Jurnalku

PUBLICATIONS

Pengaruh Variabel Fundamental terhadap Harga Saham Perusahaan Go Public Di BEI. Jurnal Ekonomi dan Bisnis, Vol. 2, No. 2, Jul 2008.

Penggunaan Binary Logit untuk Prediksi Financial Distress Perusahaan Publik Di BEJ. Jurnal Ekonomi Bisnis & Akuntansi Ventura, Vol. 11, No. 2, Ags 2008.

Koreksi Koefisien Beta Di BEI. Jurnal Ekonomi dan Bisnis, Vol. 3, No. 2, Jul 2009, ISSN: 1978-3116.

Estimasi Harga Opsi Saham Di BEI: Studi Empiris Saham LQ-45. Jurnal Akuntansi & Manajemen, Vol. 20, No.3, Des 2009.

Informasi Anomali Akrual dalam Pembentukan Portofolio Saham. Jurnal Akuntansi dan Bisnis, Vol. 10, No.1, Feb 2010.

Value At Risk Portofolio dan Likuiditas Saham. Jurnal Akuntansi & Manajemen, Vol.  21, No. 2, Ags 2010, ISSN: 0853-1269.

Pemilihan Model Asset Pricing. Jurnal Akuntansi & Manajemen, Vol. 21, No.3, Des 2010, ISSN: 0853-1269.

Anomali Overreaction Di Bursa Efek Indonesia: Penelitian Saham LQ-45. Jurnal Ekonomi dan Bisnis, Vol. 5, No. 2, Juli 2011, ISSN: 1978-3116.

Struktur Modal dan Prediksi Kegagalan Perusahaan: Teori dan Aplikasi. Jurnal Ekonomi dan Bisnis, Vol. 5, No. 3, Nov 2011. ISSN: 1978-3116.

Volatilitas Idiosynkratis dan Model Asset Pricing Multifaktor. Jurnal Ekonomi & Bisnis, Vol. 6, No. 1, Mar 2012. ISSN: 1978-3116.

Profitabilitas, Investasi, dan Arus Kas sebagai Prediktor Imbal Hasil Saham. Jurnal Akuntansi Akrual, Vol. 3, No. 2, Apr 2012, ISSN: 2085-9643.

Strategi Investasi Momentum: Profit Momentum Portofolio Pemenang-Pecundang di Indonesia. Jurnal Ekonomi & Bisnis, Vol. 6, No.2 Jul 2012.

Dinamika Bursa Saham Asing dan Makroekonomi Terhadap IHSG. Jurnal Akuntansi dan Bisnis, Vol. 12, No. 1, Des 2012, ISSN: 1412-0852.

Implementasi Efficient Frontier dalam Optimisasi : Studi Kasus Saham LQ-45. Jurnal Ekonomi & Bisnis, Vol. 7, No. 1, Mar 2013, ISSN: 1978-3116.

Pengaruh Variabel Makroekonomi Terhadap Indeks Saham Syariah Indonesia. Jurnal Ekonomi & Bisnis, Vol.7 No 2 Jul 2013, ISSN: 1978-3116.

Kesempatan Investasi dan Determinan Kebijakan Pendanaan Perusahaan Publik. Jurnal Akuntansi Akrual, Vol. 5, No. 1, Okt 2013, ISSN: 2085-9643.

Determinan Dividend Payout Ratio Pada Emiten LQ-45 Di BEI. Jurnal Ekonomi & Bisnis, Vol. 8, No. 1 Mar 2014, ISSN: 1978-3116.

Pengaruh Suku Bunga SBI, Tingkat Inflasi, IHSG, dan Bursa Asing terhadap Imbal Hasil Reksadana Saham. Jurnal Akuntansi & Manajemen, Vol. 25, No. 1, Apr 2014, ISSN: 0853-1259.

Pengaruh Bursa Saham Global, ASEAN, dan Harga Komoditas terhadap IHSG dan Nilai Tukar EUR/USD. Jurnal Akuntansi & Manajemen, Vol. 25, No. 2, Ags 2014, ISSN: 0853-1259.

Pengaruh Intellectual Capital, BOPO, DER, dan LDR terhadap ROE Emiten Perbankan. Jurnal Ekonomi & Bisnis, Vol. 8, No. 3 Nov 2014.

Profitabilitas Bank Di Indonesia dengan Metode Risk Based Rating Pada Emiten Perbankan Di BEI. Jurnal Riset Akuntansi & Keuangan, Vol. 11, No. 1, Feb 2015, ISSN: 0216-5082.

Mekanisme GCG, Size, Struktur Kepemilikan Manajerial, dan Leverage Pada Manajemen Laba Pada Emiten Perbankan Di BEI. Jurnal Riset Manajemen & Bisnis, Vol. 10, No. 1, Jun 2015, ISSN: 1907-7343.

Pengaruh Earning Management dan Mekanisme GCG terhadap Pengungkapan CSR Pada Emiten Manufaktur Di BEI. Jurnal Riset Manajemen & Bisnis, Vol. 10, No. 2, Des 2015, ISSN: 107-7343.

Relevansi UKM dan Implementasi Sistem ERP: Dimensi Strategik Kontekstualitas. Jurnal Ekonomi & Bisnis, Vol. 9, No. 3, Nov. 2015, ISSN: 1978-3116.

Pengaruh Indeks Bursa Asing dan Makroekonomi terhadap IHSG Di BEI. Jurnal Manajemen Indonesia, Vol. 15, No. 3, Des 2015, ISSN: 1411-7835.

Anteseden Audit Delay Pada Emiten LQ 45 Di Bursa Efek Indonesia. Jurnal Riset Akuntansi & Keuangan, Vol. 12, No. 1, Feb 2016, ISSN: 0216-5082.

Dividend Payout Ratio Pada Emiten Manufaktur Di Bursa Efek Indonesia. Jurnal Riset Manajemen & Bisnis, Vol. 11, No. 1, Jun 2016, ISSN: 1907-7343.

Pengaruh Konservatisme Akuntansi, Kepemilikan Manajerial, Kebijakan Dividen, Ukuran Perusahaan, LeveragePrice Earning RatioPrice to Book Value, dan Earning Per Share terhadap Manajemen Laba: Studi Pada Emiten Manufaktur Di BEI Periode 2008-2013. Jurnal Ekonomi dan Bisnis, Vol. 10, N0. 2, ISSN: 1978-3116

Determinan Kepuasan Pengguna Akhir Aplikasi ERP-FOS Adempiere Pada UKM. Jurnal Riset Akuntansi & Keuangan, 12(2) Aug 2016: 111-129. ISSN: 0216-5082.

Proceeding Nasional

Kowanda, Dionysia & Pasaribu, Rowland Bismark Fernando. 2013. Bursa Saham Internasional dan Nilai Tukar Valuta Asing. Proceeding PESAT, Vol.5, ISSN: 1858-2559.

Grahani, Hedwig Ajeng & Pasaribu, Rowland Bismark Fernando. 2013. Analisis Faktor-Faktor Yang Berpengaruh Terhadap Risiko Sistematis Saham (Studi Empiris Pada Perusahaan Yang Tercatat dalam Indeks Kompas 100 Di Bursa Efek Indonesia Periode Januari 2008 – Januari 2013). Proceeding PESAT, Vol.5, ISSN: 1858-2559.

Rismaeka, Purnamasari Latjuba & Pasaribu, Rowland Bismark Fernando. 2013. Efek Bid-Ask, Firm Size dan Likuiditas Dalam Fenomena Price Reversal Saham Winner dan Loser Kelompok Entitas Indeks LQ 45 Periode 2009-2011 Di Bursa Efek Indonesia. Proceeding PESAT, Vol.5, ISSN: 1858-2559.

Juido, Kevin & Pasaribu, Rowland Bismark Fernando. 2013. VaR Portofolio Saham Likuid: Kapitalisasi Besar dan Kapitalisasi Kecil (Studi Kasus Saham LQ 45 Di BEI Jan.2011-Des.2012). Proceeding PESAT, Vol.5, ISSN: 1858-2559.

Studi Empiris Pembentukan Portofolio Saham Multifaktor di Bursa Efek Indonesia. SNA 16, 2013.

Proceeding Internasional

Kowanda, Dionysia., Pasaribu, Rowland Bismark Fernando., Firdaus, Muhammad. 2014. Financial Distress Prediction on Public Listed Banks in Indonesia Stock Exchange. Proceedings ICIBSOS 2014, Bali, Indonesia.

English Version:

The Capital Asset Pricing Model (CAPM) has dominated finance theory for over thirty years; it suggests that the market beta alone is sufficient to explain stock returns. However evidence shows that the cross-section of stock returns cannot be described solely by the one-factor CAPM. Therefore, the idea is to add other factors in order to complete the beta in explaining the price movements in the stock exchange. The Arbitrage Pricing Theory (APT) has been proposed as the first multifactor successor to the CAPM without being a real success. Later, researchers support that average stock returns are related to some fundamental factors such as size, book-to-market equity and momentum. Alternative studies come as a response to the poor performance of the standard CAPM. They argue that investors choose their portfolio by using not only the first two moments but also the skewness and kurtosis. The main contribution of this paper is comparison between the CAPM, the Fama and French asset pricing model (TPFM) and the Four Factor Pricing Model (FFPM) adding the third and fourth moments to calculate expected return of non-financial Indonesian listed firms. The selection of the best model is based on the highest coefficient of determination. The kurtosis-FFPM turned out to be the best model.

This paper examines the effects of liquidity on stock and portfolio risk measures by analyzing Value at Risk (VaR). Using daily stock returns and firm market capitalization, empirical calculations confirmed that VaR has not yet succeeded to prove patterns of relation between risk and liquidity, both in individual stock levels and portfolios. This study also clarified that diversifying portfolio stocks have yet toachieve risk reduction

This study aimed to test five fundamental factors (growth, profitability, leverage, liquidity, and efficiency) and two market ratios (earning ratio, and price earning ratio) that predicted to influence stock price in several groups of manufacturing industries listed in Jakarta Stock Exchange from 2003 till 2006. The result of this ratios, using multiple regressions shows that all the fundamentals factors and market ratio has significant influence simultaneously and partially in all industries. Earning per share was the dominant influence variable in six industries, where profitability factors in farming industries and liquidity factors in the property and real estate industry. All proxy has coefficient of determination range 21,98% – 85,41%.

Journal of Economics, Business, and Accounting, Vol. 11, No. 2, August 2008

This study aimed to establish the financial distress prediction in a public company listed on the Jakarta Stock Exchange specifically incorporated in the trading industry. The samples used in research are all public companies incorporated in the trading industry 2002-2006 period. This study used six initial discriminator and 34 financial ratios as an operational variable. The analysis technique used is a binary logit regression. The results showed a significant 18 financial ratios as predictors were: QATA, RETE, CashCL, CashTA, WCTA, CATA, LDWC, LDTA, theta, NPTA, ITO, COLPER, NITL, SALCA, ROI, CffoTL, CffoTA, and CffoTE. Empirical result shows that companies that do not create economic value-added, illiquid, low operational efficiency and high levels of financial leverage have a large probability of financial distress. The accuracy of the resulting model is in range 76.28% -98.08%.

This study examines empirically the Fama and French three factor model of stock returns using Indonesian data over 2003-2006 period. Specifically, it examines the behavior of stock prices, in relation to size (market equity, ME) and book-to-market ratio. The major objective of this study is to provide evidence that would contribute to the effort of explaining the 3FM in an emerging market. Our findings reveal a significant relationship between market, size and book-to-market equity factors and expected stock returns in the Indonesian market. The empirical results confirm that even the Fama and French (1993) three factor model holds for the Indonesian Stock Exchange and more robust than CAPM in non-financial stock, in portfolio level still result bad performance.

The accrual information is discussed in light of multifactor factor asset pricing theory. It is argued that the capital market processes information efficiently, and that low accruals firms are risky and therefore earn higher average returns. In other words, the level of accruals proxies for the loading on a fundamental risk factor that drives stock returns. The objective of this study is to prove significance influence of accrual information and to evaluate the performance of stock portfolio constructed by Treynor Index, Jensen-Alpha, and Sharpe Index. The final sample is the past and present member of LQ-45 public companies. Following Fama and French (1993), we form a factor-mimicking portfolio that essentially goes long on low accruals firms and short on high accruals firms (Conservative Minus Aggressive, or CMA). Since the portfolio is constructed based upon the return-predicting characteristic itself, it is thereby designed to capture any risk factors that may underlay the accrual effect even if the relevant risk factors are not observed directly. The empirical result show that partially, CMA has a significance positive (negative) influence to stock portfolio with low (high) level accrual, both for single, two, and three factor model, especially at size-accrual category. Other empiric result is addition of factor CMA, proved increasing explanatory power of model in explaining the variation of expected return of stock portfolio on various assets pricing model. Hereinafter three tools of evaluation measurement result indicate that size, book-to-market ratio yet still not shown optimal performance, even after conducted by extension of all model by adding accrual information factor.

This study aimed to a stock portfolio formed with composite of companies market (PER, PBV, ROE, EPS, PSR, and B/M, VaR) and accounting performance (ROE, and EPS) also their market capitalization in Indonesia Stock Exchange period 2003-2006. Some clarification need to achieved, such as: real difference among variable refer to their market capitalization and influence of predictor to stock return. The result show; Levenne-test confirmed there is no significant influence relatively to variable refer to their market capitalization; Simultaneously, the predictors have a significant influence to stock return in each period, but partially only 4 variable having an significant effect to return i.e (VaR, B/M, and PER, and PBV). Hereinafter, the performance of selected portfolio (based on their rank) were evaluated (Sharpe-Index, Treynor-Index, and Jensen-Apha). The evaluation result conclude that stock portfolio formed refer to their market capitalization and composite of market and accounting performance do not at moment’s notice guarantee will yield an consensus of subject about reliable accepted risk versus expected return.

As reaction from market inefficient specified about information distribution, all market participant trying to reduce the effect with various means, among other things by perceiving historical behavior of share price. One of result namely contrarian strategy by believing that loser portfolio will experience of rebound conversely degradation at share winner portfolio. This study aim to prove existence of overreaction anomaly effect in Indonesia Stock Market specially the LQ-45 during 2003-2007. By using Debont-Thaler approach, empirical result express that there is no symptom of overreaction anomaly at three-month, six-month, and annual period. Therefore the study recommend the investor to avoid contrarian strategy specially of LQ-45 stocks.

This study aimed to clarify the value of the bias beta stocks listed on the Indonesia Stock Exchange and make corrections to the bias value using Scholes and Williams, Dimson, and Fowler and Rorke. Results of this study indicate that the stock beta is the value of bias, besides the results normality test also confirmed that the distribution of stock returns of issuers that are used to calculate beta coefficients are not normally distributed. Correction methods are not sufficient to return the normal distribution is the Scholes and Williams with a correction of two and three leads lag period, while for the normal distribution of data return that Fowler-Rorke method is a method that is sufficient in reducing the bias on the stock with a three lag and correction one leads beta period.

The main idea of this paper is to clarify the influence of historical volatility to its current volatility of stock return and estimate European call option pricing using Black-Scholes Model. Three method was used to knowing the influence: HisVol, GARCH (1.1) and CGARCH. Empirically the three method look provide similar result to prove the influence. Moreover, call-option pricing estimated result refer to its delta-hedging and vega indicates a very interesting prospect and profitable investment tool for Indonesian Stock Exchange.

Journal of Economics and Business Vol. 5, No. 3, pp. 209-220, November 2011

This paper addresses the theoretical foundations of corporate failure prediction, using the neo-classical theory of capital structure as a starting point. The paper intends to demonstrate the feasibility of such an approach in a simple setting, i.e. by using a simple theoretical model and a limited empirical analysis. A model of optimal capital structure is constructed and rewritten as a model of default probability. Its empirical implications are derived and tested on a sample of Indonesian data. It is concluded that this approach clearly has its limitations, but also that may it be a valuable contribution compared to the multitude of theory-less empirical studies and a useful alternative to the default theory.

 Jakarta 2 September 2015

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