Determinants of Firm Value and Its Implications on Stock Return of Banking Companies in Indonesia
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Abstract
This study aims to examine the effect of good corporate governance, macroeconomics, profitability and firm size on firm value which has implications for stock returns. Quantitative methods with panel data regression. The sample is 15 banking companies for the 2015-2021 period. The results show that 1) good corporate governance has no direct effect on stock returns but has a significant negative effect indirectly through firm value, 2) macroeconomics directly has a significant positive effect on stock returns but indirectly through firm value has no significant effect, 3 ) profitability either directly or indirectly through firm value has no significant effect on stock returns, 4) firm size either directly or indirectly through firm value has a significant positive effect on stock returns, 5) together good corporate governance, macro economy, profitability, and firm size have a significant positive effect on firm value, 6) together good corporate governance, macroeconomics, profitability, firm size and firm value have a significant positive effect on stock returns.
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Wahyudi, S. (2024). Determinants of Firm Value and Its Implications on Stock Return of Banking Companies in Indonesia. Economit Journal: Scientific Journal of Accountancy, Management and Finance, 4(1), 13-23. https://doi.org/10.33258/economit.v4i1.1057
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References
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Akerlof, G. A., (1970), “The Market for “Lemons”: Quality Uncertainty and the Market Mechanism.” The Quarterly Journal of Economics, 84(3), 488.Chaney, Paul K & Lewis, Craig M. (1995). “Earnings Management And Firm Valuation Under Asymmetric Information”. Journal of Corporate Finance 1 (1995) 319-345. doi:10.1016/0929-1199(94)00008-I.
Amrillah, Muhammad Faisal, (2016), “Pengaruh Nilai Tukar Rupiah (Kurs), Inflasi Dan Pertumbuhan Ekonomi Terhadap Return Saham Pada Perusahaan Perbankan Yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2008-2014.” Jurnal Valuta Vol 2 No 2, Oktober 2016, 232-250.
Bhattacharya, Sudipto, (1979), “Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy.” The Bell Journal of Economics, Vol. 10, No. 1 (Spring, 1979), pp. 259-270.
Chauvin, Keith W. & Hirschey, Mark (1994). “Goodwill, Profitability, And The Market Value Of The Firm”, Journal of Accounting and Public Policy, Volume 13, Issue 2, 1994,. doi:10.1016/0278-4254(94)90018-3.Lintner, John, (1956), “Distribution of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes.” The American Economic Review, Vol. 46, No. 2, Papers and Proceedings of the Sixtyeighth Annual Meeting of the American Economic Association (May, 1956), pp. 97-113.
Dura, Justita & Vionitasari, Febi (2020). “Pengaruh Return On Equity (ROE), Debt To Equity Ratio (DER), Dan Current Ratio (CR) Terhadap Return Saham Perusahaan Sub Sektor Property Dan Real Estate Yang Terdaftar Di Bursa Efek Indonesia”, Riset Akuntansi, Volume 1, Nomor 1, Desember 2020, Hal. 10-23
Fosu, Samuel; Danso, Albert; Ahmad, Wasim; Coffie, William (2016). “Information Asymmetry, Leverage And Firm Value: Do Crisis And Growth Matter?” International Review of Financial Analysis, (2016), doi:10.1016/j.irfa.2016.05.002
Ghosh, Saibal (2007). “Leverage, Managerial Monitoring And Firm Valuation: A Simultaneous Equation Approach”. Research in Economics 61 (2007) 84-98. doi:10.1016/j.rie.2007.03.001
Gujarati, N. Damodar., Porter, C. Dawn. (2014). Basic Econometrics, 5th edition (Dasar-Dasar Ekonometrika Buku 2, Edisi 5). The McGraw-Hill Companies, Penerbit Salemba 4 Jakarta.
Han, Ki C.& Suk, David Y.(1998). “The Effect Of Ownership Structure On Firm Performance: Additional Evidence”. Review of Financial Economics 1998, Vol. 7, No. 2, 143-155. doi:10.1016/s1058-3300(99)80150-5.
Hasanah, Ade Nahdiatul., & Arifin, Wiwin. (2020). “Pengaruh Return On Equity dan Debt To Equity Ratio Terhadap Return Saham dengan Transaction Cost sebagai Variabel Intervening”. Jurnal Ekonomi Vokasi, 3(1), 1–17.
Jama’an, (2008), “Pengaruh Mekanisme Corporate Governance dan Kualitas Kantor Akuntan Publik Terhadap Integritas Informasi Laporan Keuangan.” Jurnal Akuntansi dan Keuangan, 43-52.
Jensen, Michael C., and William H. Meckling, (1976), “Theory of the Firm: Managerial Behaviour, Agency Cost, and Ownership Structure.” Journal of Financial Economics, Vol.3 No. 4, 305-360.
Juanda, Bambang., Junaidi. (2012). Ekonometrika Deret Waktu Teori dan Aplikasi. Penerbit PT. Penerbit IPB Press, Kampus IPB Taman Kencana Bogor.
Kuo, Nan-Ting; Shu Li, Ya-Guang Du, Cheng-Few Lee. (2022). “Does individual auditor quality contribute to firm value? Evidence from the market valuation on corporate cash holdings”, International Review of Economics & Finance, Volume 79, 2022, Pages 135-153, ISSN 1059-0560, https://doi.org/10.1016/j.iref.2022.02.001.
Lantari, Desak Putu Satria & Widnyana, I Wayan (2018). “Pengaruh Profitabilitas, Solvabilitas, Likuiditas, Dan Nilai Perusahaan Terhadap Return Saham Perusahaan Yang Terindeks LQ45 Pada Bursa Efek Indonesia (BEI)”, Juima Vol. 8 No. 1, Maret 2018.
Leland, Hayne and Pyle, David, (1977), “Information Asymetrics, Financial Structure and Financial Intermediation,” Journal of Finance 41, 93-105.
Lestari, L. (2017). Pengaruh Kepemilikan Institusional dan Struktur Modal Terhadap Nilai Perusahaan. Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi, UNIAT, 2(S1), 293-306.
Lintner, John, (1956), “Distribution of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes.” The American Economic Review, Vol. 46, No. 2, Papers and Proceedings of the Sixtyeighth Annual Meeting of the American Economic Association (May, 1956), pp. 97-113.
Long Jr., John B. (1978). “The Market Valuation Of Cash Dividends: A Case To Consider”, Journal of Financial Economics 6, doi:10.1016/0304-405x(78)90031-4.
Na, Sung-O & Jiyoun, An. (2014). “The Determinants of Future Bank Stock Returns in Eight Asian Countries”. Journal of East Asian Economic Integration. Vol. 18, No. 3 (September 2014) 253-276.
http://dx.doi.org/10.11644/KIEP.JEAI.2014.18.3.282.
Poterba, James M (1986). “The Market Valuation Of Cash Dividends: The Citizens Utilities Case Reconsidered”, Journal of Financial Economics 15 (1986) 395-405. North-Holland, doi:10.1016/0304-405x(86)90028-0.
Pratama, Angga, I. G. B., & Wiksuana, I. G. B. (2018). Pengaruh Firm Size Dan Profitabilitas Terhadap Return Saham Dengan Struktur Modal Sebagai Variabel Mediasi. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 7.5, 1289-1318. https://doi.org/10.24843/eeb.2018.v07.i05.p03
Ross, Stephen A., (1977). “Determination of Financial Structure: The Incentive Signaling Approach.” Bell Journal of Economics 8.
Salamat, Wasfi A. Al., Mustafa, Haneen H. H., (2016), “The Impact of Capital Structure on Stock Return: Empirical Evidence from Amman Stock Exchange.” International Journal of Business and Social Science Vol. 7, No. 9; September 2016.
Saputri, Alfi Eka; Wijaya, Indra, (2018), “Return Saham Ditinjau dari Rasio Keuangan, Inflasi, Suku Bunga, dan Kurs.” Jurnal Online Insan Akuntan, [S.l.], v. 3, n. 1, p. 11-20, june 2018.
Sari, Resti Intan; Ts, Kartika Hendra dan Dewi, Riana R. (2020). “Pengaruh Kepemilikan Institusional, Dewan Komisaris Independen, Profitabilitas, dan Firm Size terhadap Return Saham Perusahaan Property dan Real Estate”. Jurnal Investasi, 6(1), 26–40.
Tarczynski, Waldemar; Luniewska, Malgorzata Tarczynska; Majewski, Sebastian. (2020). “The Value Of The Company And Its Fundamental Strength”, Procedia Computer Science 176 (2020) 2685–2694.
Tarjo. 2008. “Pengaruh Konsentrasi Kepemilikan Institusionadan Leverage Terhadap Manajemen Laba, Nilai Pemegang saham serta Cost of Equity” Capital. Simposium Nasioanal Akuntansi XI, Pontianak.
Tumonggor, M., Murni, S., & Rate, P. Van. (2017). Analisis Pengaruh Current Ratio, Return on Equity, Debt To Equity Ratio Dan Growth Terhadap Return Saham Pada Cosmetics and Household Industry Yang Terdaftar Di Bei Periode 2010-2016. Jurnal EMBA, 5(2), 2203–2210.
Utami, Wikan Budi. (2014). “Analisis Pengaruh EVA, ROA Dan ROE Terhadap Return Saham Pada Perusahaan Manufaktur Di Bursa Efek Jakarta Tahun 2006-2008”. Jurnal Akuntansi Dan Pajak, 14(02), 1–19. https://doi.org/10.29040/jap.v14i02.72
Wolk H.I., J.L. Dodd and J.J. Rozycki, (2001), “Signaling, Agency Theory, Accounting Theory Choice.” Accounting and Business Research, Vol.18 No. 69 : 47-56.
Yap, Hanna Chritianto & Firnanti, Friska (2019). “Faktor-Faktor Yang Mempengaruhi Return Saham”, Jurnal Bisnis Dan Akuntansi, Vol. 21, No. 1a-1, Nov 2019, Hlm. 27-38.
Afriyani. (2018). “Pengaruh Struktur Kepemilikan Terhadap Return Saham dan Return Saham Manufaktur yang Tedaftar di BEI”. Jurnal Economix, 6(1), 35–43.
Akerlof, G. A., (1970), “The Market for “Lemons”: Quality Uncertainty and the Market Mechanism.” The Quarterly Journal of Economics, 84(3), 488.Chaney, Paul K & Lewis, Craig M. (1995). “Earnings Management And Firm Valuation Under Asymmetric Information”. Journal of Corporate Finance 1 (1995) 319-345. doi:10.1016/0929-1199(94)00008-I.
Amrillah, Muhammad Faisal, (2016), “Pengaruh Nilai Tukar Rupiah (Kurs), Inflasi Dan Pertumbuhan Ekonomi Terhadap Return Saham Pada Perusahaan Perbankan Yang Terdaftar Di Bursa Efek Indonesia (BEI) Periode 2008-2014.” Jurnal Valuta Vol 2 No 2, Oktober 2016, 232-250.
Bhattacharya, Sudipto, (1979), “Imperfect Information, Dividend Policy, and "The Bird in the Hand" Fallacy.” The Bell Journal of Economics, Vol. 10, No. 1 (Spring, 1979), pp. 259-270.
Chauvin, Keith W. & Hirschey, Mark (1994). “Goodwill, Profitability, And The Market Value Of The Firm”, Journal of Accounting and Public Policy, Volume 13, Issue 2, 1994,. doi:10.1016/0278-4254(94)90018-3.Lintner, John, (1956), “Distribution of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes.” The American Economic Review, Vol. 46, No. 2, Papers and Proceedings of the Sixtyeighth Annual Meeting of the American Economic Association (May, 1956), pp. 97-113.
Dura, Justita & Vionitasari, Febi (2020). “Pengaruh Return On Equity (ROE), Debt To Equity Ratio (DER), Dan Current Ratio (CR) Terhadap Return Saham Perusahaan Sub Sektor Property Dan Real Estate Yang Terdaftar Di Bursa Efek Indonesia”, Riset Akuntansi, Volume 1, Nomor 1, Desember 2020, Hal. 10-23
Fosu, Samuel; Danso, Albert; Ahmad, Wasim; Coffie, William (2016). “Information Asymmetry, Leverage And Firm Value: Do Crisis And Growth Matter?” International Review of Financial Analysis, (2016), doi:10.1016/j.irfa.2016.05.002
Ghosh, Saibal (2007). “Leverage, Managerial Monitoring And Firm Valuation: A Simultaneous Equation Approach”. Research in Economics 61 (2007) 84-98. doi:10.1016/j.rie.2007.03.001
Gujarati, N. Damodar., Porter, C. Dawn. (2014). Basic Econometrics, 5th edition (Dasar-Dasar Ekonometrika Buku 2, Edisi 5). The McGraw-Hill Companies, Penerbit Salemba 4 Jakarta.
Han, Ki C.& Suk, David Y.(1998). “The Effect Of Ownership Structure On Firm Performance: Additional Evidence”. Review of Financial Economics 1998, Vol. 7, No. 2, 143-155. doi:10.1016/s1058-3300(99)80150-5.
Hasanah, Ade Nahdiatul., & Arifin, Wiwin. (2020). “Pengaruh Return On Equity dan Debt To Equity Ratio Terhadap Return Saham dengan Transaction Cost sebagai Variabel Intervening”. Jurnal Ekonomi Vokasi, 3(1), 1–17.
Jama’an, (2008), “Pengaruh Mekanisme Corporate Governance dan Kualitas Kantor Akuntan Publik Terhadap Integritas Informasi Laporan Keuangan.” Jurnal Akuntansi dan Keuangan, 43-52.
Jensen, Michael C., and William H. Meckling, (1976), “Theory of the Firm: Managerial Behaviour, Agency Cost, and Ownership Structure.” Journal of Financial Economics, Vol.3 No. 4, 305-360.
Juanda, Bambang., Junaidi. (2012). Ekonometrika Deret Waktu Teori dan Aplikasi. Penerbit PT. Penerbit IPB Press, Kampus IPB Taman Kencana Bogor.
Kuo, Nan-Ting; Shu Li, Ya-Guang Du, Cheng-Few Lee. (2022). “Does individual auditor quality contribute to firm value? Evidence from the market valuation on corporate cash holdings”, International Review of Economics & Finance, Volume 79, 2022, Pages 135-153, ISSN 1059-0560, https://doi.org/10.1016/j.iref.2022.02.001.
Lantari, Desak Putu Satria & Widnyana, I Wayan (2018). “Pengaruh Profitabilitas, Solvabilitas, Likuiditas, Dan Nilai Perusahaan Terhadap Return Saham Perusahaan Yang Terindeks LQ45 Pada Bursa Efek Indonesia (BEI)”, Juima Vol. 8 No. 1, Maret 2018.
Leland, Hayne and Pyle, David, (1977), “Information Asymetrics, Financial Structure and Financial Intermediation,” Journal of Finance 41, 93-105.
Lestari, L. (2017). Pengaruh Kepemilikan Institusional dan Struktur Modal Terhadap Nilai Perusahaan. Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi, UNIAT, 2(S1), 293-306.
Lintner, John, (1956), “Distribution of Incomes of Corporations Among Dividends, Retained Earnings, and Taxes.” The American Economic Review, Vol. 46, No. 2, Papers and Proceedings of the Sixtyeighth Annual Meeting of the American Economic Association (May, 1956), pp. 97-113.
Long Jr., John B. (1978). “The Market Valuation Of Cash Dividends: A Case To Consider”, Journal of Financial Economics 6, doi:10.1016/0304-405x(78)90031-4.
Na, Sung-O & Jiyoun, An. (2014). “The Determinants of Future Bank Stock Returns in Eight Asian Countries”. Journal of East Asian Economic Integration. Vol. 18, No. 3 (September 2014) 253-276.
http://dx.doi.org/10.11644/KIEP.JEAI.2014.18.3.282.
Poterba, James M (1986). “The Market Valuation Of Cash Dividends: The Citizens Utilities Case Reconsidered”, Journal of Financial Economics 15 (1986) 395-405. North-Holland, doi:10.1016/0304-405x(86)90028-0.
Pratama, Angga, I. G. B., & Wiksuana, I. G. B. (2018). Pengaruh Firm Size Dan Profitabilitas Terhadap Return Saham Dengan Struktur Modal Sebagai Variabel Mediasi. E-Jurnal Ekonomi Dan Bisnis Universitas Udayana, 7.5, 1289-1318. https://doi.org/10.24843/eeb.2018.v07.i05.p03
Ross, Stephen A., (1977). “Determination of Financial Structure: The Incentive Signaling Approach.” Bell Journal of Economics 8.
Salamat, Wasfi A. Al., Mustafa, Haneen H. H., (2016), “The Impact of Capital Structure on Stock Return: Empirical Evidence from Amman Stock Exchange.” International Journal of Business and Social Science Vol. 7, No. 9; September 2016.
Saputri, Alfi Eka; Wijaya, Indra, (2018), “Return Saham Ditinjau dari Rasio Keuangan, Inflasi, Suku Bunga, dan Kurs.” Jurnal Online Insan Akuntan, [S.l.], v. 3, n. 1, p. 11-20, june 2018.
Sari, Resti Intan; Ts, Kartika Hendra dan Dewi, Riana R. (2020). “Pengaruh Kepemilikan Institusional, Dewan Komisaris Independen, Profitabilitas, dan Firm Size terhadap Return Saham Perusahaan Property dan Real Estate”. Jurnal Investasi, 6(1), 26–40.
Tarczynski, Waldemar; Luniewska, Malgorzata Tarczynska; Majewski, Sebastian. (2020). “The Value Of The Company And Its Fundamental Strength”, Procedia Computer Science 176 (2020) 2685–2694.
Tarjo. 2008. “Pengaruh Konsentrasi Kepemilikan Institusionadan Leverage Terhadap Manajemen Laba, Nilai Pemegang saham serta Cost of Equity” Capital. Simposium Nasioanal Akuntansi XI, Pontianak.
Tumonggor, M., Murni, S., & Rate, P. Van. (2017). Analisis Pengaruh Current Ratio, Return on Equity, Debt To Equity Ratio Dan Growth Terhadap Return Saham Pada Cosmetics and Household Industry Yang Terdaftar Di Bei Periode 2010-2016. Jurnal EMBA, 5(2), 2203–2210.
Utami, Wikan Budi. (2014). “Analisis Pengaruh EVA, ROA Dan ROE Terhadap Return Saham Pada Perusahaan Manufaktur Di Bursa Efek Jakarta Tahun 2006-2008”. Jurnal Akuntansi Dan Pajak, 14(02), 1–19. https://doi.org/10.29040/jap.v14i02.72
Wolk H.I., J.L. Dodd and J.J. Rozycki, (2001), “Signaling, Agency Theory, Accounting Theory Choice.” Accounting and Business Research, Vol.18 No. 69 : 47-56.
Yap, Hanna Chritianto & Firnanti, Friska (2019). “Faktor-Faktor Yang Mempengaruhi Return Saham”, Jurnal Bisnis Dan Akuntansi, Vol. 21, No. 1a-1, Nov 2019, Hlm. 27-38.