Abdullah, H., & Agaki, R. F. (2016). Pengaruh Earning Per Share, Price Earning Ratio dan Price to Book Value Terhadap Dividend Payout Ratio Pada Perusahaan Pertambangan Yang Terdaftar di BEI Periode 2008-2011. Dinamika Ekonomi-Jurnal Ekonomi Dan Bisnis, 5(2), 3–17.
Abdullah, M. N., Parvez, K., Karim, T., & Tooheen, R. B. (2015). The Impact of Financial Leverage and Market Size on Stock Returns on the Dhaka Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector. International Journal of Economics, Finance and Management Sciences, 3(1), 10.
Acheampong, P., Agalega, E., & Shibu, A. K. (2014). The Effect of Financial Leverage and Market Size on Stock Returns on the Ghana Stock Exchange : Evidence from Selected Stcks in the Manufacturing Sector The Effect of Financial Leverage and Market Size on Stock Returns on the Ghana Stock Exchange : Evide. International Journal of Financial Research, 5(No.1), 2–11.
Ang, R. (1997). Buku Pintar Pasar Modal Indonesia (The Intelligent Guide to Indonesian Capital Market). Jakarta: Mediasoft Indonesia.
Ang, R. (2007). Buku Pintar Pasar Modal Indonesia (The Intelligent Guide To Indonesian Capital Market) (Edisi Pert). Jakarta: Mediasoft Indonesia.
Antara, I. M. J. (2012). Pengaruh Dividend Payout Ratio, Price to Book Value Ratio, dan Price to Earnings Ratio pada Return Saham di Bursa Efek Indonesia Periode 2009-2011. E-Jurnal Akuntansi, 1(1), 1–14.
Arslan, M., & Zaman, R. (2014). Impact of Dividend Yield and Price Earnings Ratio on Stock Returns: A Study Non-Financial listed Firms of Pakistan. Research Journal of Finance and Accounting, 5(19), 2222–2847.
Astakoni, I. made P., Wardita, I. W., & Nursian, N. P. (2019). Efek Moderasi Kebijakan Dividen Dalam Pengaruh Profitabilitas Terhadap Nilai Perusahaan. Jurnal Akuntansi, Ekonomi Dan Manajemen Bisnis, 18(2), 134–145.
Darusman, D., & Prasetiono. (2012). Analisis Pengaruh Firm Size , Book To Market Ratio , Price Earning Ratio , Dan Momentum Terhadap Return Portofolio Saham. Diponegoro Journal of Management, 1(1), 212–225.
Fama, F., & French, R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, XLVII(2), 427–465.
Fatahurrazak, Manik, T., & Afrianti, R. (2014). Pengaruh Return on Assets, Current Ratio, Price Earning Ratio dan Debt to Equity Ratio terhadap Kebijakan Dividen. Fakultas Ekonomi Universitas Maritim Raja Ali Haji Tanjungpinang, Kepulauan Riau, 1–25.
Fitriati, I. R., & Prasetiono. (2010). Analisis Hubugan Distress Risk, Firm Size dan Book to Market Ratio dengan Return Saham. Diponegoro Journal of Management, 2(4), 10–25.
Ghozali, I. (2016). Aplikasi Analisis Multivariate dengan Program SPSS (VIII; P. P. Harto, Ed.). Semarang: Badan Penerbit Universitas Diponegoro.
Ghozali, I., & Ratmono, D. (2017). Analisis Multivariat dan Ekonometrika Teori, Konsep dan Aplikasi dengan Eviews 10 (Kedua). Semarang: Badan Penerbit Universitas Diponegoro.
Halim, A. (2003). Analisis Investasi. Jakarta: Salemba Empat.
Hanafi. (2004). Manajemen Keuangan. Yogyakarta: BPFE UGM.
Harlina, V. R., & Khoiruddin, M. (2018). Dividend Policy and Economic Variable to Stock Price Volatility : Comparison of Indonesia and Malaysia. Management Analysis Journal, 7(4).
Haryanto, S. (2014). Identifikasi Ekspektasi Investor Melalui Kebijakan Struktur Modal, Profitabilitas, Ukuran Perusahaan Dan GCPI. Jurnal Dinamika Manajemen, 5(2), 183–199.
Hunjra, A. I., Ijaz, M. S., Chani, M. I., Hassan, S. ul, & Mustafa, U. (2014). Impact of Dividend Policy, Earning per Share, Return on Equity, Profit after Tax on Stock Prices. Internation Journal of Economics and Empirical Research, 2(2014), 274–287.
Idx.co.id. (2019). Indonesia Capital Market Directory. Retrieved from https://www.idx.co.id/data-pasar/laporan-statistik/ringkasan-performa-perusahaan-tercatat/
Jogiyanto, H. (2003). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE.
Jogiyanto, H. (2014). Teori dan Praktik Portofolio dengan Excel. Jakarta: Salemba Empat.
Khajar, I. (2013). Pengaruh Right Issue Terhadap Kinerja Keuangan Perusahaan. Jurnal Dinamika Manajemen, 1(1), 27–33.
Kurniawan, A. (2017). Pengaruh Kinerja Keuangan Terhadap Return Saham Dengan Menjadikan Kebijakan Dividen Sebagai Variabel Moderate Pada Perusahaan Yang Terdaftar Di Jakarta Islamic Indeks ( JII 2007 – 2011). Akuisisi - Jurnal Akuntansi, 13(1), 1–14.
Larasati, D. (2015). Pengaruh DER, ROA dan Kepemilikan Manajerial terhadap Kebijakan Dividen. STIE Perbanas Surabaya.
Novy-Marx, R. (2014). Understanding Defensive Equity. National Bureau of Econommic Research, 4(JEL No. G12), 1–38.
Nurmalasari, S. A. D., & Yulianto, A. (2015). Analisis Pengaruh Perubahan Arus Kas terhadap Return Saham. Management Analysis Journal, 4(4), 289–300.
Pardosi, B., & Wijayanto, A. (2015). Analisis Perbedaan Return dan Risiko Saham Portofolio Optimal dengan Portofolio Bukan Optimal. Management Analysis Journal, 4(1).
Pomfret, R., & Saphiro, D. (2007). Firm Size , Diversification , and Profitability of Large Corporations in Canada. Journal of Economic Studies, 7(3), 140–150.
Prihanantyo, A. P. (2015). Analisis Pengaruh Book to Market , Size Dan Profitability Terhadap Return Defensive Stocks. Diponegoro Journal Of Management, 4(2014), 1–12.
Puspitadewi, C. I. I., & Rahyuda, H. (2016). Pengaruh DER, ROA, PER dan EVA terhadap Return Saham pada perusahaan FOOD and Beverage di BEI. E-Jurnal Manajemen Unud, 5(3), 1429–1456.
Putri, A. Y. (2016). Analisis Pengaruh Distress Risk, Firm Size, Book To Market Ratio, Price Earning Ratio, Dan Debt To Equity Ratio Terhadap Return Pada Defensive Stocks. Diponegoro Journal Of Management, 5(2014), 1–13.
RM Musallam, S. (2018). Exploring the Relationship between Financial Ratios and Market Stock Returns. Eurasian Journal of Business and Economics, 11(21), 101–116.
Rosadi, D. (2012). Ekonometrika dan Analisis Runtun Waktu Terapan dengan EViews. Yogyakarta: Andi Offset.
Safitri, R. D., & Yulianto, A. (2015). Pengaruh Kinerja Keuangan Perusahaan Terhadap Return Total Saham Pada Perusahaan Manufaktur yang Terdaftar di BEI. Management Analysis Journal, 4(1), 1–6.
Sakina, I., & Prasetiono. (2017). Analisis Pengaruh ROE, Firm Size, Current Ratio dan DER terhadap Return Defensive Stocks. Diponegoro Journal Of Management, 6(2016), 1–11.
Sihombing, M. J. T. (2019). Analisis Faktor yang Mempengaruhi Return Saham dengan Kebijakan Deviden sebagai Variabel Moderating. Jurnal Armada Informatika, 3(1), 1–13.
Sudiyatno, B., & Suharmanto, T. (2011). Kinerja Keuangan Konvensional, Economic Value Added, Dan Return Saham. Jurnal Dinamika Manajemen, 2(2), 153–161.
Sugiyono. (2016). Metode Penelitian. Bandung: Alfabeta, cv.
Syamsuddin, L. (2011). Manajemen Keuangan Perusahaan. Jakarta: Rajawali Pers.
Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio (Edisi Pert).
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi (Edisi pert). Yogyakarta: Kanisius.
Taslim, A., & Wijayanto, A. (2016). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham, Kapitalisasi Pasar dan Jumlah Hari Perdagangan terhadap Return Saham. Management Analysis Journal, 5(1), 1–6.
Wibowo, A., & Wartini, S. (2013). Efisiensi Modal Kerja, Likuiditas Dan Leverage Terhadap Profitabilitas Pada Perusahaan Manufaktur Di Bei. Jurnal Dinamika Manajemen, 3(1), 49–58.
Wijayanto, A. (2010). Analisis Pengaruh Roa, Eps, Financial Leverage, Proceed Terhadap Initial Return. Jurnal Dinamika Manajemen, 1(1), 68–78.
Yanto, H., Yulianto, A., Sembayang, L. K. B., & Mulyaga, F. (2017). Improving The Compliance With Accounting Standards Without Public Accountability (SAK ETAP) By Developing Organizational Culture: A Case Of Indonesian SMEs. The Joutnal of Applied Business Research, 33(5), 929–940.
Yulianto, A., Suseno, D. A., & Widiyanto. (2015). Pengujian Pecking Orde Teori dan Perdagangan off Model Teori di Perusahaan Publik di Indonesia. Buku Panduan Tentang Strategi Bisnis Dan Ilmu Sosial, 3(2011), 13–18.
Zvie Bodie, Alex Kane, A. J. M. (2014). Manajemen Portofolio dan Investasi (Edisi 9; Ema Sri Suharsi, Ed.). Salemba Empat.
Abdullah, M. N., Parvez, K., Karim, T., & Tooheen, R. B. (2015). The Impact of Financial Leverage and Market Size on Stock Returns on the Dhaka Stock Exchange: Evidence from Selected Stocks in the Manufacturing Sector. International Journal of Economics, Finance and Management Sciences, 3(1), 10.
Acheampong, P., Agalega, E., & Shibu, A. K. (2014). The Effect of Financial Leverage and Market Size on Stock Returns on the Ghana Stock Exchange : Evidence from Selected Stcks in the Manufacturing Sector The Effect of Financial Leverage and Market Size on Stock Returns on the Ghana Stock Exchange : Evide. International Journal of Financial Research, 5(No.1), 2–11.
Ang, R. (1997). Buku Pintar Pasar Modal Indonesia (The Intelligent Guide to Indonesian Capital Market). Jakarta: Mediasoft Indonesia.
Ang, R. (2007). Buku Pintar Pasar Modal Indonesia (The Intelligent Guide To Indonesian Capital Market) (Edisi Pert). Jakarta: Mediasoft Indonesia.
Antara, I. M. J. (2012). Pengaruh Dividend Payout Ratio, Price to Book Value Ratio, dan Price to Earnings Ratio pada Return Saham di Bursa Efek Indonesia Periode 2009-2011. E-Jurnal Akuntansi, 1(1), 1–14.
Arslan, M., & Zaman, R. (2014). Impact of Dividend Yield and Price Earnings Ratio on Stock Returns: A Study Non-Financial listed Firms of Pakistan. Research Journal of Finance and Accounting, 5(19), 2222–2847.
Astakoni, I. made P., Wardita, I. W., & Nursian, N. P. (2019). Efek Moderasi Kebijakan Dividen Dalam Pengaruh Profitabilitas Terhadap Nilai Perusahaan. Jurnal Akuntansi, Ekonomi Dan Manajemen Bisnis, 18(2), 134–145.
Darusman, D., & Prasetiono. (2012). Analisis Pengaruh Firm Size , Book To Market Ratio , Price Earning Ratio , Dan Momentum Terhadap Return Portofolio Saham. Diponegoro Journal of Management, 1(1), 212–225.
Fama, F., & French, R. (1992). The Cross-Section of Expected Stock Returns. The Journal of Finance, XLVII(2), 427–465.
Fatahurrazak, Manik, T., & Afrianti, R. (2014). Pengaruh Return on Assets, Current Ratio, Price Earning Ratio dan Debt to Equity Ratio terhadap Kebijakan Dividen. Fakultas Ekonomi Universitas Maritim Raja Ali Haji Tanjungpinang, Kepulauan Riau, 1–25.
Fitriati, I. R., & Prasetiono. (2010). Analisis Hubugan Distress Risk, Firm Size dan Book to Market Ratio dengan Return Saham. Diponegoro Journal of Management, 2(4), 10–25.
Ghozali, I. (2016). Aplikasi Analisis Multivariate dengan Program SPSS (VIII; P. P. Harto, Ed.). Semarang: Badan Penerbit Universitas Diponegoro.
Ghozali, I., & Ratmono, D. (2017). Analisis Multivariat dan Ekonometrika Teori, Konsep dan Aplikasi dengan Eviews 10 (Kedua). Semarang: Badan Penerbit Universitas Diponegoro.
Halim, A. (2003). Analisis Investasi. Jakarta: Salemba Empat.
Hanafi. (2004). Manajemen Keuangan. Yogyakarta: BPFE UGM.
Harlina, V. R., & Khoiruddin, M. (2018). Dividend Policy and Economic Variable to Stock Price Volatility : Comparison of Indonesia and Malaysia. Management Analysis Journal, 7(4).
Haryanto, S. (2014). Identifikasi Ekspektasi Investor Melalui Kebijakan Struktur Modal, Profitabilitas, Ukuran Perusahaan Dan GCPI. Jurnal Dinamika Manajemen, 5(2), 183–199.
Hunjra, A. I., Ijaz, M. S., Chani, M. I., Hassan, S. ul, & Mustafa, U. (2014). Impact of Dividend Policy, Earning per Share, Return on Equity, Profit after Tax on Stock Prices. Internation Journal of Economics and Empirical Research, 2(2014), 274–287.
Idx.co.id. (2019). Indonesia Capital Market Directory. Retrieved from https://www.idx.co.id/data-pasar/laporan-statistik/ringkasan-performa-perusahaan-tercatat/
Jogiyanto, H. (2003). Teori Portofolio dan Analisis Investasi. Yogyakarta: BPFE.
Jogiyanto, H. (2014). Teori dan Praktik Portofolio dengan Excel. Jakarta: Salemba Empat.
Khajar, I. (2013). Pengaruh Right Issue Terhadap Kinerja Keuangan Perusahaan. Jurnal Dinamika Manajemen, 1(1), 27–33.
Kurniawan, A. (2017). Pengaruh Kinerja Keuangan Terhadap Return Saham Dengan Menjadikan Kebijakan Dividen Sebagai Variabel Moderate Pada Perusahaan Yang Terdaftar Di Jakarta Islamic Indeks ( JII 2007 – 2011). Akuisisi - Jurnal Akuntansi, 13(1), 1–14.
Larasati, D. (2015). Pengaruh DER, ROA dan Kepemilikan Manajerial terhadap Kebijakan Dividen. STIE Perbanas Surabaya.
Novy-Marx, R. (2014). Understanding Defensive Equity. National Bureau of Econommic Research, 4(JEL No. G12), 1–38.
Nurmalasari, S. A. D., & Yulianto, A. (2015). Analisis Pengaruh Perubahan Arus Kas terhadap Return Saham. Management Analysis Journal, 4(4), 289–300.
Pardosi, B., & Wijayanto, A. (2015). Analisis Perbedaan Return dan Risiko Saham Portofolio Optimal dengan Portofolio Bukan Optimal. Management Analysis Journal, 4(1).
Pomfret, R., & Saphiro, D. (2007). Firm Size , Diversification , and Profitability of Large Corporations in Canada. Journal of Economic Studies, 7(3), 140–150.
Prihanantyo, A. P. (2015). Analisis Pengaruh Book to Market , Size Dan Profitability Terhadap Return Defensive Stocks. Diponegoro Journal Of Management, 4(2014), 1–12.
Puspitadewi, C. I. I., & Rahyuda, H. (2016). Pengaruh DER, ROA, PER dan EVA terhadap Return Saham pada perusahaan FOOD and Beverage di BEI. E-Jurnal Manajemen Unud, 5(3), 1429–1456.
Putri, A. Y. (2016). Analisis Pengaruh Distress Risk, Firm Size, Book To Market Ratio, Price Earning Ratio, Dan Debt To Equity Ratio Terhadap Return Pada Defensive Stocks. Diponegoro Journal Of Management, 5(2014), 1–13.
RM Musallam, S. (2018). Exploring the Relationship between Financial Ratios and Market Stock Returns. Eurasian Journal of Business and Economics, 11(21), 101–116.
Rosadi, D. (2012). Ekonometrika dan Analisis Runtun Waktu Terapan dengan EViews. Yogyakarta: Andi Offset.
Safitri, R. D., & Yulianto, A. (2015). Pengaruh Kinerja Keuangan Perusahaan Terhadap Return Total Saham Pada Perusahaan Manufaktur yang Terdaftar di BEI. Management Analysis Journal, 4(1), 1–6.
Sakina, I., & Prasetiono. (2017). Analisis Pengaruh ROE, Firm Size, Current Ratio dan DER terhadap Return Defensive Stocks. Diponegoro Journal Of Management, 6(2016), 1–11.
Sihombing, M. J. T. (2019). Analisis Faktor yang Mempengaruhi Return Saham dengan Kebijakan Deviden sebagai Variabel Moderating. Jurnal Armada Informatika, 3(1), 1–13.
Sudiyatno, B., & Suharmanto, T. (2011). Kinerja Keuangan Konvensional, Economic Value Added, Dan Return Saham. Jurnal Dinamika Manajemen, 2(2), 153–161.
Sugiyono. (2016). Metode Penelitian. Bandung: Alfabeta, cv.
Syamsuddin, L. (2011). Manajemen Keuangan Perusahaan. Jakarta: Rajawali Pers.
Tandelilin, E. (2001). Analisis Investasi dan Manajemen Portofolio (Edisi Pert).
Tandelilin, E. (2010). Portofolio dan Investasi Teori dan Aplikasi (Edisi pert). Yogyakarta: Kanisius.
Taslim, A., & Wijayanto, A. (2016). Pengaruh Frekuensi Perdagangan Saham, Volume Perdagangan Saham, Kapitalisasi Pasar dan Jumlah Hari Perdagangan terhadap Return Saham. Management Analysis Journal, 5(1), 1–6.
Wibowo, A., & Wartini, S. (2013). Efisiensi Modal Kerja, Likuiditas Dan Leverage Terhadap Profitabilitas Pada Perusahaan Manufaktur Di Bei. Jurnal Dinamika Manajemen, 3(1), 49–58.
Wijayanto, A. (2010). Analisis Pengaruh Roa, Eps, Financial Leverage, Proceed Terhadap Initial Return. Jurnal Dinamika Manajemen, 1(1), 68–78.
Yanto, H., Yulianto, A., Sembayang, L. K. B., & Mulyaga, F. (2017). Improving The Compliance With Accounting Standards Without Public Accountability (SAK ETAP) By Developing Organizational Culture: A Case Of Indonesian SMEs. The Joutnal of Applied Business Research, 33(5), 929–940.
Yulianto, A., Suseno, D. A., & Widiyanto. (2015). Pengujian Pecking Orde Teori dan Perdagangan off Model Teori di Perusahaan Publik di Indonesia. Buku Panduan Tentang Strategi Bisnis Dan Ilmu Sosial, 3(2011), 13–18.
Zvie Bodie, Alex Kane, A. J. M. (2014). Manajemen Portofolio dan Investasi (Edisi 9; Ema Sri Suharsi, Ed.). Salemba Empat.
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Affiliations
Ali Mahfudz
Universitas Negeri Semarang
Andhi Wijayanto
Universitas Negeri Semarang
How to Cite
1.
Mahfudz A, Wijayanto A. Understanding Defensive Stocks with Company Fundamentals and Dividend Policy Variables as Moderation. MAJ [Internet]. 18Sep.2020 [cited 23Nov.2024];9(3):233-42. Available from: https://journal.unnes.ac.id/sju/maj/article/view/37833
Understanding Defensive Stocks with Company Fundamentals and Dividend Policy Variables as Moderation
Vol 9 No 3 (2020): Management Analysis Journal
Submitted: Feb 28, 2020
Published: Sep 18, 2020
Abstract
The purpose of this study was to determine the effect of Return on Equity, Firm Size, Debt Equity Ratio and Price Earning Ratio on return defensive stocks with Dividend Policy as Variable Moderation in Manufacturing Companies. The study population was manufacturing sector companies listed on the Indonesia Stock Exchange from 2015 to 2018. There were 61 companies sampled using purposive sampling techniques. The analytical method uses multiple linear analysis and moderated Regression analysis. The results showed the Firm Size variable had a significant positive effect and the DER variable had no significant positive effect while the ROE and PER variables had no significant negative effect on return defensive stocks. The MRA test states that the Dividend Payout Ratio variable strengthens the effect of Firm Size on return defensive stocks while the ROE, DER and PER variables are weakened by the effect on return defensive stocks by dividend policy. Future studies are expected to use other variables that might increase or decrease stock returns.