,885 45,642 27 26,336 30,319 32,912 36,741 40,113 46,963 28 27,336 31,391 34,027 37,916 41,337 48,278 29 28,336 32,461 35,139 39,087 42,557 49,588 30 29,336 33,530 36,250 40,256 43,773 50,892