pengaruh profitabilitas, leverage dan nilai pasar …repository.upnvj.ac.id/595/1/awal.pdf ·...

PENGARUH PROFITABILITAS, LEVERAGE DAN NILAI

PASAR TERHADAP HARGA SAHAM PERUSAHAAN PADA

SEKTOR PROPERTY DAN REAL ESTATE YANG

TERDAFTAR DI BURSA EFEK INDONESIA

SKRIPSI

SITI RAHAYU SA’ADAH

1310111075

PROGRAM STUDI MANAJEMEN S1

FAKULTAS EKONOMI DAN BISNIS

UNIVERSITAS PEMBANGUNAN NASIONAL “VETERAN” JAKARTA

2017

PENGARUH PROFITABILITAS, LEVERAGE DAN NILAI

PASAR TERHADAP HARGA SAHAM PERUSAHAAN PADA

SEKTOR PROPERTY DAN REAL ESTATE YANG

TERDAFTAR DI BURSA EFEK INDONESIA

SKRIPSI

Diajukan Sebagai Salah Satu Syarat Untuk Memperoleh Gelar

Sarjana Ekonomi

SITI RAHAYU SA’ADAH

1310111075

PROGRAM STUDI MANAJEMEN S1

FAKULTAS EKONOMI DAN BISNIS

UNIVERSITAS PEMBANGUNAN NASIONAL “VETERAN” JAKARTA

2017

v

ARA UJIAN SKRIPSI

vii

Pengaruh Profitabilitas, Leverage dan Nilai Pasar Terhadap

Harga Saham Perusahaan Pada Sektor Property dan Real Estate

Yang Terdaftar Di Bursa Efek Indonesia

Oleh

Siti Rahayu Sa’adah

Abstrak

Penelitian ini bertujuan untuk menguji dan mengetahui pengaruh variabel

profitabilitas, leverage dan nilai pasar terhadap harga saham perusahaan property

dan real estate yang go public di Bursa Efek Indonesia tahun 2012-2015. Populasi

dalam penelitian ini adalah perusahaan property dan real estate yang terdaftar di

Bursa Efek Indonesia tahun 2012-2015. Teknik pengambilan sampel menggunakan

purposive sampling dan sampel yang digunakan berjumlah 21 perusahaan property

dan real estate yang terdaftar di Bursa Efek Indonesia tahun 2012-2015. Jenis data

yang digunakan dalam penelitian ini adalah data sekunder dengan menggunakan

data laporan keuangan tahun 2012-2015. Data penelitian diolah menggunakan

perangkat lunak E- Views 9 untuk menguji analisis regresi data panel. Hasil

pengujian hipotesis menunjukkan bahwa : (1) secara parsial variabel profitabilitas

tidak berpengaruh terhadap harga saham, (2) leverage berpengaruh signifikan

negatif terhadap harga saham dan (3) nilai pasar berpengaruh signifikan positif

terhadap harga saham sedangkan secara simultan profitabilitas , leverage dan Nilai

Pasar seca bersama- sama berpengaruh terhadap harga saham. Nilai R Square

dalam penelitian ini adalah 0.966060 hal ini berarti 96,60% variabel dependen

dapat dijelaskan oleh variabel independent sedangkan sisanya 29,5% dijelaskan

oleh sebab-sebab lain diluar model.

Kata kunci : Profitabilitas, Leverage, Nilai Pasar dan Harga Saham.

viii

The Influence of Profitability, Leverage and Market Value To The

Company's Share Price On The Property and Real Estate Sector

Listed In Indonesia Stock Exchange

By


Abstract

This research is meant to test and to find out the influence of profitability,

leverage, and market value to the share price of go public property and real estate

companies which are listed in Indonesia Stock Exchange in 2012-2015 periods. The

population is the property and real estate companies which are listed in Indonesia

Stock Exchange in 2012-2015 periods. The sample collection technique has been

done by using purposive sampling and the samples are 21 property and real estate

companies which are listed in Indonesia Stock Exchange in 2012-2015 periods.

have been selected as samples. The data is the secondary data which is conducted

by using the financial statement data in 2012-2015 periods. The research data is

processed by using E-Views 9 software to test of panel data regressions. Test results

using the Model Feasibility Test indicate that the model is feasible to be used in

research using Fix effect Model. The result of hypothesis testing shows that: (1)

partially profitability variables do not have an effect on stock price, (2) leverage

have negative significant effect to stock price and (3) market value have positive

significant effect to share price while simultaneously profitability, leverage and

market value Seca jointly affect the stock price. R Square value in this study is

0.966060 this means 96.60% dependent variable can be explained by independent

variable while the remaining 29.5% is explained by other causes outside the model.

Keywords: Profitability, Leverage, Market Value and Stock Price

ix

PRAKATA

Puji dan Syukur penulis panjatkan kepada Allah SWT atas segala karunia-

Nya sehingga karya ilmiah ini berhasil diselesaikan. Penelitian ini berjudul

“Pengaruh Profitabilitas, Leverage dan Nilai Pasar Terhadap Harga Saham

Perusahaan pada Sektor Property dan Real estate Yang Terdaftar di Bursa Efek

Indonesia”

Pada kesempatan ini penulis menyampaikan terima kasih kepada Bapak

Prasetyo Hadi, S.E., M.M, CFMP. Selaku dekan FEB Universitas Pembangunan

Nasional “Veteran” Jakarta, Bapak Wahyudi, S.E., M.M. selaku Ka.Program Studi

Manajemen S1 FEB Universitas Pembangunan Nasional “Veteran” Jakarta serta

kepada Bapak Drs. Yul Tito Permadhy, M.M.. selaku dosen pembimbing I dan

Ibu Tri Siswantini., S.E., M.M. selaku dosen pembimbing II yang telah banyak

memberikan arahan dan saran-saran yang bermanfaat selama berlangsungnya

pembuatan karya ilmiah ini.

Disamping itu, ucapan terimakasih juga penulis sampaikan kepada kedua

orang tua penulis yaitu Bapak Kujang Kurnia dan Ibu Dewi Yulianti atas do’a dan

dukungannya, adik saya Muhammad Ramdan serta seluruh keluarga lainnya. serta

para sahabat saya, Nur Rahmah Maulidina, Sulik Setiana, Shindy Novitasari, Tyas

Novita, Dila, Nurul, Rumi , Tri Suci, Elita, Ulfa, Yuli dan Ratih dan teman- teman

lainnya yang tidak henti-hentinya memberikan dukungan, doa, semangat ,

saran,motivasi dan nasihatnya, serta untuk seluruh teman-teman seperjuangan S1

Manajemen 2013 dan teman-teman. Semoga penelitian ini dapat bermanfaat.

Jakarta, 06 Juli 2017


x

DAFTAR ISI

HALAMAN SAMPUL .................................................................................. i

HALAMAN JUDUL ...................................................................................... ii

PERNYATAAN ORISINALITAS ................................................................

Error! Bookmark not defined.

PERNYATAAN PERSETUJUAN PUBLIKASI .........................................


PENGESAHAN ..............................................................................................


BERITA ACARA UJIAN SKRIPSI ............................................................. v

ABSTRAK ...................................................................................................... vii

ABSTRACT ..................................................................................................... viii

PRAKATA ...................................................................................................... ix

DAFTAR ISI ................................................................................................... x

DAFTAR TABEL .......................................................................................... xiii

DAFTAR GAMBAR ...................................................................................... xiv

DAFTAR LAMPIRAN .................................................................................. xv

BAB I PENDAHULUAN .......................................................................


I.1 Latar Belakang ..............................................................................


I.2 Perumusan Masalah.......................................................................


I.3 Tujuan Penelitian...........................................................................

....................................................................................................... Erro

r! Bookmark not defined.

I.4 Manfaat Penelitian.........................................................................

....................................................................................................... Erro


BAB II TINJAUAN PUSTAKA ..............................................................


II.1 Hasil Penelitian Terdahulu ............................................................

....................................................................................................... Erro


II.2 Landasan Teori ..............................................................................

....................................................................................................... Erro


II.2.1 Signaling Theory ...........................................................................

....................................................................................................... Erro


II.2.1 Investasi .........................................................................................

....................................................................................................... Erro


xi

II.2.1.1 Pengertian Investasi.......................................................................

....................................................................................................... Erro


II.2.1.2 Tujuan dan Bentuk Investasi .........................................................

....................................................................................................... Erro


II.2.2 Pasar Modal ...................................................................................

....................................................................................................... Erro


II.2.2.1 Definisi Pasar Modal .....................................................................

....................................................................................................... Erro


II.2.2.2 Fungsi Pasar Modal ......................................................................

....................................................................................................... Erro


II.2.2.3 Manfaat Pasar Modal ....................................................................

....................................................................................................... Erro


II.2.3 Laporan Keuangan ........................................................................

....................................................................................................... Erro


II.2.3.1 Pengertian Laporan Keuangan ......................................................

....................................................................................................... Erro


II.2.3.2 Tujuan Laporan Keuangan ............................................................

....................................................................................................... Erro


II.2.3.3 Pengguna Laporan Keuangan........................................................

....................................................................................................... Erro


II.2.4 Analisis Fundamental dan Teknikal ..............................................

....................................................................................................... Erro


II.2.4.1 Pengertian Analisis Fundamental ..................................................

....................................................................................................... Erro


II.2.4.2 Pengertian Analisis Teknikal ........................................................

....................................................................................................... Erro


II.2.5 Modal Sendiri ................................................................................

....................................................................................................... Erro


II.2.5 Harga Saham .................................................................................

....................................................................................................... Erro


II.2.5.1 Pengertian Harga Saham ...............................................................

....................................................................................................... Erro


xii

II.2.5.2 Jenis-Jenis Saham ..........................................................................

....................................................................................................... Erro


II.2.5.3 Faktor-Faktor Yang Mempengaruhi Harga Saham .......................

....................................................................................................... Erro


II.2.6 Profitabilitas ..................................................................................

....................................................................................................... Erro


II.2.6.1 Pengertian Rasio Profitabilitas ......................................................

....................................................................................................... Erro


II.2.6.2 Tujuan dan Manfaat Rasio Profitabilitas .......................................

....................................................................................................... Erro


II.2.6.3 Jenis-Jenis Rasio Profitabiltas .......................................................

....................................................................................................... Erro


II.2.6.5 Return On Equity (ROE) ...............................................................

....................................................................................................... Erro


II.2.7 Leverage ........................................................................................

....................................................................................................... Erro


II.2.7.1 Pengertian Rasio Leverage ............................................................

....................................................................................................... Erro


II.2.7.2 Tujuan dan Manfaat Rasio Leverage ............................................

....................................................................................................... Erro


II.2.7.3 Jenis-Jenis Rasio Leverage............................................................

....................................................................................................... Erro


II.2.7.4 Debt To Equity Ratio (DER) .........................................................

....................................................................................................... Erro


II.2.8 Nilai Pasar .....................................................................................

....................................................................................................... Erro


II.2.8.1 Pengertian Rasio Nilai Pasar .........................................................

....................................................................................................... Erro


II.2.8.2 Jenis-Jenis Rasio Nilai Pasar .........................................................

....................................................................................................... Erro


II.2.8.3 Price to Book Value (PBV) ...........................................................

....................................................................................................... Erro


xiii

II.3 Kerangka Pemikiran ......................................................................

....................................................................................................... Erro


II.4 Pengembangan Hipotesis ..............................................................

....................................................................................................... Erro


II.4.1 Profitabilitas Terhadap Harga Saham ..........................................

....................................................................................................... Erro


II.4.2 Leverage Terhadap Harga Saham ................................................

....................................................................................................... Erro


II.4.3 Nilai Pasar Terhadap Harga Saham ..............................................

....................................................................................................... Erro


BAB III METODE PENELITIAN ...........................................................


III.1 Definisi Operasional dan Pengukuran Variabel ............................

....................................................................................................... Erro


III.1.1 Definisi Operasional ......................................................................

....................................................................................................... Erro


III.1.2 Pengukuran Variabel .....................................................................

....................................................................................................... Erro


III.2 Metode Penentuan Populasi dan Sampel ......................................

....................................................................................................... Erro


III.2.1 Populasi .........................................................................................

....................................................................................................... Erro


III.2.2 Sampel ...........................................................................................

....................................................................................................... Erro


III.3 Teknik Pengumpulan Data ............................................................

....................................................................................................... Erro


III.3.1 Jenis Data dan Sumber Data .........................................................

....................................................................................................... Erro


III.3.2 Metode Pengumpulan Data ...........................................................

....................................................................................................... Erro


III.4 Teknik Analisis dan Uji Hipotesis ................................................

....................................................................................................... Erro


xiv

III.4.1 Teknik Analisis .............................................................................

....................................................................................................... Erro


III.4.2 Statistik Desriptif Data ..................................................................

....................................................................................................... Erro


III.4.3 Metode Analisis Regresi Data Panel .............................................

....................................................................................................... Erro


III.4.4 Uji Hipotesis ..................................................................................

....................................................................................................... Erro


III.4.4.1 Uji Simultan (Uji F) .....................................................................

....................................................................................................... Erro


III.4.4.2 Uji Koefisien Determinasi ( Uji R2) ..............................................

....................................................................................................... Erro


III.4.4.3 Uji Parsial ( t test)..........................................................................

....................................................................................................... Erro


III.4.5 Model Regresi Data Panel .............................................................

....................................................................................................... Erro


III.4.6 Kerangka Model Penelitian ...........................................................

....................................................................................................... Erro


BAB IV HASIL DAN PEMBAHASAN ...................................................


IV.1 Hasil Penelitian .............................................................................

....................................................................................................... Erro


IV.1.1 Deskripsi Objek Penelitian ............................................................

....................................................................................................... Erro


IV.1.2 Deskripsi Data Penelitian ..............................................................

....................................................................................................... Erro


IV.1.3 Uji Kualitas Data ...........................................................................

....................................................................................................... Erro


IV.1.3.1 Statistik Deskriptif.........................................................................

....................................................................................................... Erro


IV.1.4. Pemilihan Metode Analisis Regresi Data Panel ...........................

....................................................................................................... Erro


xv

IV.1.4.1 Uji F Restricted (Pooled Least Square vs Fixed Effect Model ) ...

....................................................................................................... Erro


IV.1.4.2 Uji Hausman ( Fixed Effect Model vs Random Effect Model ) .....

....................................................................................................... Erro


IV.1.4.3 Model Regresi Data Panel yang digunakan ..................................

....................................................................................................... Erro


IV.1.5 Uji Hipotesis ..................................................................................

....................................................................................................... Erro


IV.1.5.1 Uji Simultan (Uji F) ......................................................................

....................................................................................................... Erro


IV.1.5.2 Uji Parsial (Uji t) ...........................................................................

....................................................................................................... Erro


IV.1.5.3 Uji Koefisien Determinasi ( Uji R2) .............................................

....................................................................................................... Erro


IV.2 Pembahasan ...................................................................................

....................................................................................................... Erro


IV.2.1 Pengaruh Profitabilitas Terhadap Harga Saham ...........................

....................................................................................................... Erro


IV.2.2 Pengaruh Leverage Terhadap Harga Saham .................................

....................................................................................................... Erro


IV.2.3 Pengaruh Nilai Pasar Terhadap Harga Saham ..............................

....................................................................................................... Erro


IV.3 Keterbatasan Penelitian .................................................................

....................................................................................................... Erro


BAB V SIMPULAN DAN SARAN .........................................................


V.1 Simpulan........................................................................................

....................................................................................................... Erro


V.2 Saran ..............................................................................................

....................................................................................................... Erro


DAFTAR PUSTAKA .....................................................................................


xvi

RIWAYAT HIDUP

LAMPIRAN

xvii

DAFTAR TABEL

Tabel 1. Fluktuasi Harga Saham PT Metropolitan Kentjana Tbk ...............


Tabel 2. Matrik penelitian terdahulu terkait harga saham ...........................


Tabel 3. Pembagian Sampel ........................................................................


Tabel 4. Sampel Perusahaan ........................................................................


Tabel 5. Hasil Perhitungan Variabel Penelitian ..........................................


Tabel 6. Hasil Statistik Deskriptif ...............................................................


Tabel 7. Hasil Uji F Restricted ....................................................................


Tabel 8. Hasil Uji Hausman ........................................................................


Tabel 9. Fixed Effect Model........................................................................


Tabel 10. Hasil Uji F .....................................................................................


Tabel 11. Hasil Uji t ......................................................................................


Tabel 12. Hasil Uji R2 ...................................................................................


xiv

DAFTAR GAMBAR

Gambar 1. Kerangka Pemikiran ......................................................................


Gambar 2. Kerangka Model Penelitian ...........................................................


xv

DAFTAR LAMPIRAN

Lampiran 1 Perusahaan Property dan Real Estate yang tercatat di BEI 2012-2015

Lampiran 2 Perhitungan Return On Equity

Lampiran 3 Perhitungan Debt To Equity Ratio

Lampiran 4 Perhitungan Nilai Buku

Lampiran 5 Perhitungan Price To Book Value

Lampiran 6 Harga saham

Lampiran 7 Titik Persentase Distribusi t (df = 41 – 80)

Lampiran 8 Titik Persentase Distribusi F untuk Probabilita = 0,05

Lampiran 9 Output EViews 9.0

Lampiran 10 Laporan Keuangan

pengaruh profitabilitas, leverage dan nilai pasar …repository.upnvj.ac.id/595/1/awal.pdf ·...

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