The purpose of this study is to determine the stocks of the LQ-45 Index which form a portfolio based on a single index model, analyzed by Sharpe, Treynor, and Jensen methods, whether there are differences in the results of calculations and which is the most appropriate in measuring portfolio performance. The method used in this research is descriptive research with a quantitative approach and the data source used is secondary data from the Indonesia Stock Exchange. The population used is the LQ-45 Index shares for the period 2013-2018 and based on established criteria, a sample of 22 shares was obtained. Based on the methods of Sharpe, Treynor, and Jensen, the portfolio performance that is formed experiences a similar and fluctuating movement. Because the three methods produce almost the same value movement, the determination of slope (linear curve) requires accuracy. Therefore re-testing is done by using Robustness Test, namely by doing the Regression Test. With the magnitude of the value of b, it shows that the Sharpe method is most appropriate to be used in measuring portfolio performance in this study. Researchers suggest for further research, in the formation of portfolios can use other portfolio formation models. This research in the formation of LQ-45 stock portfolios using the single index model method, the portfolio formed is only one portfolio each year which causes less number of portfolios compared. In addition to the Sharpe, Treynor, and Jensen methods, researchers can then use other performance measurement methods for comparisons, such as M2 (Modigliani-Modigliani) and Information Ratio (RI).
Abstrak: Penelitian ini bertujuan untuk menguji secara empiris faktor-faktor yang mempengaruhi harga saham perusahaan dengan struktur modal sebagai variabel intervening, Variabel-variabel yang dianalisis yaitu profitabilitas, likuiditas, dan pertumbuhan penjualan. Populasi dalam penelitian ini adalah perusahaan dalam sektor manufaktur yang tercatat dalam Bursa Efek Indonesia (BEI) dari tahun 2010-2014. Untuk menguji hipotesis dan penelitian ini digunakan Analisis Regresi Berganda dan diperluas dengan Analisa Jalur (Path Analysis).Hasil penelitian menujukkan bahwa (1) Variabel profitabilitas, likuiditas dan pertumbuhan penjualan secara bersama-sama (simultan) memiliki pengaruh positif dan signifikan terhadap struktur modal (2) Secara parsial variabel profitabilitas tidak pengaruh positif dan tidak signifikan terhadap struktur modal, variabel likuiditas juga menunjukkan ada pengaruh positif dan signifikan, variabel pertumbuhan penjualan tidak terdapat pengaruh positif dan signifikan terhadap struktur modal (3) variabel profitabilitas, likuiditas secara tidak langsung tidak berpengaruh terhadap harga saham dan variabel pertumbuhan penjualan secara tidak langsung terhadap harga saham terdapat pengaruh positif dan signifikan, (4) Struktur modal sebagai variabel paling dominan pengaruhnya terhadap harga saham Abstract: This study is empirically examine the factors that affect the company share price with the capital structure as intervening variable. The variables analyzed are profitability, liquidity, and sales growth. This population study is manufacturing company listed on the Indonesia Stock Exchange during 2010-2014. To test the hypothesis and this study used Multiple Regression and expanded with Path Analysis.The results showed: (1) Profitability, Liquidity and Sales Growth have positive and significant influence to capital structure. (2) Partially profitability variable is not positive and insignificant influence to capital structure, liquidity variable also show positive influence and significant, the variable of sales growth there is no positive and significant influence to capital structure (3) profitability variable, liquidity indirectly does not have an effect on share price and indirect growth variable of sales to share price have positive and significant influence, (4) Capital Structure as the most dominant variable effect on share price.
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