Pemodelan Struktur Modal Statis Menggunakan Geometric Brownian Motion

Mulachela, Alwi Husein (2018) Pemodelan Struktur Modal Statis Menggunakan Geometric Brownian Motion. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Nilai perusahaan merupakan persepsi investor terhadap tingkat keberhasilan perusahaan yang sering dikaitkan dengan harga saham. Dibutuhkan struktur modal yang optimal demi membaiknya nilai keputusan pendanaan, kebijakan deviden, dan pertumbuhan perusahaan. Adapun salah satu solusi untuk mengoptimalkan struktur modal yaitu dengan konsep tax deductible atau keuntungan pengurangan pajak dimana hasil pajak jasa dividen digunakan untuk membiayai beban bunga lalu menambah hutangnya sebanyak beban bunga yang dibayarkan. Pendapatan perusahaan berkurang namun pajak yang harus dibayarkan juga berkurang sehingga nilai aset bertambah. Dengan geometric Brownian motion yang disubstitusikan dengan Lemma Ito lalu diturunkan dengan persamaan diferensial parsial dan biasa, sehingga didapat persamaan struktur modal statis dengan keuntungan pajak. Persamaan yang sudah didapat solusinya digunakan untuk mencari nilai klaim hutang dan aset. Dari kedua klaim tersebut, didapat klaim ekuitas serta leverage atau penekanan rasio hutang terhadap aset. Solusi dari penurunan persamaan disimulasikan dan dianalisa menggunakan data laporan keuangan Koperasi Pegawai Republik Indonesia ITS (KPRI-ITS) dengan pengambilan pajak dividen 0% sampai 25%. Keuntungan pengurangan pajak dapat meningkatkan nilai klaim aset sampai dengan 2,98% dengan tingkat validasi model 1,13%, meningkatkan nilai klaim hutang sampai dengan 15,12% dengan tingkat validasi model 9,58%, menurunkan nilai klaim ekuitas sampai dengan 12,14% dengan tingkat akurasi model 8,58% serta meningkatkan leverage rasio hutang terhadap aset sampai 4,76% dengan tingkat akurasi model 7,67%. ========== Company value are the perception for the investors to measure company growth which often linked with the share value. An optimal capital structure is needed to improve the value of funding decisions, dividend policies and corporate growth. The concept of tax deductible is one of the solution to optimize the capital structure which the investor tax dividend used to pay interest expenses and then add the debt as much as interest expense paid. The company revenue will be decreases but the taxes to be paid are also reduced so the company assets will increase. With the geometric Brownian motion substituted by Lemma Ito then derived by partial and ordinary differential equations, the static capital structure with tax advantages will be obtained. The derived equation is used to find the value of debt and asset claims. From both claims, the equity claims are obtained as well as debt to asset ratio leverage. The solution of the equation are simulated and analyzed using financial report of Koperasi Pegawai Republik Indonesia ITS (KPRI-ITS) with a 0% to 25% dividend tax benefit. The tax advantages may increase the value of the asset up to 2,98% with the accuracy of the model 1,13%, the value of debt may increase up to 15,12% with the accuracy of 9,58%, decrease the value of equity up to 12,14% with the accuracy of 8,48% and increase the leverage debt to assets ratio up to 4,76% with the accuracy of the model 7,67%.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Geometric Brownian motion; Capital structure; Partial differential equation; Ordinary differential equation; Excess Earning method
Subjects: Q Science > QA Mathematics
Q Science > QA Mathematics > QA274.7 Markov processes--Mathematical models.
Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis.
Q Science > QA Mathematics > QA278.3 Structural equation modeling.
Divisions: Faculty of Mathematics and Science > Mathematics > (S1) Undergraduate Theses
Depositing User: Alwi Husein Mulachela
Date Deposited: 26 Apr 2018 03:02
Last Modified: 26 Apr 2018 03:02
URI: http://repository.its.ac.id/id/eprint/51117

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