Ramadhan, Raka Radithya (2026) Pengaruh Kualitas Laba Terhadap Return Saham pada Perusahaan Manufaktur yang Terdaftar di BEI Periode 2020-2025. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Penelitian ini bertujuan untuk menganalisis pengaruh kualitas laba terhadap return saham pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia (BEI) selama periode 2020–2025. Kualitas laba diukur menggunakan dua proksi, yaitu earnings management (EQ_EM) yang diproksikan melalui nilai absolut akrual diskresioner berdasarkan modified Jones model, dan earnings persistence (EQ_PE) yang diproksikan melalui koefisien slope regresi laba berjalan terhadap laba periode sebelumnya. Variabel dependen adalah return saham tahunan, sedangkan ukuran perusahaan (firm size) dan efek tahun (year fixed effect) digunakan sebagai variabel kontrol. Penelitian ini menggunakan pendekatan kuantitatif eksplanatori dengan metode analisis regresi data panel. Sampel dipilih melalui purposive sampling dan menghasilkan 115 perusahaan manufaktur dengan total 690 observasi panel yang seimbang selama enam tahun. Rangkaian Uji Chow, Uji Lagrange Multiplier, dan Uji Hausman secara konsisten mengarahkan pada penggunaan Common Effect Model (CEM). Uji asumsi klasik menunjukkan adanya heteroskedastisitas namun tidak terdapat autokorelasi, sehingga estimasi dilakukan menggunakan CEM dengan Robust Standard Error. Hasil pengujian hipotesis menunjukkan bahwa EQ_EM tidak berpengaruh signifikan terhadap return saham; arah koefisien yang negatif berlawanan dengan arah positif yang dihipotesiskan, sehingga H1a ditolak. Sebaliknya, EQ_PE berpengaruh positif dan signifikan terhadap return saham pada tingkat signifikansi 10% berdasarkan uji satu arah sesuai dengan hipotesis berarah, sehingga H1b diterima, temuan ini konsisten dengan prediksi Signalling Theory dan Efficient Market Hypothesis semi-strong form bahwa laba yang persisten merupakan sinyal positif keberlanjutan kinerja fundamental yang direspons pasar. Ukuran perusahaan berpengaruh negatif dan signifikan secara marjinal, konsisten dengan size effect dalam literatur keuangan, dan model secara keseluruhan terbukti signifikan. Ketidaksignifikan EQ_EM diindikasikan oleh tingginya volatilitas makroekonomi selama periode pandemi COVID-19 dan pemulihan pasca-pandemi yang mendominasi variasi return saham, heterogenitas ekstrem distribusi akrual dengan keberadaan outlier berskala besar, keterbatasan spesifikasi CEM dalam mengontrol unobserved individual heterogeneity, serta karakteristik investor BEI yang belum sepenuhnya sensitif terhadap informasi manajemen laba berbasis akrual. Perbedaan daya transmisi kedua sinyal kualitas laba ini memberikan kontribusi empiris mengenai boundary conditions pengaruh kualitas laba terhadap return saham di pasar berkembang pada periode bergejolak.
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This study examines the effect of earnings quality on stock returns of manufacturing companies listed on the Indonesia Stock Exchange (IDX) during the 2020–2025 period. Earnings quality is operationalized through two proxies: earnings management (EQ_EM), measured as the absolute value of discretionary accruals estimated via the modified Jones model, and earnings persistence (EQ_PE), measured as the slope coefficient from the regression of current earnings on prior-period earnings. The dependent variable is annual stock return, while firm size and year fixed effects serve as control variables. This study employs a quantitative explanatory approach with panel data regression analysis. The sample was selected via purposive sampling, yielding 115 manufacturing companies and 690 balanced panel observations over six years. The Chow test, Lagrange Multiplier test, and Hausman test consistently indicated the Common Effect Model (CEM) as the most appropriate specification. Classical assumption tests revealed the presence of heteroskedasticity but no first-order autocorrelation, necessitating estimation via CEM with Robust Standard Errors. Hypothesis testing results indicate that EQ_EM does not significantly affect stock returns; the negative coefficient direction runs contrary to the hypothesized positive direction, leading to the rejection of H1a. In contrast, EQ_PE exerts a positive and significant effect on stock returns at the 10% significance level based on a one-tailed test consistent with the directional hypothesis, leading to the acceptance of H1b, this finding is consistent with predictions from Signalling Theory and the semi-strong form Efficient Market Hypothesis that persistent earnings serve as a positive signal of sustainable fundamental performance to which the market responds. Firm size exerts a marginally significant negative effect, consistent with the size effect documented in financial literature, and the overall model is statistically significant. The non-significance of EQ_EM is attributed to the extreme macroeconomic volatility during the COVID-19 pandemic and post-pandemic recovery period dominating stock return variation, the extreme heterogeneity of the accrual distribution with large-scale outliers, the inherent limitation of CEM in controlling unobserved individual heterogeneity, and the limited sensitivity of dominant IDX investors to accrual-based earnings management information. The differing transmission strength of these two earnings quality signals contributes empirical evidence on the boundary conditions governing the relationship between earnings quality and stock returns in an emerging market during periods of heightened macroeconomic turbulence.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | kualitas laba, return saham, earnings management, earnings persistence, Common Effect Model, pasar modal, perusahaan manufaktur, earnings quality, stock return, earnings management, earnings persistence, Common Effect Model, capital market, manufacturing companies |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HG Finance > HG4529 Investment analysis H Social Sciences > HG Finance > HG4910 Investments H Social Sciences > HG Finance > HG4915 Stocks--Prices |
| Divisions: | Faculty of Creative Design and Digital Business (CREABIZ) > Business Management > 61205-(S1) Undergraduate Thesis |
| Depositing User: | Raka Radithya Ramadhan |
| Date Deposited: | 01 Aug 2026 02:34 |
| Last Modified: | 01 Aug 2026 02:34 |
| URI: | http://repository.its.ac.id/id/eprint/141060 |
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