KESIMPULAN DAN SARAN

A. Kesimpulan.

Penelitian mengenai faktor yang mempengaruhi equity premium telah

dilakukan di negara maju maupun di Bursa Efek Indonesia. Hasil penelitian

sebelumnya menunjukkan bahwa faktor yang mempengaruhi equity premium

belum dapat untuk memprediksi dengan tepat, sehingga terbuka kesempatan untuk

menelitinya. Prediksi equity premium penting dilakukan untuk menentukan return

yang diinginkan investor. Faktor dari emiten yang baru dalam penelitian ini

adalah utang perusahaan dan beta saham kemudian faktor yang lain dividen,

volatilitas harga saham dan likuiditas saham dianalisis dari data panel. Faktor

tingkat inflasi dan kurs mata uang rupiah terhadap $ USA dianalisis dengan data

time series.

Temuan dari penelitian disertasi ini kesimpulannya sebagai berikut:

1.Utang perusahaan sebagai variabel baru yang dianalisis dari data panel dan data

time series berpengaruh signifikan terhadap equity premium. Prediksi equity

premium dapat menggunakan variabel utang perusahaan dengan indikator ratio

utang dari total aset perusahaan (debt to asset) difungsikan sebagai variabel

yang mempengaruhinya.

2.Beta saham sebagai variabel baru yang dianalisis dari data panel berpengaruh

signifikan terhadap equity premium, tetapi dari analisis data time series agregat

beta saham tidak signifikan terhadap equity premium. Prediksi equity premium

dapat menggunakan variabel beta saham difungsikan sebagai variabel yang

mempengaruhinya.
3.Volatilitas harga saham dan likuiditas saham yang dianalisis dengan data panel

berpengaruh signifikan terhadap equity premium, tetapi dianalisis dengan data

agregat volatilitas saham dan likuiditas saham tidak berpengaruh signifikan

terhadap equity premium. Prediksi equity premium dapat menggunakan

variabel volatilitas harga saham dan likuiditas saham sebagai variabel yang

mempengaruhinya.

4.Dividen dengan menggunakan indikaor dividend pay out ratio dianalisis dengan

data panel ditemukan tidak berpengaruh signifikan terhadap equiy premium,

demikian dianalisis dengan data time series agregat dividen pay out rario

hasilnya tidak signifikan. Penemuan ini tidak sejalan dengan teori dividen

berpengaruh terhadap equity premium. Faktor penyebabnya bahwa sebagian

investor membeli saham untuk kepemilikan dengan kepentingan mendapatkan

capital gain dan dividen, dengan bukti bahwa saham yang tidak membayar

dividen tetap terjadi transaksi jual dan beli.

5.Tingkat inflasi dan Kurs mata uang Rupiah dianalisis dengan data time series

ditemukan tidak berpengaruh signifikan. Hipotesis kedua variabel tidak

terbukti, maka perlu dinalisis lanjutan dengan data panel dari faktor emiten dan

atau pasar modal.

B.Kelemahan dan Keterbatasan penelitian

Kelemahan dan keterbatasan dalam penelitian ini dipergunakannya data panel

dan data time series untuk mengguji hipotesis, dan data yang dianalisis tidak

seluruh saham yang diperjual belikan di Bursa Efek Indonesia.

C.Saran

Saran dari penelitian ini adalah :

1. Tingkat inflasi dan Kurs mata uang Rupiah dianalisis dengan data time

series ditemukan tidak berpengaruh signifikan, perlu diteliti lanjutan

dengan menambah periode waktu penelitian.

2. Perlu ditambahkan variabel penjualan produk/jasa dan biaya operasional

dari emiten sebagai pengaruh dari tingkat inflasi dan kurs mata uang rupiah

terhadap risiko saham dalam data panel.

 DAFTAR PUSTAKA

Adil CM, Zafar N, dan Yaseen N (2011). Empirical Analysis of Determinants of

Dividend Payout : Profitability and Liquidity, Interdisciplinary Journal of
Contemporary Research in Business, May 2011 Vol.3, No.1, p 289-300.

Alan P, dan Peng CS. (2010). R&D Expenditure and Implied Equity Risk
Premium, Paper was presented in Ohio AAA regional meeting December.

Al Habshi S.O (1994). Development of Capital Market under Islamic Principles .

Paper presented at Conference on Managing&Implementing Interest free
Banking/Islamic Financial System. Kualalumpur, Januari 25-26.

Allaynnis G, Brown GW, dan Klapper LF. (2002). Capital Structure and
Financial Risk : Evidence from Foreign Debt Use in East Asia, Paper was
presented in Cornell University, Rice University, Georgetown University,
Pennsylvania State Universsity and The Word Bank.

Al-RJoub S.AM, dan Azzam H. (2012). Financial Crises, Stock return and
Volatility in an Emerging Stock Market : the case of Jordan. Journal of
Economic Studies Vol.39. No.2 pp 178-211.

Andersen TG, Bollerslev T dan Diebold FX. (2003). Micro Effects of Macro
Announcements: Real-Time Price Discovery in Foreign Exchange,
American Economic Review.

Atmadja (1999). Inflasi di Indonesia Sumber-sumber Penyebab dan

Pengendaliannya, Jurnal Akuntansi dan Keuangan Universitas Kristen
Petra Vol. 1, No. 1, Mei 1999 : 54-67

Bhar R, dan Malerais AG (2011). Dividend, Momentum and Macroeconomic

Variables as Determinants of the US Equity Premium Across Economic
Regimes , Journal Review of Behavioral Finance 3 : 27-53.

Black F.et al (1972). The Capital Assets Pricing Model : Some empirical Tests. In
Studies in The Theory of Capital Market , Michel Jensen,ed (New York
Preager ) p 79-124.

Blanchard, O. J. (1993). Movements in the Equity Premium. Brooking Papers on

Economic Activity, 2, 75–138.
Baumeister RF, Bratslavsky E. dan Finkenauer C. (2001). Bad is Stronger Than
Good, Review of General Psychology.

Bodie, Z. (1976). Common stocks as a hedge against inflation. The Journal of

Finance, 3, 459–470.

Brealy RA,Myers SC and Marcus AJ. (2001). Fundamentals of Corporate

Finance, Third Edition. New York : Mc.Graw Hill.

Bregham EF, Shone DK, dan Vinson SR. (1986). Cost of Capital Estimation The
Risk Premium Approach to Measuring a Utility's cost of Equity. Financil
Management, (pre 1986) Spring 1985: 14 , 1.

Brennan MJ, dan Xia J. (2000). Stock Price Volatility and the Equity Premium,
Paper Western Finance Association meeting Bosston College , Yale
University.

Brewer HL (1981). Investor Benefit from Corporate International

Diversification . Journal of Financial and Quantitative Analysis . 16. Mart
1981. Pp 113-126

Boediono (1997), Seri Sinopsis Pengantar Ilmu Ekonomi No: 2 ; Ekonomi Makro,
edisi keempat; Yogyakarta, BPFE.

Bodie, Z. (1976). Common stocks as a hedge against inflation. The Journal of

Finance, 3, 459–470

Bowman D, Deborah M, dan Matthew. (1999). Loss Aversion in a Consumption-

Savings Model, Journal of Economic Behavior and Organization.

Campbell, J. Y. dan Shiller, R. J. (1989). The dividend price ratio and

expectations of future dividends and discount factors. Review of Financial
Studies, 1, 195–228.

Chapra, M. Umer, (2000) Sistem Moneter Islam, Jakarta, Gema Insani Press..

Chen, N. F. (1991). Financial investment opportunities and the macroeconomy.

The Journal of Finance, 46, 529–554.

Chen L, Dufresne PC, dan Goldsten RS (2006). On the Relation Between the
Credit Spread Puzzle and Equity Premium Puzzle.

Chen L, Guo H, dan Zang L (2006). Equity Market Volatility and Expected Risk
Premium . Paper Michigan State University, March.
Chen, N., Roll, R., dan Ross, S. (1986). “Economic forces and the stock market”.
Journal of Business, Vol. 59, No. 3, 383–403.

Cheng, A. C. S. (1996). “The UK stock market and economic factors: A new

approach”. Journal of Business Finance & Accounting, Vol. 22, No. 1, 129–
142.

Constantinides, G.M. (2002), ‘Rational Asset Prices’. Journal of Finance 57,

1567–1591.

Cooper DR, dan Emory CW. (1995). Business Research Methods, Fith Edition.
Richard D.Irwin Inc.

Crotty JR. (1992). Neoclasical and Keynesian approaches to the Theory of

Investment. Journal of Post Keynesian Economics. Vol.14 .4 483-496

Elton, E. J. dan Gruber M. J., Brown, S. J, Goetzman W. N. 2003. “Modern

Portfolio Theory and Investment Analysis”. 6th edition. USA: John Wiley &
Sons, Inc. Eviews 5 user’s guide. 2004. Irvine (CA): Quantitative Micro
Software.

Evan JL, dan Archer SH. (1968). Diversification and the Reduction of
Dispersion : An Empirical Analysis . Journal of Finance.No.23-5 December.
Pp 761-767

Fama EF, dan Babiak H (1968). Dividend policy: An Empirical Analysis, Journal
of the American Statistical Assosiation, Vol 63: 1132-1161 ,p.1134
Desember.

Fama, E.F. (1969). Eficient Capital Market: A Review Of Theory And Empirical
Work.

Fama, EF dan. French, K. (1988). Dividend yields and expected stock returns,
Journal of Financial Economics, 22, 3–25.

_________________ (1992). The Cross-Section of Expected Stock Return,

Journal of Finance. 427-466.

_________________ (2002). The Equity Premium., Journal of Finance Vol.LVII

No.2 April 2002. 637-650..

Faugere C, dan Erlach J.V. (2012). The Equity Premium : Consistent with GDP
Growth and Portofolio Insurance. Forthcoming The Financial Review.

Fernandes P (2009) .The Equity Premium in 100 Textbooks. Paper IESE Business
School Madrid Spain , Februari 2..
Feunou B, Fontaine JS, dan Tedongap R .(2009). The Equity Premium and the
Volatility Spread : The Role of Risk-Neutral Skewnewss.

Friedman, Milton. (1984), The Role of Monetary Policy, American Economic

Review, 57-71.

Geske, R., dan Roll, R. (1983). The fiscal and monetary linkage between stock
returns and inflation. The Journal of Finance, 38, 1–34.

Gilles R., Leroy, S. F. (1990). “On the Arbitrage Pricing Theory”. Economic
Theory, Vol. 1, No. 3, 213–229.

Gonzalez M, et al. (2012). Family Firm and Debt : Risk Aversion versus Risk af
Losing Control . Journal of Business Research. Mei.

Gordon M. (1992), The Neoclassical and a Post Keynesian Theory of Investment,

Journal of Post Keynesian Economics , 14-4 p: 425-442.
Gollier C, Schlee E .(2006) .Information and the Equity Premium, Paper Summer
Econometric Society Meetings in Minneapolis. Juli.

Goyal A and Welch I. (2003). Predicting the Equity Premium with Dividnd Ratios
, Journal Management Science May 2003, : 49 , 5 : ABI/INFORM Complete
pg.639.
Gowing DG. (2002). Inflation, Money Supply and The Equity Risk Premium : A
Respecification , A Thesis the John Molson School of Business Concordia
University Montreal, Quebec, Canada July.

Gozali Imam. (2013). Analisis Multivariat dan Ekonometrika.Teori, Konsep dan

Aplikasi dengan EViews 8. Semarang : BP Universitas Diponegoro.

Graham JR, Harvey CR. (2005). The Long Run Equity Risk Premium .Paper
Fuqua School of Business, Duke University, Durham, published with SSRN.
(2013). The Equity Risk Premium in 2013. Paper
Fuqua School of Business, Duke University, Durham, published with SSRN..
Groenewold N, Fraser P. (1997). “Share Prices and Macroeconomic Factors”.
Journal of Business Finance and Accounting, Vol. 24, No. 9, 1367-1381

Gruber HG. (1968) .Internationally Diverssified Portofolios :Welfare Gain and

Capital Flows . American Economc Review December .pp 1299-1314.

Harbula P. (2011). Equity Risk Premium and Volatility a European Perspective.

ASAI article in April.
Haque M, Kouki Imen. (2009). Effect of 9/11 Conditional time-varuing Equity
Risk premium : Evidence from developed markets . The Journal of Risk
Finance Vol. 10. No.3, 2009 pp 261-276.

Hashemijoo M,Ardekani AM&Younesi N. (2012). The Impact of Dividend Policy

on Share Price Volatility in Malaysian Stock Market . Journal of Business
Studies Quarterly Vol 4, No.1 pp.111-129.

Heaton, J, Lucas, D. (1999). Stock Prices and Fundamentals., NBER

macroeconomics annual. Cambridge, MA: The MIT Press.

Indrawati SM (1996), Sumber-Sumber Inflasi di Indonesia, Makalah dalam

Seminar ISEI dan PERHEPI, Jakarta

Ibbotson, Roger, Sinquefield, Rex. (1982). Stocks, Bonds, Bills and Inflation: The
Past and the Future. Charlottesville, Va.: Financial Analysts Research
Foundation.

IltuzeriZ (2012).The Analysis of Bidirectional Causality between Stock Market

Volatility and Macroeconomic Volatility. International Journal of Business
and Social Science Vol.3 No12. 33.

Julliardy C, Ghoshz A (2008). Can Rare Event explain Equity Premium Puzzle ?,
Paper London School of Economic. March 7.

Jun Tu and Wang Y. (2013). Foreign Exchange Market and Equity Premium
Forecasting. Paper Singapore Management University. October 8.

Kahneman D, Tversky A. (1979) Prospect Theory: An Analysis of Decision

Under Risk, Econometrica: Journal of the Econometric Society.

Kearney A, Lombra AR.(2004). Stock Market Volatility , The News, and

Monetary Policy, Journal of Economics and Finance 28:2 p.252.

Kelland NM. Nankervis JC, Papadimitriou FI. (2008). Predicting the Equity
Premium with Dividend Ratios : Reconciling the Evidence, Paper in Essex
Business School University of Essex, November 12.

Keynes ,JM. (1936). The General Theory of Employment Interest and Money.
New York : Harecourt Brace.

Kopche RW, Rutledge MS. (2004). Stock Prices and the Equity Premium during
the Recent Bull and Bear Markets, New England Economic Review; First
Quarter 2004; ProQuest pg. 63.
Koutsoyiannis A.(1977). Theory of Econometrics, Second edition. Hong Kong:
Macmillan Publishers Ltd.

Kumar R. (2007). Economic Growth and Volatility in India Stock Market : A

Critical Analysis. South Asian Journal of Management Apr-Jun 2007 14,2
pg.47.

Leibowitz , Martin L. (2003). The higher Equity Risk premium Created by

Taxation, Financial Analysis Journal : Sept/Oct 2003 ; 59,5 : ProQuest
pg.28.

Litner J. (1956). Distribution of Income of Corporations among Dividends,

Retained earning and Taxs. American Economic Review 46, 97-113 , May.

Maddarov D, Schornel AV. (2001). Household Investment, Limited Participation

and Equity Premium with Wealth Heterogeneity. Paper New Economic
School, Nakhimovsky pr. 47, Moscow 117418, Russia.

Manurung AH. (1997). Risk Premium and Volatility On The Jakarta Stock
Exchange. Journal Kelola VI (14) .

Markowitz. (1952). Portofolio Selection .The Journal of Finance , Vol. 7 No.1

Maret. pp. 77-91

Mehra R. (2008). The Equity Premium Puzzle A Review . Journal of Foundations

and Trends in Finance . Vol.1 pp.1-81

Mehra, R, Frescott EC. (1985), ‘The equity premium: A puzzle’. Journal of

Monetary Economics 15, 145–161

MgBame CO. (2013). Accounting Information and Stock Voltility in the Nigerian
Capital Market : A Garch Analysis Approach. International Review of
Management and Business Research Vol2 :1.

Mondria J, Hill UN dan Wu T. (2012). Familiarity and Surprises in International

Financial Markets: Bad News Travels Like Wildfire, Good News Travels
Slow!, Meeting Papers. Society for Economic Dynamics.

Morel C. (2001). “Stock Selection using a Multifactor Model – Empirical vidence

from the French Stock Market”. The European Journal of Finance, Vol. 7,
No. 4, 312–320.

Mun KC. (2004). The Contribution of Exchange Rate Fluctuations to Stock

Market Volatility and Cross-Market Correlations. Paper Truman
StateUniversity Kirksville.
Palkovinchenko V. (2002). Human Capital and the Private Equity Premium.
Paper in University of Minnesota , April.

Ross, S. A. (1976) “The Arbitrage Pricing Theory of Capital Asset Pricing”.

Journal of Economic Theory, Vol. 13, No. 2, 341–360.

Samer AM, AlRjoub. (2011), Business Cycles, Financial Crisis, and Stock
Volatility in Jordan Stock Exchange, International Journal of Economic
Perspective,Vol. 5, Issue 1, 83-95.

Sahalia YA, Parker JA, Yago M. (2004). Luxury Goods and the Equity Premium,
Journal of Finance Vol.LIX No.6 Des.2004 .2959-3004.

Sharpe,WF. (1964). Capital Asset Prices : A Theory of Market Equilibrium under

Conditions of Risk . Journal of Finance .September 1964. 19. 425-442.

Solomon R dan Grootveld H. (2001). The Equity Risk Premium: Emerging versus
Developed Markets . University of Groningen The Netherlands.

Soroka, Stuart N. (2006). Good News and Bad News: Asymmetric Responses to
Economic Information, McGill University The Journal of Politics.

Swan PL. (2006). Optimal Portofolio Balancing under Conventional Preferences

and Transaction costs Expalins the Equity Premium Puzzle , Paper UNSW
Sidney March 1.

Taddeiy F. (2002). Equity Premium: Interaction of Belief Heterogenety and

Distribution of Wealth ?.Paper in Depertment of Economics Columbia
University, November,.

Tandelilin E. (1997). Determinants of Systematic Risk: The Experience of Some

Indonesia Common Stock, Kelola, No. 16/IV, h. 101-114.

___________, (1997). A Comparison of Some Philippine and Indonesian

Common Stock s in Selected Financial Accounting Ratios and Securities
Systematic Risk, Kelola, No. 14, hal. 53-81

Treynor J. (1961). Market Value, Time and Risk. Unpublished manuscript dated 8-
8-61. No. 95- 209.

Tobin J. (1958). Liquidity Preference as Behavior Towards Risk . Review of

Economic Studies 26 . No.1 pp. 48-54.

West KD. (1986). Dividend Innovations and Stock Price Volatility. Working
Paper No.1833 National Burreau of Economic Research 1050 Massachusetts
Avenue Cambbridge.
Zhao Y and Wu G. (2001). Equity Premium and Volatility : A Correlation
Structure, Review of Financial Studies 14, 837-859