the influence of price-to-book value, debt-to-equity …

THE INFLUENCE OF PRICE-TO-BOOK VALUE, DEBT-TO-EQUITY

RATIO, AND RETURN ON EQUITY TOWARDS STOCK PRICE IN

PROPERTY, REAL ESTATE, AND BUILDING CONSTRUCTION

COMPANY LISTED IN INDONESIA STOCK EXCHANGE

(FOR THE PERIOD 2010-2014)

Skripsi

By

Windy Adhisa Lubis

008201200104

Presented to

The Faculty of Business, President University

In partial fulfillment of the requirements

for

Bachelor Degree in Economics, Major in Accounting

President University

Cikarang Baru – Bekasi

Indonesia

March, 2016

v

ABSTRACT

Investor that invested in stock, price becomes important. Stock price reflected

byavailable information about the value of the firm. One of the information is

financial statement information or company’s fundamentals. Therefore, this study

was conducted to analyse the influence of Price-to-Book-Value (PBV), Debt-to-

Equity Ratio (DER), and Return On Equity (ROE) towards stock price in

property, real estate, and building construction sector for the period 2010 – 2014.

The sampling technique used in this research is purposive sampling and took

sample of 18 companies under property, real estate, and building construction

sector. This research used multiple regression models by SPSS 20, with

confidence level of 95%. The results showed that PBV, DER, and ROE have

significant influence on stock price simultaneously, with the results of 0.000.

However, DER has no significant influence on stock price partially, due to that

the significance value is 0.469, while PBV and ROE showed significant influence

on stock price at 0.000.PBV, DER, and ROE are able to explain 59.9% variance

of the stock price.

Keyword: Price-to-Book Value, Debt-to-Equity Ratio, Return on Equity

vi

ACKNOWLEDGEMENT

The completion of this research would not have been possible without the

participation of many people that the writer could not mention one by one.

Immeasurable appreciation and deepest gratitude for the following people who

give their contribution in making this research possible.

Almighty God, for His favor, His help, and give me chance to finish this skripsi

on time.

Writer’s parents and family, for all the prayer, love, and endless supports that

help in making this skripsi possible and finish it on time.

Mr. Misbahul Munir, MBA., Ak., CPMA., CA, Dean of Faculty of Business in

President University and also Head of Accounting Study Program for his support,

time, and effort in checking and completing this skripsi.

Monika Kussetya, SE., M.Ak, Skripsi Adviser, for her technical editor, time,

love, support, advices, valuable comments, suggestions, and guidance that has

given much contributions to finish this skripsi.

Dr. Sumarno Zain, S.E., Ak., MBA, Accounting Lecturer, for sharing his

knowledge about statistical analysis and give valuable comment that contribute in

making this skripsi compeleted.

To all my friends, for their endless support, their love, and sharing their

knowledge related to this skripsi topics.

vii

TABLE OF CONTENTS

PANEL OF EXAMINERS APPROVAL SHEET .................................................. ii

SKRIPSI ADVISER RECOMMENDATION LETTER .......................................iii

DECLARATION OF ORIGINALITY ..................................................................iv

ABSTRACT ........................................................................................................... iii

ACKNOWLEDGEMENT ..................................................................................... vi

TABLE OF CONTENTS ...................................................................................... vii

LIST OF TABLE.....................................................................................................x

LIST OF FIGURE..................................................................................................xi

LIST OF ACRONYMS.........................................................................................xii

CHAPTER I INTRODUCTION ............................................................................. 1

I.1 Research Background ............................................................................... 1

I.2 Problems Identification and Statement ..................................................... 4

I.3 Research Objectives ................................................................................. 5

I.4 Research Benefits ..................................................................................... 6

I.5 Research Scope and Limitations .............................................................. 6

CHAPTER II LITERATURE REVIEW ................................................................. 7

II.1 Theoretical Review ...................................................................................... 7

II.1.1Capital Market ................................................................................................ 7

II.1.2 Fundamental Analysis ...................................................................... 9

II.1.3 Financial Ratio ............................................................................... 11

II.1.4 Stock ............................................................................................... 13

II.1.4.1 Stock Price ..................................................................................... 14

II.1.5 Price-to-Book Value (PBV) ........................................................... 16

II.1.6 Debt-to-Equity Ratio (DER) .......................................................... 18

II.1.7 Return On Equity (ROE) ................................................................ 19

II.2 Previous Research .................................................................................. 20

II.3 Theoretical Framework ......................................................................... 21

II.4 Hypothesis ............................................................................................. 21

viii

II.4.1 Price-to-Book Value....................................................................... 21

II.4.2 Debt-to-Equity Ratio ...................................................................... 22

II.4.3 Return On Equity ........................................................................... 22

II.4.4 Price-to-Book Value, Debt-to-Equity Ratio, and Return On Equity

……………………………………………………………………..22

CHAPTER IIIRESEARCH METHODOLOGY .................................................. 23

III.1 Research Method .................................................................................... 23

III.2. Operational Definition ............................................................................ 23

III.2.1 Dependent Variable ......................................................................... 23

III.2.2. Independent Variables ..................................................................... 24

III.2.2.1 Price-to-Book Value ................................................................ 24

III.2.2.2 Debt-to-Equity Ratio .................................................................... 24

III.2.2.3 Return On Equity ..................................................................... 25

III.3 Research Instrument .................................................................................. 26

III.4. Sampling Design .................................................................................... 27

III.4.1 Populations and Sample .................................................................. 27

III.4.2 Data Collections and Data Sources ................................................. 28

III.5. Data Analysis ......................................................................................... 28

III.5.1. Classical Assumption Tests ............................................................ 28

III.5.1.1 Multicollinearity Tests ................................................................. 28

III.5.1.2 Heteroscedasticity Tests ............................................................... 29

III.5.1.3 Normality Tests ............................................................................ 30

III.5.1.4 Autocorellation Test ..................................................................... 30

III.5.2 Descriptive Analysis ........................................................................... 31

III.5.3. Hypothesis Tests ................................................................................ 31

III.5.3.1 Simultaneous Test (F-statistical Tests) ........................................ 31

III.5.3.2 t-Statistical Tests .......................................................................... 32

III.5.3.3 Coefficient of Determination (R Square) ..................................... 32

III.5.4 Multiple Regression Analysis ............................................................. 33

III.5.5 Operational Procedures ....................................................................... 34

CHAPTER IV DATA ANALYSIS AND INTERPRETATION OF RESULTS 35

IV.1 Research Samples and Data ..................................................................... 35

ix

IV.2. Data Analysis ......................................................................................... 36

IV.2.1. Classic Assumption Tests .................................................................. 36

IV.2.1.1 Multicollinearity Tests ................................................................. 36

IV.2.1.2 Heteroscedasticity ........................................................................ 38

IV.2.1.3 Normality Tests ............................................................................ 40

IV.2.1.4 Autocorrelation Tests ................................................................... 42

IV.2.2. Descriptive Analysis .......................................................................... 43

IV.2.2.1. Trend of Companies’ Stock Price, Price-to-Book Value ............ 45

IV.2.2.1.1 Trend of the Companies’Stock Price for the period 2010-

2014.........................................................................................................45

IV.2.2.1.2 Trend of Price-to-Book Value for the period2010-2014. ..... 47

IV.2.2.1.3 Trend of Debt-to-Equity Ratio for the period 2010-2014 ..... 48

IV.2.2.1.4 Trend of Return On Equity for the period 2010-2014 .......... 49

IV.3 Hypothesis Test ...................................................................................... 50

IV.3.1 Simultaneous Tests (F-tests) ........................................................... 50

IV.3.2. Partial Tests (t-Statical Test) ........................................................... 51

IV.3.2.1 PBV toward Stock Price .............................................................. 51

IV.3.2.2 DER toward Stock Price .............................................................. 52

IV.3.2.3 ROE toward Stock Price .............................................................. 53

IV.3.3 Coefficient of Determination (R2) ...................................................... 54

IV.4 Multiple Regression Analysis ................................................................... 54

IV.5. Interpretation of Results ......................................................................... 55

IV.5.1 Price-to-Book Value (PBV) ............................................................ 55

IV.5.2 Debt-to-Equity Ratio (DER) ............................................................... 56

IV.5.3 Return On Equity (ROE) .................................................................... 57

CHAPTERV CONCLUSIONS AND RECOMMENDATIONS ......................... 58

V.1 Conclusions ............................................................................................. 58

V.2 Recommendations ................................................................................... 58

LIST OF REFERENCES ...................................................................................... 60

APPENDICES ...................................................................................................... 63

x

LIST OF TABLE

Table 2.1 Previous Research …………………..………………….…………..20

Table 3.1Research Variables and Measurement …………………..….…….. 26

Table 3.2Data Sampling Process…………………….………….….….………27

Table 4.1Sample Companies…………………..……………….………..…….35

Table 4.2Multicollinearity Tests……………………..……….….….………...37

Table 4.3Glejser Tests……………………….……….…………….………….39

Table 4.4Kolmogorov-Smirnov Test………………….……………………….41

Table 4.5Auocorrelation Tests………………………………..……………….42

Table 4.6Durbin WatsonTable …………………………………..…………... 42

Table 4.7Descriptive Statistics…………………………..…………………….43

Table 4.8The Result of Simultaneous Testing……….....……………..………50

Table 4.9Output for PBV and Stock Price………………………..…………...51

Table 4.10Output for DER and Stock Price…………………………………...52

Table 4.11Output for ROE and Stock Price……………….…………………..53

Table 4.12Results of Determination of Regression Mode…….……………....54

Table 4.13Coefficient for Multiple Regression Equation Model..………….....55

xi

LIST OF FIGURE

Figure 1.1Jakarta Composite Index and Sectoral Indices Movement……………2

Figure 2.1Framework for Financial Analysis…………...……….…………....…11

Figure 2.2 Theoritical Framework…………………………………...…...….….21

Figure 3.1Operational Procedure……………………………....………………...34

Figure 4.1Scatter Plot……………………………………....……………………38

Figure 4.2Normal P-P Plot………………………………….....………………...40

Figure 4.3Stock Price of Property, Real Estate, and Building Construction

Companies for the Period 2010-2014 …………………………..………………46

Figure 4.4Price-to-Book Value of Property, Real Estate, and Building

Construction Companies for the Period 2010-2014

………………………………….…………………………...………………...…47

Figure 4.5Debt-to-Equity Ratio of Property, Real Estate, and Building

Construction Companies for the Period 2010-2014 ……………………………48

Figure 4.6Return On Equity of Property, Real Estate, and Building Construction

Companies for the Period 2010-2014 …………………………..………………49

xii

LIST OF ACRONYMS

ASRI Alam Sutera Realty Tbk.

BAPA Bekasi Asri Pemula Tbk.

BAPEPAM Badan Pengawas Pasar Modal

BIPP Bhuwantala Indah Permai Tbk.

BKDP Bukit Darmo Property Tbk.

BKSL Sentul City Tbk.

COWL Cowell Development Tbk.

CSP Closing Stock Price

DER Debt-to-Equity Ratio

DGIK Nusa Konstruksi Enjiniring Tbk.

DW-Tests Durbin-Watson Tests

ELTY Bakrieland Development

FMII Fortune Mate Indonesia

GPRA Perdana Gapuraprima Tbk.

IDX Indonesia Stock Exchange

K-S Tests Kolmogorov-Smirnov Tests

KIJA Kawasan Industri Jababeka Tbk.

LAMI Lamicitra Nusantara Tbk.

LCGP Eureka Prima Jakarta Tbk.

MDLN Modernland Realty Ltd.

xiii

OMRE Indonesia Prima Property Tbk.

P-P plot Probability Plot

P-value Probability Value

PBV Price-to-Book Value

RBMS Ristia Bintang Mahkotasejati Tbk.

RODA Pikko Land Development Tbk.

ROE Return On Equity

Sig. value Significance of Value

SMDM Suryamas Dutamakmur Tbk.

SPSS Statistical Package for the Social Science

VIF Variance Inflation Factor

1

CHAPTER I

INTRODUCTION

I.1 Research Background

In order to expand its business, company needs additional capital

from the other party. It can be from shareholders, investors, and creditors.

Company will get this capital through the debt or share. Capital market is a

place to get the additional capital. In the capital market, the products such

asbonds, stock, mutual funds, and derivative instruments that investor sold

and bought.

For investor who has invested fund in stock, price is a factor that

should be considered in making investment decisions. Stock price

indicates companies performance, because stock price reflected the

performance of the company. As long as the income of company

increased, investors’income also increased, which is called a

return.According to Reilly and Brown (1997) in research by Marangu and

Jagongo (2014),stated that the primary objectives of investors is to

maximize return and minimize risk. A method of investors to value their

asset is based on the earnings that they could anticipate from their

investment, and their expectationof their investment that enables them in

making a decisionwhether to sell, buy, or hold certain assets.

In capital market, the stock price is influenced by the demand and

supply of its stock that spread in the market. Even though the economic

conditions is unstable yet, still there are several investors that are

interested to invest in several sectors listed in Indonesia Stock Exchange,

especially property, real estate, and building construction sector. This

sector showed a quite rapid growth in Indonesia (www.idx.co.id).

The highest growth is property, real estate, and building

construction sectorindices performance in 2014 compare to other sectors.

During 2014, the highest point is 55.76% for property, real estate, and

building construction sector.But, for the finance sector is 35.41%,

2

Infrastructure is 24.71%, Jakarta Composite Index is 22.29%, Consumer is

22.21%, Trade is 13.11%, Basic Industry is 13.09%, Agriculture is 9.86%,

Miscellaneous Industry is 8.47%, and Mining is -4.22% (www.idx.co.id).

Figure 1.1

Jakarta Composite Index and Sectoral Indices Movement

(Source: IDX Annually Statistics, 2014).

Although property and real estate sector promises good prospects,

investors have to be aware of factors that will affect their stock price.

Information is needed by investors to maximize return and minimize risk.

From the financial statement, there are several informations that are

needed by investor in decision-making. Investors can obtain optimal

benefit from financial statement informations, if investor able to analyse it

further by analysing company’s financial ratio (Penman, 1991). Financial

statement information is also known as company’s fundamentals. As

stated by Kothari (2001), “Fundamental analysis involves the use of

current and past financial statements in conjunction with industry and

economic data in order to determine firms’ intrinsic value and identify

mispriced securities”.

3

Financial ratio in the financial statement information is often called

as fundamental factors that can be determined using fundamental analysis.

In addition, information that is needed by investors in capital market

consists of two informations, such as technical informations and

fundamental informations (Fabozzi, 1999(cited in Pasaribu, R.B.F., 2008).

The economic conditions, and social and politics issues in a country are

the technical information used to analyse technical analysis that derives

from the external company. But, information derives from internal

company, especially company’s financial conditions in doing stock

transactions listed in Indonesia stock exchange called as fundamental

informations.

Fundamental analysis is one of the method for analysing

company’s stock prices using historical accounting and financial data.

Moreover, this analysis enables investors to get more understanding about

key value drivers in a company, such as company’s stock price that is

strongly influenced by company’s fundamentals (Bauman, 1996). A

research by Pinto, et al. (2013) in research byFredrick and Muiva(2015),

stated that assets, profitability, financial strength, risk or growth are the

characteristics of company, which are defined as fundamentals.

In order to invest fund, an excellent performance of shares is what

fund managers and investors are seeking for.Based on research by

Senchack and Martin (1987) in research by Marangu and Jagongo (2014),

stated that this performance valued by investor through financial statement

variables. For instance, price to book value ratio (PBV Ratio), price

earnings ratio (PE Ratio), dividend yield, market capitalization, and

earnings momentum.However, fund managers and investors commonly

use price to book value to determine the value of stock (Pandey,

2000(Cited in Marangu and Jagongo, 2014). The higher the PBV is

meaning that the market more trust on the prospect of that company

(Weston and Brigham, 2005, p.306(Cited in Najmiyah et al., 2014).This

market trust makes the stock price of companies’ value also higher.

4

Besides PBV, Debt to Equity Ratio (DER) is also used in

fundamental analysis.A research by Garrison, Noreen and Brewster

(2009:738), “Long-term creditors arealso concerned with a company’s

ability to keepa reasonable balance between its debt and equity”.The

balance aboves can be measured by the DER. DER shows in what position

the solvency of company is.Higher DER tends to decrease stock price,

because it means that the company’s business facing higher risk.

Another financial ratio used in fundamental analysis is Return On

Equity (ROE). According to Van Horne and Wachowicz (2008:150),

stated that ROE is a financial ratio that is commonly used to measure

company’s performance, especially company’s profitability. If the

company profitable, investors interested to invest their fund in that

company. That makes stock price will increase.

Based on the background study that explains how price-to-book

value, debt-to-equity ratio, and return on equity influence stock price, the

writer is interested to do a research with the title: “THE INFLUENCE OF

PRICE-TO-BOOK VALUE, DEBT-TO-EQUITY RATIO, AND

RETURN ON EQUITY TOWARDS STOCK PRICE IN PROPERTY,

REAL ESTATE, AND BUILDING CONSTRUCTION COMPANY

LISTED IN INDONESIA STOCK EXCHANGE (FOR THE PERIOD

2010-2014)”

I.2 Problems Identification and Statement

In this research, the writer would like to discuss the influence of

price-to-book value, debt-to-equity ratio, and return on equity as

company’s fundamental variablestowards stock pricein property, real

estate, and building construction company listed in Indonesia Stock

Exchange. The following are the problems derived from research

background in accordance with that topic:

5

1. Does price-to-book value has any significant influence on stock

pricein property, real estate, and building construction company

listed in Indonesia Stock Exchange?

2. Does debt-to-equity ratio has any significant influence on stock

pricein property, real estate, and building construction company

listed in Indonesia Stock Exchange?

3. Does return on equity has any significant influence on stock pricein

property, real estate, and building construction company listed in

Indonesia Stock Exchange?

4. Do price to book value, debt-to-equity ratio, return on equityhave

any significant influence on stock price in property, real estate, and

building constructioncompany listed in Indonesia Stock

Exchangesimultaneously?

I.3 Research Objectives

The research objective is related to answer the problem statement

of this research, so the research objectives are:

1. To analyse the influence of theprice-to-book value on stock pricein


Indonesia Stock Exchange.

2. To analyse the influence of the debt-to-equity ratio on stock pricein



3. To analyse the influence of the return on equity on stock pricein



4. To analyse the influence of the price-to-book value, debt-to-equity

ratio, and return on equity on stock pricein property, real estate,

and building construction company listed in Indonesia Stock

Exchangesimultaneously.

6

I.4 Research Benefits

The writer expected to give several benefits not only to the writer,

but also to the investor and future research. The benefits are:

1. Forthe writer, this research gives additional knowledge whether there

is an influence of the price-to-book value, debt-to-equity ratio, and

return on equity as company’s fundamentals on stock pricein property,

real estate, and building construction company listed in Indonesia

Stock Exchange.

2. For the investors, this research is used to investors to get information

about fundamental variables that influence stock price in property, real

estate, and building constructioncompany listed in Indonesia Stock

Exchange, and help the investors in decision-making on their

investment.

3. For the future research, this research can be as a reference to do the

research that is related to the influence ofprice-to-book value, debt-to-

equity ratio, and return on equity towards stock price in property, real


Exchange.

I.5 Research Scope and Limitations

This research is going to discuss the influence of price-to-book

value, debt-to-equity ratio, and return on equity on stock price in property,

real estate, and building construction sector for the period 2010 -

2014.However, the sample selected is only for several listed company that

meets research criteria under property, real estate, and building

construction sector in Indonesia Stock Exchange. The research period is

only from 2010 to 2014, which is 5 years. Moreover, the fundamental

variables used consists of three: price-to-book value, debt-to-equity-ratio,

and return on equity, the other fundamental variables are not discuss in

this research.

7

CHAPTER II

LITERATURE REVIEW

II.1 Theoretical Review

II.1.1 Capital Market

According to article 1 number 13, law number 8 in 1995,

capital market is trading activity and activity of offering securities

to the public, and the public company’s activity related to the

securities issued, and institution and professions related to the

securities (www.bapepam.go.id). Capital market is the place where

investor as the one who wants to invest its fund, and issuer the one

who needs that fund are met. This investor will give its fund to the

issuer and expect that the stock performance of a company

improves continuously.

There are several capital market instruments in Indonesia,

such as stocks, bonds, rights, warrant, stock index futures, mutual

funds, and time deposit (www.bapepam.go.id). This capital market

expects to boost company’s business. As stock market organized

the movement of savings, at the same time, it allocates pretty much

proportion of savings to the company with high rates of return on

investment and low levels of investment risk (Acquah-Sam and

Salami, 2013). By having high return on investment and low level

of risk, it makes investor is interested to participate in capital

market.

According to Brown,et al. (2008) and Brown and Taylor

(2010) in research by Acquah-Sam and Salami (2013), appointed

that the power of word-of-mouth from one person to another

person has greater impact to market participation in sociable

communities. According to peer-effects theory, investor is more

http://www.bapepam.go.id/

8

interesting to join in a market that has higher rates of market

participant (Hong, et al. 2004(Cited in Acquah-Sam and Salami,

2013). Due to many investors join in certain securities, it makes

stock prices of that security higher.

According to Article 1 number 5, law number 8 in 1995,

promissory notes, commercial paper, shares, bonds, evidences of

indebtedness, participation units of collective investment contracts,

future contracts that related to securities, and all derivative of

securities are categorized as securities (www.bapepam.go.id).

In order to sell securities, there are several ways to do it.

Generally, sales are made in accordance with the type or form of

the capital markets in which the securities are traded. According to

Samsul (46:2006), there are four types of capital market: 1)

Primary Market, 2) Secondary Market, 3) Third Market, and 4)

Fourth Market.

1. Primary Market

In this type of market, this market is a place for

initial public offerings company to sell its stock before

its stock is listed in stock exchange. Investor, who

would like to buy the stock, just buys it directly from

the underwriter or from the stockbroker with the

payment at the same time. The stockbroker is the one

who appointed by underwriter, it could be from

securities company, cooperative, and foundation.

Underwriter is also the one who determined the stock

prices.

2. Secondary Market

In this type of market, trading stock incurs

between investor itself and stock prices determined by

investor through stockbroker. Where the stock market

price determined by the sales bid and purchase bid of

investor, called as order driven market.

http://www.bapepam.go.id/

9

3. Third Market

In third market, trading of securities or stock

incurs between the market maker (member of stock

exchange) and investor itself, the stock prices

determined by market maker. Investor can select market

maker that gives the best price. This market maker will

compete in determining stock price, because more than

one market maker markets one type of stock. For

instance, stock “ABC” is traded by 50 market makers,

but stock “RST” is traded by 30 market makers. Then,

the price of the stock traded can be seen in information

computer of securities company. However, this type of

market is still not exist in Indonesia, but has existed in

United States (Samsul, 2006, p.49).

4. Fourth Market

In this fourth market, this is place where trading

activity incurs between investor itself by face-to-face

without any stockbroker. This trading also can be done

by electronic communication network (ECN), if traders

have stock and fund in central custodian and central

clearing house. The traders in this market will register

as a member of ECN, central custodian, and central

clearing. According to Samsul (2006:50), this fourth

market only for “big investor” because in this market,

cost of the transactions that investor spends is less than

they spend in the secondary market.

II.1.2 Fundamental Analysis

Fundamental analysis is an analysis that helps investor in

assessing company’s equity value based on its financial statement

at which company’s securities are trading in the capital market

10

(Bauman, 1996, p.1). It enables investor to examine financial data,

management, business concept, and competition. This analysis

affects the prosperity of industry, groups, and companies (Fredrick

and Muiva, 2015). As stated by Kothari (2001), “Fundamental

analysis involves the use of current and past financial statements in

conjunction with industry and economic data in order to determine

firms’ intrinsic value and identify mispriced securities”.

In order to understand the main key drivers of company as

stock’s price that are very influenced by the company’s

fundamental (Bauman, 1996). According to research by Pinto, et al

(2013) in research by Fredrick and Muiva (2015), stated that

profitability, financial strength, risk or growth are the

characteristics of company that classified as company’s

fundamentals. They also argue that market assumptions and market

expectations on the company underlying fundamentals are

reflected by market price.

Based on research by Fama (1970) in research by Fredrick

and Muiva (2015), appointed that news about company economic

fundamentals as a key driver to assess stock market movement.

Investor can obtain more profit, especially when markets are fully

inefficient by identifying value relevant signals by using

fundamental analysis (Fredrick and Muiva, 2015).

According to Pierce-Brown (1998) in research by Seng and

Hancock (2012), stated that in decision-making on investment,

fundamental analysis is a good tool to perform. Both short-term

and long-term changes in future earning can be predicted by

fundamental signals (Seng and Hancock, 2012). By predicting the

changes in future earning, it also can give the predictions of the

stock price. Their research provides an evidence to support the use

of fundamental analysis.

11

Negotiation

with the

suppliers of

capital

Analyse of funds

needs of company

Analysis of

company’s financial

health and company’s

profitability

Analysis of

company’s business

risk

Determining the

financing needs of

company

II.1.3 Financial Ratio

Financial ratio is the ratio that derives from accounting

number by dividing certain number to the other number. Financial

analyst often uses financial ratio to check company’s financial

condition.

Figure 2.1

Framework for Financial Analysis

Source: Van Horne and Wachowicz, 2008, p.134.

Based on the framework established by Van Horne and

Wachowicz (2008:134) about framework for financial analysis,

stated that in order to meet the negotiation with the suppliers of

capital, company first must analyse of fund needs of the company,

analyse company’s financial condition and profitability, and

analyse company’s business risk. Then, those three will determine

the financing needs of the company. From the framework aboves,

12

investors or supplier of capital will give their fund, after they had

done the analysis of company’s financial condition and they will

use financial ratio to do that.

According to Van Horne and Wachowicz (2008:137-151),

described that there are two types of financial ratio based on the

object that is being analysed:

1. Balance Sheet Ratio

As its name balance sheet, it means that the

numerator and denominator of certain ratio come directly

from balance sheet. There are several ratios that are

classified as balance sheet ratios:

1. Liquidity Ratio, this ratio aims to measure company’s

ability to meet its short-term obligations.

2. Financial Leverage (Debt) Ratio, the ratio that shows

leverage of company and capital structure of the

company. This ratio shows the ability of company to

repay its obligations.

2. Income Statement and Income Statement/Balance Sheet

Ratio

Income statement ratio is a ratio that comparing one

account of income statement to other account of income

statement. Then, Income Statement/Balance Sheet Ratio is

when the numerator comes from income statement account

with balance sheet account as the denominator. There are

several ratios that are classified as Income Statement and

Income Statement/Balance Sheet Ratio:

1. Coverage Ratio, it is to link the financial charges of a

company to its ability to cover that charges.

2. Activity Ratio, this ratio is also known as turnover ratio.

It measures the effectiveness of the company in using

its assets.

13

3. Profitability Ratio, this is the ratio that shows the

profitability related to sales and profitability related to

investment.

According to Van Horne and Wachowicz (2008:136),

stated that there are two benefits of using financial ratios:

1. Internal comparison, by using financial ratio, investor can

compare current performance to previous performance and

expected future ratios within one company. This is to know

the proportion changes and determine whether there has

been improvement or deterioration in the company’s

financial condition and performance over time.

2. External comparisons and sources of industry ratio, due to

that the ratio is comparing one company to other similar

company or with the company that has industry average at

the same point, it helps investor to identify any significant

deviations from the standard (applicable industry average).

This type of comparison can make a realistic judgment.

Financial ratio is used to predict financial difficulties,

operations result, company’s financial conditions today and in the

future, and as a guideline for investor regarding past performance

and future performance (Horigan, 1965(cited in Tuasikal, 2001).

II.1.4 Stock

Stock is also called as share, it represents a company’s

ownership in terms of certificate by which company’s earnings

andassets only can be claimed by shareholder and only them that

entitled to claim it (Weygandt,et al., 2013, p.548). According to

Weygandt,et al.(2013:548,557,560-561), there are two types of

stocks:

1. Common Stock

This is one of securities that ordinarily used by issuers to

obtain funds from the public, it also the most popular stock

14

terms among other securities traded in capital market. There

are several characteristics of common stock:

Last claim on company’s assets in extent to number of

stocks held.

In the election of director, all shareholders in this type of

stocks have same rights on voting and other decisions

determined on shareholders’ meeting.

All shareholders entitled to earn dividend in accordance

with shareholders’ meeting approval.

Before the stocks are available to the public, shareholders in

type of stock have preemptive right to subscribe the

additional stock offerings.

2. Preferred Stock

These followings are the characteristics of the preferred

stock:

Dividend paid by shareholder in this type at a specified rate.

Has preference than common stocks in terms of liquidation

of assets.

Does not have voting rights.

Instead of those two types, there is also another type of

stock, which is treasury stock. Treasury stock is repurchased or

buyback stocks from shareholder by issuer, this type of stock do

not have dividend rights or voting rights (Weygandt,et al., 2013,

p.556).

II.1.4.1 Stock Price

News that are related to firm economic

fundamentals drives stock market movements (Fama,

1970). According to Fama (1970), “The price of stock at

any point in time reflects the market unbiased assessment

15

of the net present value of all future cash flows, discounted

at a rate commensurate with the riskiness of those cash

flows”. This cash flow is influenced by company’s

fundamentals and company’s business risk.

Stock price is determined by managerial actions,

economic environment, and political climate (Brigham and

Houston, 2007, p.9). Therefore, stock price is not only

influenced by the internal factors of the company, but also

the external factors, such as political climate and economic

environment. The economic environment that influenced

stock price, such as inflation and interest rate. Stock price is

also determined by the demand of investor. When the

demand for stock decrease, stock price will also decrease as

well (Dita and Murtaqi, 2014).

Efficient market hypothesis appointed that securities

are priced at price that reflect all publicly information on

each security (Fama, 1970). According to Fama (1970),

there are three levels of market efficiency:

1. Weak-form efficiency, at this level, current market

price reflects all relevant informations contained in

historical price.

2. Semistrong-form efficiency, all publicly available

information is reflected current market price.

3. Strong-form efficiency, all relevant informations

from publicly available or privately held, is reflected

current market price.

According to classical theory of stock price, stock

price depends on profit of the company, almost the same as

confidence theory (Iqbal, Khattak, and Khattak, 2013).

However, both classical theory and confidence theory sill

have their own concept. Classical theory depends on

16

statistical data, while confidence theory depends on

marketing psychology. Confidence theory explains that the

decrease or increase of stock price depends on the traders

and investor confidence in the future trend of stock prices,

profit and dividend (Iqbal, Khattak, and Khattak, 2013).

Another theory of stock price is conventional theory.

Based on this theory, stock price moves downward when

the fundamentals conditions are bad, then stock price moves

upward when the fundamentals conditions are good (Iqbal,

Khattak, and Khattak, 2013).

II.1.5 Price-to-Book Value (PBV)

Price-to-book value is one of market value ratio. Market

value ratio is groups of ratios that link company’s stock price to its

earnings, cash flow, and book value per share(Brigham and

Houston, 2007, p.115). Price-to-book value is also known as

market-to-book ratio or market value of equity to book value ratio

(Chaoparicha, Chan, and Pollard, 2007). They also argue that

price-to-book value is one of important ratio that indicates

powerful measures that divide stocks into value and growth stock.

The calculation of price-to-book value as follow:

Book value per share =Shareholders′𝐸𝑞𝑢𝑖𝑡𝑦

Share Outstanding

..........................................................................................(1)

From the equation (1), price-to-book value formula is:

Stock price per share

Book value per share

(Brigham and Houston, 2007, p.117).

17

Price-to-book value is an indicator for investor to

see company’s value (Brigham and Houston, 2007, p.117). Value

stock is signified by low price-to-book value and growth stock

signified by high price-to-book value (Chaoparicha, Chan, and

Pollard, 2007). In their research, they appointed, “Low Market-to-

Book ratio signifies value because for every stock investor buy,

there are relatively high underlying assets as reflected in the book

value of that stock. Unlike value stock, growth stock, which has

high Market-to-Book ratio, implies the opposite. Whatever factors

drive stock price until it is relatively high when compared to book

value/share, those factors are combined and labeled as growth”.

They also stated that low price-to-book value causes

underpriced stocks. It shows that the price-to-book value is

influences stock price. Dita and Murtaqi (2014), also agreed with

these, they stated that a high PBV ratio indicates overvalued stock,

and a lower PBV ratio indicates undervalued stock. Hence, for the

overvalued stock, it will decrease a demand for stock, this will

affect stock price to decrease, and undervalued stock is the

opposite (Dita and Murtaqi, 2014). However, a research by

Dahliana (2012), appointed that PBV has no significant influence

on stock price due to that PBV is not reliable enough to predict

stock market performance, if the macroeconomic conditions is on

the crisis state.

If price-to-book value is higher than 1.0, meaning that

companies will get more than their accounting book values caused

by investors are willing to pay more for the stocks (Brigham and

Houston, 2007, p.117). When accountants reported company’s

assets value, the value of company does not reflect either inflation

or “goodwill”. Therefore, company’s book value can be different

from market value (Brigham and Houston, 2007, p.117).

18

II.1.6 Debt-to-Equity Ratio (DER)

A research by Garrison, Noreen and Brewster (2009:738),

“Long-term creditors are also concerned with a company’s ability

to keep a reasonable balance between its debt and equity”. That

balances can be measured by the debt-to-equity ratio.

Debt-to-equity ratio is one of the balance sheet ratios that

show in what position the solvency of company is, and measures

company’s leverage. It indicates the ability of company’s equity to

pay its obligations. According to Van Horne and Wachowicz

(2008:140), to calculate the debt-to-equity ratio is the total debt of

the company (including current liabilities) divided by shareholders’

equity:

Total Debt

Shareholders′ equity

Capital structure of company is reflected in debt-to-equity

ratio (Riantani, et al., 2011). In order to maximize the value of the

firm, it is important for company to decide the best composition of

its capital. The lower the ratio, the higher the shareholders are

willing to finance the company (Van Horne and Wachowicz, 2008,

p.140).

Higher debt-to-equity ratio tends to decrease stock price,

because it means that the company’s business facing higher risk

(Riantani, et al., 2011).Dadrasmoghadam and Akbari (2015) also

agreed with that result. But, in research by Riantani, et al. (2011)

appointed that debt-to equity ratio has no significant influence on

stock price due to that a high debt-to-equity ratio shows the

company is using debt financing aggressively. This is could be a

good way to support long-term growth for the company, so it can

19

generate profit and stock price has not yet affected by the debt

level of the firm at the current period.

II.1.7 Return On Equity (ROE)

Return on equity is to measure how much return that

shareholders’ get from its investment (Brigham and Houston, 2007,

p.115). According to Van Horne and Wachowicz, (2008:150), to

calculate return on equity can be done by comparing net profit after

taxes (less preferred stock dividends, if any) with the shareholders’

equity:

Net profit after taxes


Company with the high return-on equity is the company’s

that attracts investor (Brigham and Houston, 2007, p.115). Strong

investment opportunities in a company and effective expense

management are reflected by higher return on equity (Van Horne

and Wachowicz, 2008, p.151). A higher return on equity has

positive correlation with high stock prices (Brigham and Houston,

2007, p.115). According to Vijitha and Nimalathasan (2014) is

appointed that return on equity and all relevance accounting

information has significant influence on stock price. A research by

Nurfadillah (2011) is also agreed with that research.

However, a high return on equity that derives from the

large amount of debt makes company’s stock price might be lower,

due to that prices that would be less debt and resulting a lower

return on equity (Brigham and Houston, 2007, p.115). Therefore, a

high return on equity that is arising from debt indicates as finance

risk (Van Horne and Wachowicz, 2008, p.151). This kind of return

on equity can decrease a stock price due to that the business facing

higher risk (Riantani, et al., 2011).

20

II.2 Previous Research

Table 2.1

Previous Research

Dependent Variable Dependent

Variable Finding

Dita and Murtaqi

(2014)

Stock Return Price-to-book value has

significant influence on

stock return, it is also

influence stock price as

well.

Chaoparicha, Chan,

and Pollard (2007)

Stock Return Price-to-book value has


stock return, so does stock

price.

Dadrasmoghadam

and Akbari (2015)

Stock Price Debt-to-equity ratio has


stock price.

Roswati (2007) in

research by Riantani,

et al. (2011)

Stock Price Debt-to-equity ratio has


stock price.

Nurfadillah (2011) Stock Price Return on equity has


stock price.

Vijitha and

Nimalathasan (2014)

Stock Price Return on equity has


stock price.

21

II.3 Theoretical Framework

Figure 2.2

Theoritical Framework

II.4 Hypothesis

II.4.1 Price-to-Book Value

Price-to-book value is an indicator for investor to see

company’s value (Brigham and Houston, 2007, p.117). According

to Dita and Murtaqi (2014) and Chaoparicha, Chan, and Pollard

(2007), stated that price-to-book value has significant influence on

stock return, meaning that is also influences stock price as well. By

considering a previous research by Dita and Murtaqi (2014) and

Chaoparicha, Chan, and Pollard (2007), the hypothesis for this

research as follows:

H1: Price-to book value has significant influence on stock price.

Price-to-Book

Value

(X1)

Debt-to-Equity

Ratio

(X2)

Stock Price

(Y)

Return on Equity

(X3)

H1

H2

H3

H4

22

II.4.2 Debt-to-Equity Ratio

A research by Garrison, Noreen and Brewster (2009:738),

“Long-term creditors are also concerned with a company’s ability

to keep a reasonable balance between its debt and equity”.

According to Dadrasmoghadam and Akbari (2015), stated that

debt-to-equity ratio has significant influence on stock price. As a

result of consideringprevious researchesby Roswati (2007) in

research by Riantani, et al. (2011) and a research by

Dadrasmoghadam and Akbari (2015), the hypothesis for this

research as follows:

H2: Debt-to-equity ratio has significant influence on stock price.

II.4.3 Return On Equity



p.115). Based on research by Perrera, et al. (2010)in research by

Vijitha and Nimalathasan (2014), appointed that return on equity

has significant influence on stock price. By considering previous

researches by Nurfadillah (2011),and Vijitha and Nimalathasan

(2014), the hypothesis for this research as follows:

H3: Return on equity has significant influence on stock price.

II.4.4 Price-to-Book Value, Debt-to-Equity Ratio, and Return On

Equity

H4: Price-to book, debt-to-equity ratio, and return on equity has

significant influence on stock price simultaneously.

23

CHAPTER III

RESEARCH METHODOLOGY

III.1 Research Method

According to Holme and Salvang (2001) in research by

Hubrechts and Kokturk (2012), appointed that there are two types of

research approach that can be used by the writer. According to Hubrechts

and Kokturk (2012) quantitative research methods is an objective and

systematic process, examines cause and relationship effect each variable

with the use of the deductive process of knowledge. Quantitative research

information is in the form of numbers in order to analyseit statically

(Holme and Salvang, 2001(Cited in Hubrechts and Kokturk, 2012). The

quantitative approach test theory with deductive process based on the

previous study or knowledge with hypothesized relationship (Duffy, 1985;

Burns and Grove, 2001(Cited in Hubrechts and Kokturk, 2012). Hence,

first step that writer doing in this research is explaining phenomena, then

identifying the problems regarding that phenomenon, and then collecting

the data. The data collected by writer is in the term of numbers and will be

analysed and process by using statistical analysis. So,this research is using

quantitative approach as research methodology, and using secondary data,

such as books, journal, working paper, and websites.

III.2. Operational Definition

III.2.1 Dependent Variable

In this research, the dependent variable is stock price inproperty,

real estate, and building construction company listed in Indonesia Stock

Exchange. Stock price used in this research is annual closingstock price

for each year. Stock price data is obtained fromwww.yahoofinance.com.

http://www.yahoofinance.com/

24

III.2.2. Independent Variables

Independent variable is variable that impacts the dependent

variable in either a positive or negative. These are the independent

variables used in this research: price-to-book value, debt-to-equity ratio,

and return on equity in company under property, real estate, and building

construction company listed in Indonesia Stock Exchange.

III.2.2.1 Price-to-Book Value

Price-to-book value is also called as market-to-book ratio

(Chaopricha, Chan, and Pollard, 2007).According to Brigham and

Houston (2007:116-117), price-to-book value is an indicator for

investor to see company’s value. It explains about the ratio of

market value to its book value.Price-to-book value can be

calculatedas follows:

Book value per share =Shareholders′𝐸𝑞𝑢𝑖𝑡𝑦

Share Outstanding

..........................................................................................(1)

From the equation (1), price-to-book valueformula is:

Stock price per share

Book value per share

III.2.2.2 Debt-to-Equity Ratio

Debt-to-equity ratio is the ratio that measure company’s

leverage. It indicates the proportion of the company to repay its

obligations by using its equity. Data for debt-to-equity ratio is

obtained from www.idx.co.id and annual report of each

company.According to Van Horne and Wachowicz (2008:140), to

http://www.idx.co.id/

25

calculatethe debt-to-equity ratio is the total debt of the company

(including current liabilities) divided by shareholders’ equity:

Total Debt


III.2.2.3 Return On Equity



p.115). Data for return on equity is obtained from www.idx.co.id

and annual report for each company.According to Van Horne and

Wachowicz (2008:150), to calculate return on equity can be done

by comparing net profit after taxes (less preferred stock dividends,

if any) with the shareholders’ equity:

Net profit after taxes



26

III.3 Research Instrument

Table 3.1

Research Variables and Measurement

No. Variable Variables Definition Symbol Scale Formula and Data Source

1. Stock

Price

Stock price used in this

research is annual stock

price for each year.

Y Nominal

(Rp/share)

Annual stock price

www.finance.yahoo.com

2. Price-to-

book

value

Price-to-book value

explains about the ratio

of market value to its

book value.

X1 Nominal

(Times)

PBV = stock price/share

Book value/share

(Van Horne and

Wachowicz, 2008, p.116-

117).

data sources:

www.idx.co.id., Annual

report for each company,

and company’s official

websites.

3. Debt-to-

equity

ratio

It indicates the

proportion of the

company to repay its

obligations by using its

equity.

X2 Ratio

(Percent)

Debt-to-equity ratio =

Total Debt


(Van Horne and

Wachowicz, 2008,

p.140).

data sources:




websites.

4. Return

on

Equity

Return on equity is to

measure how much

return that shareholders’

get from its investment

(Brigham and Houston,

2007, p.115).

X3 Ratio

(Percent)

Return on equity = Net profit after taxes


data sources:




websites.




27

III.4. Sampling Design

III.4.1 Populations and Sample

The populations of this research are company under property, real

estate, and building construction sector listed in Indonesia Stock Exchange

(IDX). The sample of this research is selected using purposive sampling.

The selected sample is the company that meet the criteria, these

followings are the criterias:

1. Company that is including in property, real estate, and building

construction sectorlisted in IDX.

2. The company that has audited financial statement and annual

report from the year 2010 to year 2014.

3. The selected company is company that never delisting from IDX.

4. The data of the company must available and complete.

This following table shows the process of data sampling:

Table 3.2

Data Sampling Process

Descriptions Number of

Companies

Listedcompanies in IDX for December 2014 509

Listed of Companies that are excluding from Property,

Real Estate, and Building Construction sector

(455)

Listed of Property, Real Estate, and Building

Construction sector companies

54


Construction companies that do not meet sample

criterias

(36)


Construction sector companies that meet sample

criterias

18

28

III.4.2 Data Collections and Data Sources

Based on the source and type of data used in this research, this

research is using secondary data. The data is obtained from IDX websites

(www.idx.co.id)from performance profile for each company,company’s

official website, annual report, and audited financial statements. Besides

those sources, journals, articles, workingpaper, and textbooks or ebooks

are used as the complementary sources in this research.

III.5. Data Analysis

In order to find out the relation between independent variable and

dependent variable, the writer has run multiple regression analysisby

usingStatistical Package for the Social and Science (SPSS) software

version 20. In this research, the research methods are using classical

assumptions, descriptive analysis, coefficient analysis, and hypothesis

testing.

III.5.1. Classical Assumption Tests

This test aims to know the condition of the data in this

research. Moreover, toget the proper model and resulting proper analysis.

Before using regression model, these followings are the test to ensure that

the data is meet requirement to use regression model:

1. Multicollinearity tests

2. Heteroscedasticity tests

3. Normality tests

4. Autocorrelation tests

III.5.1.1 Multicollinearity Tests

In order to detect whether there is multicollinearity in

regression model, it can be seen from tolerance value or variance


29

inflation factor (VIF). Both Tolerance and Variance Inflation Factor

(VIF) shows what independent variable that explains another

independent variable. Tolerance is used to measure variability of

independent variable chosen and cannot explain by another

independent variable. If the tolerance value is higher, the VIF value

is lower. It happens due to the VIF = 1/Tolerance. These followings

are the steps to ensure the data is free from multicollinearity:

1. VIF value is less than 10 (VIF<10)

2. Tolerance value is more than 0.1 (Tolerance>0.1)

III.5.1.2 Heteroscedasticity Tests

In order to get unbiased result and considerable result of

regression analysis, this research needs heteroscedasticity testing.

The aims of this testing is to find the differential variance of one

residual research to other researches. There are two conditions, if

variance from one residual research similar to another research, it

called as homoscedasticity or when each variable from error in

regression analysis become constant, if variance from one residual

differs from another researches, it called as heteroscedasticity or

when each variable from error in regression analysis is not constant.

A good regression model has no heteroscedasticity. This testing can

be done by Glejser tests. These followings are the factors in a

decision-making to determine heteroscedasticity:

1. If the coefficients of the parameter beta of the regression

equation is statistically significant, meaning that the empirical

data that being estimated contains heteroscedasticity.

2. If the probability of test score is not statistically significant, it

means that empirical data that being estimated has no

heteroscedasticity.

Besides of this test, this test will also use scatter plot graphs,

30

which is resulting from ZPRED and ZRESID in SPSS version 20.

III.5.1.3 Normality Tests

This test aims to know whether the data is normally

distributed. Probability Plot (P-P plot) in a regression analysis by

SPSS 20 is the tools used in this research. If the data is normally

distributed, there is diagonal line and the plotting data will follow the

diagonal line. Another test to test the normality of the data is

Kolmogorov-Smirnov testing (K-S). First, formulated the

hypothesis:

H0 : Residual data is normally distributed

H1 : Residual data is not normally distributed

These followings are the factors in a decision-making for the

hypothesis:

Significance level for alpha is 0.05 or 5%

H0 is rejected, if the P-value is less than alpha or P-value< 0.05

H0 is accepted, if the P-value is more than alpha or P-value >

0.05

III.5.1.4 Autocorellation Test

Autocorrelation test aims to test whether the regression

model has correlation between the residual (prediction error) in a

period t and residual (prediction error) in a period t-1. If there is

correlation, meaning that autocorrelation problem exists. A good

regression model has no autocorrelation problem. In order to detect

whether there is an autocorrelation in a regression model, this

research use Durbin-Watson test (DW-test) (Ghozali, 2013:110). In

order to run the test, make hypothesis first. The following is the

hypothesis:

31

H0 : There is an autocorrelation

H1 : There is no autocorrelation

The criteria to decide whether there is an autocorrelation as follow:

1. If 0 < d < dl = H0 is rejected, there is no positive autocorrelation.

2. If dl d du = Inconclusive, there is no positive autocorrelation.

3. If 4 – dl < d < 4 = H0 is rejected, there is no negative

autocorrelation.

4. If 4 – du d 4 – dl = Inconclusive, there is no negative

autocorrelation.

5. If du < d < 4 – du = H0 is accepted, there is no autocorrelation,

positive or negative.

III.5.2 Descriptive Analysis

In this analysis, stock price variable, price-to-book value, debt-to-

equity ratio, and return on equitywill show several output, that are: number

of observations (N), minimum, maximum, average (mean) and standard

deviation.

III.5.3. Hypothesis Tests

The hypothesis test is performed using the confidence level of 95%

or = 0.05.

III.5.3.1 Simultaneous Test (F-statistical Tests)

This test is to test coefficient in regression simultaneously.

This is used to know the influences of all independent variables

that are being test towards dependent variable simultaneously.

These followings are the hypotheses:

H0,1,2,3 : β1=0, β2=0, β3=0: PBV, DER, and ROE have no

significant influence on Stock Price simultaneously.

Ha1,2,3 : β10, β20, β30: PBV, DER, and ROE have

significant influence on Stock Price simultaneously.

32

H0 is rejected and H1 is accepted, if the value of Sig. shows in

ANOVA output is less than alpha, this research is used 0.05 as the

alpha. It can be formed as:

If Sig. > 0.05 = H0 is accepted, H1 is rejected.

If Sig. < 0.05 = H0 is rejected, H1 is accepted.

III.5.3.2 t-Statistical Tests

This test aims to determine whether independent variables

(price-to-book value, debt-to-equity ratio, and return on equity)

influence dependent variable (stock price) significantly. The

hypotheses that are used in this research are:

If Sig. > 0.05, accept H0

If Sig. < 0.05, reject H0

So, hypotheses in this research can be formulated as:

• H0,1 : β1=0:PBVhas no significant influences on Stock Price.

Ha1 : β10:PBVhas significant influences on Stock Price.

• H0,2 : β2=0: DERhas no significant influences on Stock Price.

Ha2 : β2 0:DERhas significant influences on Stock Price.

• H0,3 : β3=0:ROEhas no significant influences on Stock Price.

Ha3 : β30:ROE has significant influences on Stock Price.

III.5.3.3 Coefficient of Determination (R Square)

Coefficient of determination is to measure goodness of fit

of the regression model in set of data(Gujarati, 2004, p.81).

According to Gujarati (2004:84) r2 as the (sample) coefficient of

determination, “measures the proportion or percentage of the total

variation in Y explained by the regression model”. If r2is closer to

1, meaning that the model has perfect fit. However, if r2is closer to

0, meaning that there is no relationship between dependent variable

33

and independent variable (Gujarati, 2004, p.84).

III.5.4 Multiple Regression Analysis

According to Gujarati (2004:18), “Regression analysis is

concerned with the study of the dependence of one variable, the dependent

variable, on one or more other variables, the explanatory variables, with a

view to estimating and/or predicting the (population) mean or average

value of the former in terms of the known or fixed (in repeated sampling)

values of the latter)”. Simple regression analysis is an analysis for one

independent variable (one explanatory variable), whereas multiple

regression analysis is an analysis for more than one independent variable

(two explanatory variable or more) (Gujarati, 2004, p.24-25). Based on

this theory, so this research is using multiple regression analysis with one

dependent variable and three independent variables.

This following is the equation for multiple linear regressions:

𝑌 = 𝛽𝑜 + 𝛽1𝑋1 + 𝛽2𝑋2 + 𝛽3𝑋3 + 𝜀

Where,

𝑌 : Stock price (Rp/Share)

𝛽𝑜 : Constant term

𝛽1…𝛽3 : Regression coefficient

𝑋1 : Price-to-book value (X)

𝑋2 : Debt-to-equity ratio (%)

𝑋3 : Return on Equity (%)

: Error term

From the equation aboves, Y is the dependent variable that linear

regression will predict the value by given the value of independent

variables, which are X1…X4.

34

III.5.5 Operational Procedures

The following figure 3.1 is the operational procedure used in this

research:

Figure 3.1

Operational Procedure

Obtain data

Variable measurement

(price-to-book value, debt-

to-equity ratio, and return on

equity)

Data processing

(using SPSS 20)

Analyse the result and

interpret the result

Select population

Select sample

Data collection

(Secondary data)

Conclusion

35

CHAPTER IV

DATA ANALYSIS AND INTERPRETATION OF

RESULTS

IV.1 Research Samples and Data

The sample of this research is company under property, real estate,

and building construction sector listed in IDX. In 2014, listed companies

are 509 companies, 54 of the 509 companies are listed companies under

property, real estate, and building construction sector. Therefore, total

samples in this research are 18 companies, due to that 36 of 54 companies

do not meet sample criterias. This following table is the sample of this

research that meet sample criteria:

Table 4.1

Sample Companies

No. Code Name of Company

1. BAPA Bekasi Asri Pemula Tbk.

2. BKDP Bukit Darmo Property Tbk.

3. BKSL Sentul City Tbk.

4. COWL Cowell Development Tbk.

5. BIPP Bhuwanatala Indah Permai Tbk.

6. DGIK Nusa Konstruksi Enjiniring Tbk.

7. ELTY Bakrieland Development Tbk.

8. FMII Fortune Mate Indonesia Tbk.

9. GPRA Perdana Gapuraprima Tbk.

10. KIJA Kawasan Industri Jababeka Tbk.

11. LAMI Lamicitra Nusantara Tbk.

12. LCGP Eureka Prima Jakarta Tbk.

13. OMRE Indonesia Prima Property Tbk

36

This research consist of one dependent variable that is stock price,

and three independent variables, such as price-to-book value, debt-to-

equity ratio, and return on equity. The dependent variable data is obtained

from www.yahoofinance.com. Then, the independent variables data are

obtained from www.idx.co.id, company’s official websites, and annual

report for each company.In this research, the research methods are using

classical assumptions, descriptive analysis, coefficient analysis, and

hypothesis testing by using SPSS 20.

IV.2. Data Analysis

IV.2.1. Classic Assumption Tests

Classic assumption test is required to be performed before using

multiple regression analysis. Normality test, autocorrelation test,

multicollinearity test and heterosdekasticity test will be used to fulfilled

the classic assumption test in this research.

IV.2.1.1 Multicollinearity Tests

In order to know whether the data has multicollinearity

symptoms in a research, Tolerance and Variance Inflation Factor

(VIF) is the solution to know that. Both Tolerance and Variance

Inflation Factor (VIF) shows what independent variable that

explains another independent variable. Tolerance is used to

measure variability of independent variable chosen and cannot

explain by another independent variable. If the tolerance value is

14. RBMS Ristia Bintang Mahkotasejati Tbk.

15. RODA Pikko Land Development Tbk.

16. SMDM Suryamas Dutamakmur Tbk.

17. ASRI Alam Sutera Realty Tbk.

18. MDLN Modernland Realty Ltd.

http://www.yahoofinance.com/


37

higher, the VIF value is lower. It happens due to the VIF =

1/Tolerance. The data can be said free of multicollinearity if:

1. VIF value is less than 10 (VIF<10)

2. Tolerance value is more than 0.1 (Tolerance>0.1)

Table 4.2

Multicollinearity Tests

Coefficientsa

Source: SPSS 20 (See Appendix)

The Tolerance value and VIF value output shows that there

is no multicollinearity for three independent variables above. These

are the reasons why the independent variables are free from

multicollinearity:

1. PBV

VIF value < 10 or 1.113< 10

Tolerance > 0.1 or 0.898> 0.1

2. DER

VIF value < 10 or 1.307 < 10

Tolerance > 0.1 or 0.765> 0.1

3. ROE

VIF value < 10 or 1.214 < 10

Tolerance > 0.1 or 0.824> 0.1

38

So, multicollinearity problem has been solved. By doing so,

the data meet the criteria to use regression model.

IV.2.1.2 Heteroscedasticity

In order to get unbiased result and considerable result of

regression analysis, this research needs heteroscedasticity testing.

The aims of this testing is to find the differential variance of one

residual research to other researches. There are two conditions, if

variance from one residual research similar to another research, it

called as homoscedasticity or when each variable from error in

regression analysis become constant, if variance from one residual

differs from another researches, it called as heteroscedasticity or

when each variable from error in regression analysis is not

constant. A good regression model has no heteroscedasticity.

To determine whether there is heteroscedasticity between

the independent variables, it can be seen from the scatterplot

between the predicted value of the dependent variable with its

residual. The scatterplot result can be seen below:

Figure 4.1

Scatter Plot


39

The scatterplot above shows that the data (or dot) spread

evenly above and below the zero line, does not gather in one place,

and does not form a specific pattern. So that, it can be concluded

that the heteroscedasticity problem does not exist in this data or the

data is homoscedasticity. However, there is data (or dot) that does

not spread evenly due to that the value of each independent

variable, which are PBV, DER, and ROE has the same amount in a

certain year for all of companies that are being sampled in this

research. Hence, heteroscedasticity problem has been solved. By

doing so, multiple regression model can be used in this research.

Another test to heteroscedasticity testing used in this

research is Glejser test. The purpose of this test is to aim the test

whether the regression model occurred inequality residual variance

from one observation to another observation. To test whether there

is heteroscedasticity in this test, this following is hypotheses to be

tested:

H0: There is no heteroscedasticity

H1: There is heteroscedasticity

Reject H0, if the significance value < alpha (0.05)

Table 4.3

Glejser Tests

Coefficientsa


40

Based on the output above, it can be seen that the

significance value of PBV, DER, and ROE are 1.000, which is

more than the alpha or 1.000 > 0.05 , then H0 is accepted. It means

there is no heteroscedasticity problem for those three variables.

IV.2.1.3 Normality Tests

This test aims to know whether data is normally distributed.

Probability-Plot in regression model by SPSS 20 can be used in

this test. If the data is normally distributed, there is diagonal line

and the plotting data will follow the diagonal line. First, formulated

the hypothesis:

H0 : Residual data is normally distributed

H1 : Residual data is not normally distributed

Figure 4.2

Normal P-P Plot


41

Based on the Normal P-Plot above, it can be concluded that

the pattern of the graph is normal due to that dots spread around

the diagonal line and the spread is following the direction of

diagonal line. Based on the Normal P-Plot appointed that the

regression model is appropriate to use in this research due to fulfill

the normality testing.

Another test to test the normality of the data is

Kolmogorov-Smirnov testing (K-S). These followings are the

factors in a decision-making for the hypothesis:

1. Significance level for alpha is 0.05 or 5%.

2. H0 is rejected or H1 is accepted, if the P-value is less than alpha

or Asymp. Sig. (2-tailed) < 0.05.

3. H0 is accepted or H1 is rejected if the P value is more than

alpha or Asymp. Sig. (2-tailed) > 0.05.

Table 4.4

Kolmogorov-Smirnov Test


Based on the table above, the p-value or Asymp. Sig. (2-

tailed) of Kolmogorov-Smirnov is 0.324. It means, H0 is accepted

or H1 is rejected because p-value > alpha or 0.324 > 0.05. It can be

42

concluded that the data is normally distributed. Hence, the data has

been met the criteria to use regression model.

IV.2.1.4 Autocorrelation Tests

In order to know whether there is an autocorrelation in

regression model, Durbin Watson is the model used in this

research. The result of autocorrelation testing by using SPSS 20

shows in a table below:

Table 4.5

Auocorrelation Tests

Model Summaryb


Table 4.6

Durbin WatsonTable

K=3

N dL dU

90 1.59 1.73

43

Based on the output of the table, 0 < d < dLor 0 < 1.329 <

1.59. Hence, there is no autocorrelation problems occur in the data.

The data has been met the criteria to use regression model.

IV.2.2. Descriptive Analysis

This research is using independent variable and dependent

variable. Dependent variable (Y) in this research is stock price.

Then, the independent variables (X) in this research are PBV,

DER, and ROE. The independent variables are the variable that

influences dependent variable.

In this analysis tools, general picture of the world oil price

variable, inflation, exchange rate and stock returns is the sheer

number of observations (N), minimum, maximum, average (mean)

and standard deviation.

The summary of the data shown in a table below:

Table 4.7

Descriptive Statistics


Based on table above, the sample of companies that are

listed under property, real estate, and building construction sector

have minimum value of stock price in the amount of

Rp50.00/share. Then, the maximum value of stock price is

Rp640.00/share, and the average of stock price of all companies

are Rp209.26/share.

44

First, price-to-book value, the sample of companies that are

listed under property, real estate, and building construction

sectorhave minimum value of the price book value is 0.22, and the

maximum value is 4.40. Then, for average of price-to-book value

is 1.127

Second, debt-to-equity ratio, the sample of companies that

are listed under property, real estate, and building construction

sectorhavethe minimum value of debt equity ratio is -0.11 or -11%,

and the maximum value is 1.73 or 173%. Then, the average of

debt-to-equity ratio is 0.47 or 47%.

Another one is return on equity, the sample of companies

that are listed under property, real estate, and building construction

sectorhave the minimum value of return on equity is -0.27 or -27%,

and the maximum value of return on equity is 1.83 or 183%. Then,

for average of return on equity is 0.252 or 25.20%.

45

IV.2.2.1. Trend of Companies’ Stock Price, Price-to-Book Value,

Debt-to-Equity Ratio, and Return on Equity for the period

2010-2014.

IV.2.2.1.1 Trend of the Companies’Stock Price for the period

2010-2014.

46

Figure 4.3

Stock Price of Property, Real Estate, and Building


From the figure and table above, it shows the

volatility of stock price of companies from 2010 to 2014.

The highest stock price is Rp640/share in 2012, which is

Modernland Realty Ltd. (MDLN). However, the lowest

stock price is Rp50/share during the year 2010 - 2014, and

the companies are Bhuwanatala Indah Permai Tbk. (BIPP),

Eureka Prima Jakarta Tbk. (LCGP), Pikko Land

Development Tbk. (RODA), Sentul City Tbk. (BKSL),

2010 2011 2012 2013 2014

BAPA 250.00 148.00 139.00 66.00 50.00

BKDP 116.00 115.00 101.00 90.00 95.00

BKSL 109.00 50.00 88.00 80.00 98.00

COWL 122.00 265.00 189.00 157.00 104.00

BIPP 50.00 235.00 143.00 470.00 625.00

DGIK 146.00 89.00 144.00 150.00 179.00

ELTY 157.00 54.00 50.00 50.00 50.00

FMII 90.00 103.00 245.00 385.00 449.00

GPRA 134.00 156.00 100.00 151.00 299.00

KIJA 120.00 190.00 200.00 193.00 295.00

LAMI 95.00 225.00 215.00 177.00 278.00

LCGP 50.00 59.00 150.00 285.00 600.00

O MRE 170.00 265.00 335.00 340.00 340.00

RBMS 81.00 86.00 140.00 91.00 88.00

RODA 50.00 225.00 325.00 450.00 463.00

SMDM 101.00 130.00 191.00 190.00 124.00

ASRI 295.00 460.00 600.00 430.00 560.00

MDLN 245.00 240.00 640.00 390.00 520.00

-

100.00

200.00

300.00

400.00

500.00

600.00

700.00

STO

CK

PR

ICE

47

Bakrieland Development Tbk. (ELTY), and Bekasi Asri

Pemula Tbk (BAPA).

IV.2.2.1.2 Trend of Price-to-Book Value for the period2010-

2014.

Figure 4.4

Price-to-Book Value of Property, Real Estate, and Building


Table and figure above shows price-to-book value

for each company from 2010 to 2014. The highest price-to-

book value is 4.40 in 2014, which is Fortune Mate

Indonesia Tbk. (FMII). However, the lowest price-to-book

2010 2011 2012 2013 2014

BAPA 2.1696 1.1900 1.0500 0.4700 0.3500

BKDP 1.1646 1.1900 2.2700 0.6300 0.6400

BKSL 0.6660 1.1000 0.9900 0.9900 1.1900

COWL 0.7060 1.8100 1.2300 0.7200 0.4700

BIPP 0.8757 1.0800 0.6100 1.9400 2.5400

DGIK 0.8308 0.5100 0.7900 0.7800 0.9000

ELTY 0.7813 0.4400 0.2600 0.3000 0.2900

FMII 1.0341 1.1300 2.6700 3.7000 4.4000

GPRA 0.7245 0.7700 0.6100 0.8100 1.5500

KIJA 0.9911 1.0753 0.9970 0.9277 1.2805

LAMI 0.5305 0.9107 0.7578 0.5668 0.8042

LCGP 0.4461 0.5317 1.3511 0.2468 2.0861

O MRE 0.7282 0.9207 1.0781 1.1023 0.9194

RBMS 0.2417 0.2239 0.3224 0.2326 0.2175

RODA 0.5159 2.1378 3.1963 3.5537 2.9908

SMDM 0.3187 0.2533 0.3619 0.4229 0.2680

ASRI 2.3863 2.9500 2.4900 1.5800 1.8100

MDLN 0.6729 0.6183 1.8017 1.0454 1.2225

0.00000.50001.00001.50002.00002.50003.00003.50004.00004.50005.0000

PR

ICE-

TO-B

OO

K V

ALU

E

48

value is 0.2175 in 2014, which is Ristia Bintang

Mahkotasejati Tbk (RBMS).

IV.2.2.1.3Trend of Debt-to-Equity Ratio for the period 2010-

2014

Figure 4.5

Debt-to-Equity Ratio of Property, Real Estate, and Building


2010 2011 2012 2013 2014

BAPA 0.8200 0.8300 0.8200 0.9000 0.7700

BKDP 0.4000 0.3800 1.1100 0.2900 0.3600

BKSL 0.1700 1.6600 0.3800 0.4300 0.3900

COWL 1.0500 0.1500 0.2800 0.5500 0.5800

BIPP 1.0400 1.3500 0.5700 0.6400 1.7300

DGIK 1.0200 0.5500 0.7500 0.9800 0.8500

ELTY 0.8200 0.6200 0.6600 0.7200 0.9100

FMII 0.2900 0.4100 0.4200 0.5200 0.6100

GPRA 0.9700 0.9000 0.8600 0.6600 0.7100

KIJA 0.0372 0.0931 0.0956 0.0250 0.0845

LAMI 0.1395 0.1932 0.1292 0.1515 0.0967

LCGP -0.0034 -0.0100 -0.0043 -0.0041 0.0108

O MRE 0.2604 0.1809 0.0736 -0.0444 0.1659

RBMS 0.0700 -0.1113 0.0136 -0.1094 0.0227

RODA -0.0072 0.0088 0.0517 0.2189 0.2460

SMDM 0.2400 0.0169 0.0219 0.0123 0.0199

ASRI 1.0700 1.1600 1.3100 1.7100 1.6600

MDLN 0.0347 0.0776 0.1170 0.5243 0.1334

-0.5000

0.0000

0.5000

1.0000

1.5000

2.0000

DEB

T EQ

UIT

Y R

ATI

O

49

2010 2011 2012 2013 2014

BAPA 0.1693 0.0730 0.0513 0.0543 0.0708

BKDP -0.0201 -0.0293 -0.1787 0.2514 0.0434

BKSL 0.0202 -0.2717 -0.0649 -0.0699 0.0087

COWL 0.0644 0.0297 0.0459 0.0880 0.0066

BIPP -0.0536 0.2034 0.0614 0.0412 0.1227

DGIK 0.0727 0.0083 0.0471 0.0623 0.0553

ELTY 0.0262 0.0069 -0.1203 -0.0324 0.0623

FMII -0.0244 -0.0022 0.0039 -0.0281 0.0085

GPRA 0.0554 0.0688 0.0801 0.1330 0.1029

KIJA 0.0100 0.6000 0.7800 0.9700 0.8200

LAMI 1.8300 1.0900 0.8900 0.7100 0.5900

LCGP 0.0800 0.0900 0.1100 0.0200 0.0700

O MRE 0.8800 0.4700 0.4300 0.5300 0.2600

RBMS 0.0043 0.0800 0.0800 0.2400 0.1800

RODA 0.0085 0.5700 0.7800 0.6000 0.4600

SMDM -0.0021 0.1900 0.2500 0.3800 0.4300

ASRI 0.1300 0.2163 0.2570 0.1668 0.1847

MDLN 0.8300 1.0300 1.0600 1.0600 0.9600

-0.5000

0.0000

0.5000

1.0000

1.5000

2.0000

RET

UR

N O

N E

QU

ITY

Table and figure above shows debt-to-equity

ratio for each company from 2010 to 2014. The

highest debt-to-equity ratio is 1.73 or 173% in 2014,

which is Bhuwanatala Indah Permai Tbk. (BIPP).

However, the lowest debt-to-equity ratio is -0.1113

or -11.13% in 2011, which is Ristia Bintang

Mahkotasejati Tbk. (RBMS).

IV.2.2.1.4 Trend of Return On Equity for the period 2010-2014

Figure 4.6

Return On Equity of Property, Real Estate, and Building


50

Table and figure above shows return on

equity for each company from 2010 to 2014. The

highest return on equity is 1.83 or 183% in 2010,

which is Lamicitra Nusantara Tbk. (LAMI).

However, the lowest return on equity is -0.2717 or -

27.17% in 2011, which Sentul City Tbk. (BKSL).

IV.3 Hypothesis Test

Hypothesis used in this research to test the hypothesis of

independent variables, which are PBV, DER, and ROE towards the

dependent variable that is stock price with the confidence level of

0.95 or 95% or α = 0.05 or 5%.

IV.3.1 Simultaneous Tests (F-tests)

This aims to test whether the PBV, DER, and ROE

influence the Stock Price simultaneously.

Table 4.8

The Result of Simultaneous Testing


Based on the hypothesis test resultsabove, the value

of significance is 0.000. Hence, it means that H0is rejected

and H1 is accepted, due to Sig. < 0.05 or 0.000 < 0.05. By

51

the confidence level of 95%, it can be concluded that PBV,

DER, and ROE has significant influence on Stock Price

simultaneously.

IV.3.2. Partial Tests (t-Statical Test)

Besides simultaneously, to see the effect of the

variables that exist on the PBV, DER, and ROE towards

Stock Price can also be seen partially. In partial tests,

variables that are formed in the model will be tested

separately.

IV.3.2.1 PBV toward Stock Price

In order to test whether the PBV has

significant influenceson Stock Price, the hypothesis

in this test as follows:

H0,1 : β1=0:PBVhas no significant influences on

Stock Price.

Ha1 : β10:PBVhas significant influences on Stock

Price.

H0 is rejected or H1 is accepted, if the Sig.

value is less than alpha. In this research, the alpha is

0.05 or 5%.

Table 4.9

Output for PBV and Stock Price

52


Based on the hypothesis test results above,

significance value is 0.000, meaning that H0,1 is

rejected, as seen from the significance value that is

Sig. < 0.05 or 0.000 < 0.05. Therefore, with a

confidence level of 95%, it can be concluded

that PBVhas significant influences on stock price.

IV.3.2.2 DER toward Stock Price

In order to test whether DER has significant

influences on Stock Price variable, the hypothesis as

follows:

H0,2 : β2=0: DER has no significant influences

onStock Price.

Ha2 : β2 0:DER has significant influences onStock

Price.

H0 is rejected or H1 is accepted, if the Sig.

value is less than alpha. In this research, the alpha is

0.05 or 5%.

Table 4.10

Output for DER and Stock Price


53


appointed that significance value is 0.469, meaning that

H0,2is accepted. As seen from the significance value that is

Sig. > 0.05 or 0.469 > 0.05, with a confidence level of 95%,

it can be concluded that DERhas no significant influences

on stock price.

IV.3.2.3 ROE toward Stock Price

This is used to test whether ROE influences the

Stock Price, the hypothesis as follow:

H0,3: β3=0:ROEhas no significant influences on Stock

Price.

Ha3 : β30:ROE has significant influences on Stock Price.

H0 is rejected or H1 is accepted, if the Sig. value is

less than alpha. In this research, the alpha is 0.05 or 5%.

Table 4.11

Output for ROE and Stock Price



significance value is 0.000, meaning that H0,3is rejected, as

seen from the significance value that is Sig. < 0.05 or

0.000 < 0.05. Therefore, with a confidence level of 95%, it

54

can be concluded that ROE has significant influences on

stock price.

IV.3.3Coefficient of Determination (R2)

Table 4.12

Results of Determination of Regression Model


Table 4.11, R square is 0.599, meaning that the variables

PBV, DER, and ROE are contributing or able to explain 59.9%

variance of the Stock Price, while the rest of 59.9%, which is

40.1% explained by other variables outside the model.

Adjusted R Squarevalue is 0.585, meaning that the variable

PBV, DER, and ROE contributing or able to explain 58.5%

variance of the Stock Price. This adjusted r square is a result with

the consideration of additional variable in a model.

IV.4Multiple Regression Analysis

This research is using multiple regression analysis to data

processing by using software SPSS 20, The following is an

equation for multiple regression analysis:

CSP = β0 +β1.PBV + β2.DER + β3.ROE+ e

Where,

CSP: Stock Price

55

PBV: Price-to-Book Value

DER: Debt-to-Equity Ratio

Table 4.13

Coefficient for Multiple Regression Equation Model

Coefficientsa


Based on the table above appointed that the following is

coefficient value 𝛽0 = −2.725, 𝛽1 = 8.779, 𝛽2 = 0.599, dan 𝛽3 =

4.622. From this coefficient value, the following is the multiple

regression equation:

Stock Price = -2.725 + 8.779 PBV + 0.599DER + 4.622ROE

This formula shows if there are no PBV, DER, and ROE,

the stock price is -2.725. Then, if any 1 increasing number of PBV

will increase stock price by 8.779, 1 increasing number of DER

will increase stock price by 0.599, and 1 increasing number of

ROE will increase stock price by 4.622.

IV.5. Interpretation of Results

IV.5.1 Price-to-Book Value (PBV)

H0: PBV has no significant influences on Stock Price.

H1: PBV has significant influences on Stock Price.

The result of simultaneous tests in table 4.8 above shows

significance value is 0.000. Based on the result as shown in table

56

4.9, the significance value of PBV is 0.000 that is less than the

alpha or 0.000 < 0.05 for the partial test result. Therefore, PBV has

significant influences on Stock Price for both partial test and

simultaneous test.

This finding is agreed with the results of a research by Dita

and Murtaqi (2014) and Chaoparicha, Chan, and Pollard (2007),

which is PBV has significant influences on stock return, meaning

that it also influences stock price as well. A high PBV ratio

indicates overvalued stock, and a lower PBV ratio indicates

undervalued stock. As the multiple regression equation shows the

positive amount of PBV at 8.779 to the stock price, so the stock

price of listed company in Indonesia Stock Exchange under

property, real estate, and building construction sector is categorized

as the growth stock that has a result 1 increasing number of PBV

will increase stock price by 8.779.

IV.5.2 Debt-to-Equity Ratio (DER)

H0: DER has no significant influences on Stock Price.

H1: DER has significant influences on Stock Price.


significance value is 0.000.Based on the result as shown in table

4.10, the significance value of DER is 0.469 that is more than the

alpha or 0.469 > 0.05 for the partial test result. In

conclusion,DERhas no significant influences on Stock Price

partially, but DER has significant influence simultaneously.

This finding is not supported a research by Roswati

(2007)in research by Riantani, et al. (2011) and Dadrasmoghadam

and Akbari (2015),whichis DER has significant influences on

Stock Price. The multiple regression equation shows the positive

amount of DER at 0.599 to the stock price even it does not affect

57

stock price significantly.Hence, a high debt-to-equity ratio shows

the company is using debt financing aggressively. This is could be

a good way to support long-term growth for the company, so it can

generate profit and stock price has not yet affected by the debt

level of the firm at the current period.

IV.5.3 Return On Equity (ROE)

H0: ROE has no significant influences on Stock Price.

H1: ROE has significant influences on Stock Price.


significance value is 0.000. Based on the result as shown in table

4.11, the significance value of ROE is 0.000 that is less than the

alpha or 0.000 < 0.05 for the partial test result. In

conclusion,ROEhas significant influences on Stock Price.

This finding is supported by the results of a research by

Nurfadillah (2011) and Vijitha and Nimalathasan (2014), stated

that ROE has significant influences on Stock Price. The multiple

regression equation shows the positive amount of ROE at 4.622 to

the stock price. The result shows that the return on equity of listed

company in Indonesia Stock Exchange under property, real estate,

and building construction sectorattracts investors to buy the stock.

The more profitable the company, the more investors are willing to

to buy the stock, so the demand for the stock tends to increase as

well as stock price of the company.

58

CHAPTERV

CONCLUSIONS AND RECOMMENDATIONS

V.1 Conclusions

The conclusions for this research based on data analysis in chapter

IV are as follow:

1. Based on t-Statistical test, the Sig. value of PBV is 0.000. In

conclusion, H0,1 is rejected, due to Sig. < 0.05 or 0.000 < 0.05.

Therefore, with a confidence level of 95%, it can be concluded

that PBV has significant influences on Stock Price.

2. Based on t-Statistical test, the Sig. value of DER is 0.469. In

conclusion, H0,2is accepted, due to Sig. > 0.05 or 0.469 > 0.05.


that DER has no significant influences on Stock Price.

3. Based on t-Statistical test, the Sig. value of ROE is 0.000. In

conclusion, H0,3is rejected, due to Sig. < 0.05 or 0.000 < 0.05.


that ROE has significant influences on Stock Price.

4. Based on F-Statistical test, the Sig. value of PBV, DER, and ROE is

0.000. In conclusion, H0is rejected, due to Sig. < 0.05 or 0.000 < 0.05.


that PBV,DER, and ROE have significant influences on Stock Price

simultaneously.

V.2 Recommendations

1. Investor should consider about fundamental analysis, which is using

financial ratio, especially PBV and ROE due to that factors are

59

influence the determination ofstock price of property, real estate, and

building construction company listed in Indonesia Stock Exchange.

2. Future research has to attempt other variables that are excluding in this

research. For instance, macroeconomic variables, such as inflation and

interest rate, and other financial ratio, such as dividend payout ratio

and earning per share that may influence stock price in property, real


Exchange.

3. Future research may choose other model, besides multiple regression

analysis model to know further about the result that is not discuss in

this research. For instance, granger causality to know the causality of

the dependent variable caused by independent variable (unidirectional

causality from Yt to Xt) or independent variable caused by dependent

variable variable (unidirectional causality from Xt to Yt).

4. Future research can be used more than 18 companies in the next

research period concerning the increasing number of companies in

property, real estate, and building construction listed in Indonesia

Stock Exchange. Then, future research may use less than 18

companies, if there is any limitation in gathering the data and

considering the delisting company in property, real estate, and building

construction company listed in Indonesia Stock Exchange in the next

research period.

60

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Badan Pengawas Pasar Modal. Retrieved from http://www.bapepam.go.id/.

Indonesia Stock Exchange. Retrieved from http://www.idx.co.id/.

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APPENDICES

SPSS Output

65

For Glejser test

the influence of price-to-book value, debt-to-equity …

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