Pengaruh Laba Per Lembar Saham, Ukuran Perusahaan, Perbandingan Nilai Buku Terhadap Nilai Pasar Perusahaan, dan Momentum Terhadap Return Saham Perusahaan Manufaktur yang Terdaftar Di Bei (2009-2011)

  LAMPIRAN LAMPIRAN A Daftar Perusahaan Manufaktur di Bursa Efek Indonesia No Kode Nama Perusahaan Tanggal Tanggal Sub-Sektor Berdiri Listing

  46. KLBF Kalbe Farma Tbk. 10/09/1966 30/07/1991 Farmasi

  10/08/1990 Otomotif & Komponen

  05/05/1978

  59. INDS Indo Spring Tbk.

  57. UNTR United Tractors Tbk. 04/04/1979 01/10/1993 Otomotif & Komponen 58. UNVR Unilever Indonesia Tbk. 05/12/1933 11/01/1982 Kosmetik & Barang R.

  56. TURI Tunas Ridean Tbk. 24/07/1980 16/05/1995 Otomotif & Komponen

  55. TSPC Tempo Scan Pasific Tbk. 20/05/1970 17/06/1994 Farmasi

  54. TKIM Pabrik Kertas Tjiwi Kimia Tbk. 02/10/1972 30/04/1990 Pulp & Kertas

  52. SMSM Selamat Sempurna Tbk. 19/01/1976 09/09/1996 Otomotif & Komponen 53. TCID Mandom Indonesia Tbk. 05/11/1969 30/09/1993 Kosmetik & Barang R.

  51. SMGR Semen Gresik Tbk. 23/03/1953 08/07/1991 Semen

  50. SCCO Sucaco Tbk. 09/11/1970 20/07/1982 Kabel

  48. MLBI Multi Bintang Indonesia Tbk. 03/06/1929 15/12/1981 Makanan & Minuman 49. MRAT Mustika Ratu Tbk. 14/03/1978 27/07/1995 Kosmetik & Barang R.

  47. LION Lion Metal Works Tbk. 16/08/1972 20/08/1993 Logam & Sejenisnya

  45. KAEF Kimia Farma Tbk. 23/01/1969 04/07/2001 Farmasi

  31. ASII Astra Internasional Tbk. 20/02/1957 04/04/1990 Otomotif & Komponen

  INTP Indocement Tunggal Prakasa Tbk. 16/01/1985 05/12/1989 Semen

  INDF Indofood Sukses Makmur Tbk. 14/08/1990 14/07/1994 Makanan & Minuman 44.

  IKBI Sumi Indo Kabel Tbk. 23/07/1981 21/01/1991 Kabel 43.

  41. HMSP HM Sampoerna Tbk. 27/03/1905 15/08/1990 Rokok 42.

  40. GGRM Gudang Garam Tbk. 26/01/1958 27/08/1990 Rokok

  39. GDYR Goodyear Indonesia Tbk. 26/01/1917 22/12/1980 Otomotif & Komponen

  38. DVLA Darya-Varia Laboratoria Tbk. 05/02/1976 11/11/1994 Farmasi

  37. DLTA Delta Djakarta Tbk. 15.06/1970 27/02/1984 Makanan & Minuman

  36. FAST Fast Food Indonesia Tbk. 19/06/1978 11/05/1993 Makanan & Minuman

  35. BUDI Budi Acid Jaya Tbk. 15/01/1979 08/05/1995 Kimia

  34. BRAM Indo Kordsa Tbk. 08/07/1981 05/09/1990 Otomotif & Komponen

  33. BATA Sepatu Bata Tbk. 15/10/1931 24/03/1982 Alas Kaki

  32. AUTO Astra Otoparts Tbk. 20/09/1991 15/06/1998 Otomotif & Komponen

  60. GJTL Gajah Tunggal Tbk. 08/05/1990 Otomotif & Komponen

  LAMPIRAN B DATA PERUSAHAAN TAHUN 2009

  92.28

  91.47

  2.77 6.79 -273 -0.6825 17 LION Lion Metal Works Tbk. 646.21

  2.83 2.08 -975 -0.317073171

  18 MLBI Multi Bintang Indonesia Tbk.

  16,158.42

  2.89 0.03 172050 3,475,757,576 19 MRAT Mustika Ratu Tbk.

  49.10

  2.94 1.88 242 1,581,699,346

  20 FAST Fast Food Indonesia Tbk.

  407.84

  3.00 0.18 5369 2,209,677,419

  21 SMGR Semen Gresik Tbk. 560.82

  3.04 0.23 3375 0.808383234

  22 SMSM Selamat Sempurna Tbk.

  3.09 0.39 292 0.449230769

  11.25

  23 TCID Mandom Indonesia Tbk. 619.75

  3.14 0.54 2600 0.472727273

  24 TKIM Pabrik Kertas Tjiwi Kimia Tbk. 223.55

  3.18 8.58 1100 1,571,428,571

  25 TSPC Tempo Scan Pasific Tbk.

  79.99

  3.22 0.74 330 0.825 26 TURI Tunas Ridean Tbk. 222.50

  3.26 0.41 990

  1.32 27 UNTR United Tractors Tbk. 1,147.48

  3.30 0.26 11100 2,522,727,273

  28 UNVR Unilever Indonesia Tbk.

  398.97

  3.33 0.04 3250 0.416666667

  29 INDS Indospring Tbk 1.567

  2.71 0.08 1224 1,610,526,316 16 KLBF Kalbe Farma Tbk.

  2.64 0.24 9100 197,826,087 15 KAEF Kimia Farma Tbk.

  No KODE PERUSAHAAN NAMA PERUSAHAAN

  2.1

  VARIABEL INDEPENDEN

  VARIABEL DEPENDEN EARNING PER SHARE FIRM SIZE BOOK

  VALUE TO MARKET RATIO MOMENTUM RETURN SAHAM

  1 ASII Astra Internasional Tbk.

  2,480.02

  0.00 0.35 24150 2,289,099,526 2 AUTO Astra Otoparts Tbk. 996.25

  0.69 0.76 2250 0.642857143 3 BATA Sepatu Bata Tbk. 4,075.43

  1.10 0.65 15500 0.756097561 4 BRAM Indo Kordsa Tbk. 160.23

  1.39 20.33 -350 -0.194444444 5 BRNA Berlina Tbk. 146.81

  1.61 2.42 280 0.875 6 BUDI Budi Acid Jaya Tbk.

  38.97

  1.79

  0.95 90 0.692307692 7 DLTA Delta Djakarta Tbk. 7,900.00

  1.95 0.6 42000

  8 DVLA Darya-Varia Laboratoria Tbk.

  746.12

  93.85

  14 INTP Indocement Tunggal Prakasa Tbk.

  2.56 0.5 2620 2,817,204,301

  236.42

  13 INDF Indofood Sukses Makmur Tbk.

  2.24

  2.48 0.99 1120

  2.40 0.23 2300 0.283950617 12 IKBI Sumi Indo Kabel Tbk.

  129.06 2.08 -0.52 570 0.59375

  2.30 0.42 17300 4,070,588,235 11 HMSP HM Sampoerna Tbk. 1,160.70

  10 GGRM Gudang Garam Tbk. 1,796.02

  0.92

  2.20 1.06 4600

  2,953.31

  9 GDYR Goodyear Indonesia Tbk.

  3.37 13.47 1203 0.041666667 30 GJTL Gajah Tunggal Tbk. 260 3.40 -3.59 -1056 1,125

  LAMPIRAN C DATA PERUSAHAAN TAHUN 2010

  6.95 0.65 -900 -0.111111111

  8.86 0.17 3123 2,459,055,118

  17 LION Lion Metal Works Tbk. 742.68

  5.72 1.31 1700 0.80952381

  18 MLBI Multi Bintang Indonesia Tbk. 21,021.17

  7.04 0.08 97950 0.553389831 19 MRAT Mustika Ratu Tbk.

  57.05

  5.96 1.21 255 0.64556962

  20 FAST Fast Food Indonesia Tbk.

  447.28

  7.12 2.04 550 0.055276382 21 SMGR Semen Gresik Tbk. 612.53

  9.65 0.22 1900 0.251655629 22 SMSM Selamat Sempurna Tbk. 104.48

  6.97 0.39 128 0.135881104 23 TCID Mandom Indonesia Tbk. 653.74

  24 TKIM Pabrik Kertas Tjiwi Kimia Tbk.

  24.98

  313.04

  9.91 1.33 1200 0.666666667

  25 TSPC Tempo Scan Pasific Tbk.

  108.64

  8.19 0.34 980 1,342,465,753 26 TURI Tunas Ridean Tbk.

  48.21

  7.65 0.38 -1160 -0.666666667 27 UNTR United Tractors Tbk. 1,164.13

  10.3 0.2 8300 0.535483871

  28 UNVR Unilever Indonesia Tbk. 443.90

  9.07 0.03 5450 0.49321267

  29 INDS Indospring Tbk 1.896

  6.65 0.58 10106

  7.4 30 GJTL Gajah Tunggal Tbk. 238

  7.41 1.26 -1141 -0.877692308 16 KLBF Kalbe Farma Tbk. 126.66

  9.64 0.22 2250 0.164233577 15 KAEF Kimia Farma Tbk.

  No KODE PERUSAHAAN NAMA PERUSAHAAN

  6.56 0.3 58000 0.935483871

  VARIABEL INDEPENDEN

  VARIABEL DEPENDEN EARNING PER SHARE FIRM SIZE BOOK

  VALUE TO MARKET RATIO MOMENTUM RETURN SAHAM 1 ASII Astra Internasional Tbk. 3,548.60

  11.63 0.27 19850 0.57204611 2 AUTO Astra Otoparts Tbk. 1,479.83

  8.63 0.38 8200 1,426,086,957 3 BATA Sepatu Bata Tbk. 4,690.39

  6.18 0.38 31600 0.877777778 4 BRAM Indo Kordsa Tbk. 298.14

  7.31 1.12 950 0.655172414 5 BRNA Berlina Tbk. 251.89

  6.31 1.01 1000 1,666,666,667

  6 BUDI Budi Acid Jaya Tbk.

  12.23

  7.58

  0.97 7 DLTA Delta Djakarta Tbk. 8,715.13

  8 DVLA Darya-Varia Laboratoria Tbk.

  876.05

  99.00

  6.75 0.49 -360 -0.235294118

  9 GDYR Goodyear Indonesia Tbk.

  1,623.89

  7.04 0.81 2900 0.302083333 10 GGRM Gudang Garam Tbk. 2,154.93

  10.33 0.28 18450 0.856148492 11 HMSP HM Sampoerna Tbk. 1,465.08

  9.93 0.08 17750 1,706,730,769 12 IKBI Sumi Indo Kabel Tbk.

  15.03

  6.4 1.34 -420 -0.259259259

  13 INDF Indofood Sukses Makmur Tbk.

  336.30

  10.65 0.46 1325 0.373239437

  14 INTP Indocement Tunggal Prakasa Tbk.

  9.25 0.44 -5715 4,411,764,706

  LAMPIRAN D DATA PERUSAHAAN TAHUN 2011

  23 TCID Mandom Indonesia Tbk.

  5.9 1.11 1450 0.381579

  18 MLBI Multi Bintang Indonesia Tbk.

  24.081

  7.11 0.07 84050 0.305692 19 MRAT Mustika Ratu Tbk.

  60

  6.05 1.67 -150 -0.23077

  20 FAST Fast Food Indonesia Tbk.

  497

  7.12 0.18 -550 -0.05238 21 SMGR Semen Gresik Tbk. 668

  9.89 0.22 2000 0.21164

  22 SMSM Selamat Sempurna Tbk.

  152

  7.04 0.34 290 0.271028

  698

  17 LION Lion Metal Works Tbk.

  7.03 0.66 500 0.069444

  24 TKIM Pabrik Kertas Tjiwi Kimia Tbk.

  348 10.06 2.37 -875 -0.29167

  25 TSPC Tempo Scan Pasific Tbk.

  130

  8.35 0.27 840 0.491228 26 TURI Tunas Ridean Tbk.

  58

  7.84

  0.26 20 0.034483 27 UNTR United Tractors Tbk. 1.572 10.75 7.37 2550 0.107143

  28 UNVR Unilever Indonesia Tbk.

  546

  9.26 0.48 2300 0.139394

  29 INDS Indospring Tbk 535

  7.04 0.8 -700 -0.66667 30 GJTL Gajah Tunggal Tbk. 271

  1.01

  9.02 0.19 150 0.046154

  No KODE PERUSAHAAN NAMA PERUSAHAAN

  0.89 20 0.090909 7 DLTA Delta Djakarta Tbk. 18.949

  VARIABEL INDEPENDEN

  VARIABEL DEPENDEN EARNING PER SHARE FIRM SIZE BOOK

  VALUE TO MARKET RATIO MOMENTUM RETURN SAHAM

  1 ASII Astra Internasional Tbk.

  5.273 11.94 0.25 19450 0.356554 2 AUTO Astra Otoparts Tbk.

  287

  8.85 0.36 -10550 -0.75627

  3 BATA Sepatu Bata Tbk. 4.355

  6.25 0.5 -12600 -0.18639 4 BRAM Indo Kordsa Tbk. 122

  7.41 1.24 -250 -0.10417 5 BRNA Berlina Tbk. 344

  6.47 1.85 -1547 -0.96688 6 BUDI Budi Acid Jaya Tbk.

  17

  7.66

  6.55 0.32 -8500 -0.07083

  7.49 0.66 181 1,138,365 16 KLBF Kalbe Farma Tbk. 152

  8 DVLA Darya-Varia Laboratoria Tbk.

  108

  6.83 0.02 -20 -0.01709

  9 GDYR Goodyear Indonesia Tbk.

  908

  7.08 1.09 -2950 -0.236 10 GGRM Gudang Garam Tbk. 2,577 10.57 0.21 22050 0.55125 11 HMSP HM Sampoerna Tbk. 3.674

  9.87 0.06 10850 0.385435

  12 IKBI Sumi Indo Kabel Tbk.

  58

  6.42 2.18 -450 -0.375

  13 INDF Indofood Sukses Makmur Tbk. 571 10.89 0.78 -275 -0.05641

  14 INTP Indocement Tunggal Prakasa Tbk. 978

  9.81 0.25 1100 0.068966 15 KAEF Kimia Farma Tbk.

  31

  9.35 0.42 700 0.304348

  LAMPIRAN E Hasil Uji Data Descriptive Statistics N Minimum Maximum Mean Std. Deviation RETURN SAHAM

  90 .017 34.758 1.66531 4.728159 EARNING PER SHARE 90 1.010 21021.170 1174.82419 3034.228868 FIRM SIZE 90 .690 11.940 6.26408 2.996044 BOOK VALUE TO MARKET 90 .020 20.330 1.27911 2.801564 RATIO

  MOMENTUM 90 20.000 172050.000 9268.77778 2.347883E4 Valid N (listwise)

  90

  a Coefficients Collinearity Statistics Model Tolerance

  VIF

  1 LN_EarningPerShare .799 1.252 LN_FirmSize .902 1.108 LN_BookToMarketRatio .792 1.263 LN_Momentum .788 1.269

a. Dependent Variable: LN_ReturnSaham

  One-Sample Kolmogorov-Smirnov Test Unstandardized Predicted Value

  N

  90 a,,b

  Normal Parameters Mean -.6522880 Std. Deviation .80978002 Most Extreme Differences Absolute .065 Positive .065

  Negative -.046 Kolmogorov-Smirnov Z .613 Asymp. Sig. (2-tailed) .846 a. Test distribution is Normal.

b. Calculated from data.

  b Model Summary Adjusted R Std. Error of the Model R R Square Square Estimate Durbin-Watson a

  1 .582 .338 .307 1.15877 1.658

  a. Predictors: (Constant), LN_Momentum, LN_FirmSize, LN_EarningPerShare, LN_BookToMarketRatio b. Dependent Variable: LN_ReturnSaham

  Uji Korelasi Dan Determinasi Adjusted R Std. Error of the Model R R Square Square Estimate Durbin-Watson a

  1 .582 .338 .307 1.15877 1.658

  a. Predictors: (Constant), LN_Momentum, LN_FirmSize, LN_EarningPerShare, LN_BookToMarketRatio b. Dependent Variable: LN_ReturnSaham a Coefficients

  Unstandardized Standardized Coefficients Coefficients Model B Std. Error Beta T Sig. 1 (Constant) -1.865 .682 -2.736 .008 LN_EarningPerShare -.049 .066 -.073 -.739 .462

  LN_FirmSize -.762 .206 -.344 -3.700 .000 LN_BookToMarketratio -.060 .109 -.055 -.552 .583 LN_Momentum .361 .074 .486 4.895 .000

  a. Dependent Variable: LN_ReturnSaham

  

a

Coefficients

  Unstandardized Standardized Coefficients Coefficients Model B Std. Error Beta t Sig. 1 (Constant) -1.865 .682 -2.736 .008

LN_EarningPerShare -.049 .066 -.073 -.739 .462

  

LN_FirmSize -.762 .206 -.344 -3.700 .000

LN_BookToMarketRatio -.060 .109 -.055 -.552 .583

LN_Momentum .361 .074 .486 4.895 .000

  a. Dependent Variable: LN_ReturnSaham b ANOVA Model Sum of Squares df Mean Square F Sig. a

  1Regression 58.361 4 14.590 10.866 .000 Residual 114.134 85 1.343 Total 172.495

  89

  a. Predictors: (Constant), LN_Momentum, LN_FirmSize, LN_EarningPerShare, LN_BookToMarketRatio b. Dependent Variable: LN_ReturnSaham