Electronic Theses and Dissertation

In recent years, some analysts have supplemented traditional fundamental analysis, `which involves a substantial amount of subjective judgment. with more quantitative approaches. The quantitative approaches themselves are quite varied. Some involve simply screening stocks on the basis of some set of factors such as financial ratios as examined in this paper because researchers in U.S have examined the value of accounting by estimating the return that could be earned by an investor with perfect earnings foresight one year prior to an earnings announcement The findings how that by buying stocks of firms with increased earnings and selling stocks of fins with decreased earnings each ear, a hypothetical investor could cam an average portfolio return of 37.5 percent in the period of 1954 to 1996. This paper examines the performance of an earnings prediction that integrates present net sales, EDIT, cash flow from operation. current ratio, market-to-book ratio, gross martin ratio, EPS, ROE and ROA as predictors of next years earnings using multiple regression.
The sample of this study was manufacturing companies listed in Jakarta Stock Exchange within the period of 2004-2005. The data was collected using random sampling method. The amount of the sample was 50 companies. Test of
normality using Kolmogorov-Smirnov test shows that the entire variables have level of significance bigger than 0,05. It can be concluded that there is no violation of this assumption. Test for multicolinearity shows that the entire
independent variables have VIP value below 10 and tolerance value bigger than 0,10. It can be concluded that this assumption is fulfilled, that is no multicolinearity. The autocorrelation tests show that there is linear relationship between independent variables, and that there vas no correlation between disturbance factors. because the Durbin Watson test shows value between -2 and +2. Finally. test for heteroscedasticity using Glejser test found that there is no independent variable that significantly affects the absolute residual. It can be concluded that there is no violation of this assumption.
The result of study with F test between all variable with next year's earnings indicate that all variables al level 5 % acre significant to predict next years earnings. The result of study with t- between variables of present net sales, EDIT, cash flow from operation. current ratio, market-to-book ratio, gross martin ratio. EPS, ROE and ROA with next year's earnings indicate that variable of present net sales and market-to-bock ratio al level 5% are significant to predict next year's earnings, while variable of present EDIT. cash flow from operation. current ratio, market-to-book ratio, gross margin ratio, and EPS, ROA and ROE are not significant to predict next year's earnings.
Adjusted A value is 0.775 that mean 77,5 % dependent variable next year's earnings can be explained by all the variables examined in this paper and then the remaining 22,5 % explained by another factor out side the variables examined in this paper. How/ever, this one year-ahead earnings foreacast are not differ dramatically than time series models that use past earnings to predict future earnings.

Tidak Tersedia Deskripsi