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The Link of Abnormal Accrual Mispricing and Value- Glamour Stock Anomaly: Evidence from the Indonesian Capital Market Erni Ekawati
Gadjah Mada International Journal of Business Vol 14, No 1 (2012): January - April
Publisher : Master in Management, Faculty of Economics and Business, Universitas Gadjah Mada

The purpose of this study is to investigate whether abnormal accrual mispricing acknowledged in accounting literature is a manifestation of documented value-glamour anomaly in finance literature. This study proposes the traditional value-glamour proxies (sales growth, book-to-market, earningprice, cash flows-price, and size) and CFO/P ratio (ratio of operating cash flows and stock price) to explain the mispricing of abnormal accruals. Using a sample of 540 firm-year observations of companies listed on the Jakarta Stock Exchange (JSE) from the period of 1993 to 2003, the study finds that individually, only either the E/P or CFO/P ratio can pick up the mispricing attributed to abnormal accruals. These results can be interpreted as follows: (1) as captured by E/P ratio, abnormal accrual mispricing is due to the market’s inability to understand managers’ attempts to manage reported earnings; (2) as captured by the CFO/P, the market is unable to assess the persistence of cash flows. From a practical standpoint, this study has simplified the research agenda related to asset pricing. The result suggests that a researcher can control for the abnormal accrual mispricing and the value-glamour anomaly parsimoniously via just one variable, E/P ratio.Keywords: business performance; entrepreneurial orientation; environmental uncertainty

TIME VARYING BETA (DUAL BETA): CONDITIONAL MARKET TIMING CAPM Rachmat Sudarsono; Suad Husnan; Eduardus Tandelilin; Erni Ekawati
Journal of Management and Business Vol 11, No 2 (2012): SEPTEMBER 2012
Publisher : Department of Management - Faculty of Business and Economics. Universitas Surabaya.

Dual beta became a debate between researchers in finance especially investment and portfolio. This research test CAPM using dual beta predictions in conditional market timing. The research tested unconditional and conditional Beta, that showed linear and positive affect of return toward risk on single and multiperiods. The beta’s slope skewed but with moderate skewness, and there is no zero beta. However if the investors have les diversified portfolio, its show idiosyncratic risk and systematic risk determine the securities pricing model. Conditional beta test, showed positive slope for SML on bullish market, and negative for bearish market. There is also showed a shock to volatility because of leverage effect and or volatility feedback. The responsiveness of positive shock (bullish market) and negative (bearish market) is positive, however the magnitude of SML slope higher for bearish than bullish market. Dual beta remains consistent in explaining positive effect of risk and return. Dual beta able to reduce the idiosyncratic risk on bearish market rather than on bullish market.

Analysis of Accruals Quality on the Cost of Capital - A Case Study on Manufacturing Companies in Indonesia Emy Rosiana Swandewi Candra; Erni Ekawati
The Indonesian Journal of Accounting Research Vol 20, No 3 (2017): IJAR September 2017
Publisher : The Indonesian Journal of Accounting Research

Abstract: This study analyzes the effect of accruals quality on the cost of capital. Cost of capital consists of the cost of debt and cost of equity. Accrual quality is influenced by several factors which are divided into two groups: non-discretionary accruals (innate) and discretionary accruals. The sample used in this study is manufacturing companies listed in Indonesia Stock Exchange from the period of 2002 to 2013. Ordinary least square linear regressions are employed to analyze the data. The results showed that the quality of accruals negatively affects the cost of capital. However, the cost of capital of manufacturing companies in Indonesia is not affected by the innate accruals quality but only affected by the quality of discretionary accruals. The study suspects that investors may not be known to the practice of earnings management that affects accrual quality in reported earnings. Abstrak: Penelitian ini menganalisis pengaruh kualitas akrual pada biaya modal. Biaya modal terdiri dari biaya utang dan biaya ekuitas. Kualitas akrual dipengaruhi oleh beberapa faktor yang dibagi menjadi dua kelompok: non-discretionary accruals (bawaan) dan akrual diskresioner. Sampel yang digunakan dalam penelitian ini adalah perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia dari periode 2002 hingga 2013. Regresi linier terkecil biasa digunakan untuk menganalisis data. Hasil penelitian menunjukkan bahwa kualitas akrual berpengaruh negatif terhadap biaya modal. Namun, biaya modal perusahaan manufaktur di Indonesia tidak dipengaruhi oleh kualitas akrual bawaan, tetapi hanya dipengaruhi oleh kualitas akrual diskresioner. Studi ini mencurigai bahwa investor mungkin tidak memiliki pengetahuan tentang praktik manajemen laba yang mempengaruhi kualitas akrual dalam laba yang dilaporkan.

Integrasi Bursa Efek Jakarta dengan Bursa Efek di ASEAN (Setelah Penghapusan Batas Pembelian Bagi Investor Asing) Umi Murtini; Erni Ekawati
The Indonesian Journal of Accounting Research Vol 6, No 3 (2003): JRAI September 2003
Publisher : The Indonesian Journal of Accounting Research

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33312/ijar.106

The purpose of this study is to investigate the integration of BEJ with other ASEAN capital markets (Philippines, Malaysia, Thailand, and Singapore), after the abolishing of government regulation on September 1987 on the maximum limit of stock purchased by foreign investors in BEJ.On the contrary to the results of the previous researches using the data prior 1987, this study, implementing the stock index data from January 1998 to December 2001, shows that BEJ is integrated with other ASEAN capital market. The use of Johansen procedure of error correction model indicates that IHSG, KLSE, PSE, SETI, and SSI are cointegrated and have different magnitude of adjusted EC-term. This study concludes that a comovement exists among ASEAN capital markets.

Level of Growth and Accounting Profitability in Corporate Value Creation Strategy Erni Ekawati
The Indonesian Journal of Accounting Research Vol 8, No 1 (2005): JRAI January 2005
Publisher : The Indonesian Journal of Accounting Research

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33312/ijar.130

This research examines associations between level of growth and accounting profitability drawn from corporate value creation strategy. Results demonstrate that although the accounting profitability measures generally rise with sales growth, an optimal point exists beyond which further growth contributes to value destruction and adversely affects profitability.

Analysis of Accruals Quality on the Cost of Capital - A Case Study on Manufacturing Companies in Indonesia Emy Rosiana Swandewi Candra; Erni Ekawati
The Indonesian Journal of Accounting Research Vol 19, No 1 (2016): IJAR January 2016
Publisher : The Indonesian Journal of Accounting Research

Abstract: This study analyzes the effect of accruals quality on the cost of capital. Cost of capital consists of the cost of debt and cost of equity. Accrual quality is influenced by several factors which are divided into two groups: non-discretionary accruals (innate) and discretionary accruals. The sample used in this study is manufacturing companies listed in Indonesia Stock Exchange from the period of 2002 to 2013. Ordinary least square linear regressions are employed to analyze the data. The results showed that the quality of accruals negatively affects the cost of capital. However, the cost of capital of manufacturing companies in Indonesia is not affected by the innate accruals quality but only affected by the quality of discretionary accruals. The study suspects that investors may not be known to the practice of earnings management that affects accrual quality in reported earnings. Abstrak: Penelitian ini menganalisis pengaruh kualitas akrual pada biaya modal. Biaya modal terdiri dari biaya utang dan biaya ekuitas. Kualitas akrual dipengaruhi oleh beberapa faktor yang dibagi menjadi dua kelompok: non-discretionary accruals (bawaan) dan akrual diskresioner. Sampel yang digunakan dalam penelitian ini adalah perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia dari periode 2002 hingga 2013. Regresi linier terkecil biasa digunakan untuk menganalisis data. Hasil penelitian menunjukkan bahwa kualitas akrual berpengaruh negatif terhadap biaya modal. Namun, biaya modal perusahaan manufaktur di Indonesia tidak dipengaruhi oleh kualitas akrual bawaan, tetapi hanya dipengaruhi oleh kualitas akrual diskresioner. Studi ini mencurigai bahwa investor mungkin tidak memiliki pengetahuan tentang praktik manajemen laba yang mempengaruhi kualitas akrual dalam laba yang dilaporkan.

ACCOUNTING INFORMATION IN THE FAMA AND FRENCH THREE-FACTORS MODEL Pondaag, Rianty Nikita Lotazia; Ekawati, Erni
Jurnal Akuntansi dan Keuangan Indonesia Vol. 17, No. 2
Publisher : UI Scholars Hub

Show Abstract | Download Original | Original Source | Check in Google Scholar

The purpose of this study is to reexamine the ability of the Fama-French Three Risk Factor Model to explain stock portfolio returns in countries with different economic levels, as well as examine the effect of accounting information derived from book-to-market on stock portfolio returns. The sample used was a manufacturing company on the Indonesia Stock Exchange and the Tokyo Stock Exchange from 2013-2018. The results show that the three risk factors of the Fama-French model apply consistently to explain the variation in stock portfolio returns in developed markets. For the portfolio of shares in the emerging market, model Fama-French does not consistently assess stock portfolio returns. This research also provides empirical evidence that accounting information contained in book-to-market risk factors is only retained earnings, which has a contribution to the valuation of stock portfolio returns. The results of this study indicate that investors in developed markets are more rational and knowledgeable than emerging markets.

Investor institusional dan keinformatifan laba di Indonesia dan Jepang Ni Putu Gita Rahmaniati; Erni Ekawati
Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan Vol. 5 No. 1 (2022): Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan
Publisher : Departement Of Accounting, Indonesian Cooperative Institute, Indonesia

This study examines the existence of institutional investors who can play a role in increasing earnings informativeness through income increasing-earnings management and income smoothing. The hypothesis was developed on the basis of the view that the motivation behind earnings management decisions is to increase the informativeness of earnings reports. The study employs sample of manufacturing companies listed on the Indonesia Stock Exchange and the Japan Stock Exchange for the period of 2010-2018. Ordinary least square and weighted least square regression models are used in cross-sectional statistical testing, which is carried out annually throughout the 2014-2018 observation period. In Japan, institutional ownership has a positive and significant effect on income increasing- earnings management, and on reverse income smoothing, as well, while these are not the case in Indonesia. This study reveals that in Japan, the institutional investors play a role of monitoring that can encourage managers to increase earnings informativeness through earnings management-income increasing followed by reverse income smoothing. This condition is not found in Indonesia. It is possible that in Indonesia, the institutional investors play a role of controlling, that may promote managerial opportunistic behavior.

Covid-19 and firm performance in relation to level of income and investment - a study in Indonesia and Singapore Ursula. M. R. Butar Butar; Erni Ekawati
Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan Vol. 5 No. 5 (2022): Fair Value: Jurnal Ilmiah Akuntansi dan Keuangan
Publisher : Departement Of Accounting, Indonesian Cooperative Institute, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.32670/fairvalue.v5i5.2753

The purpose of this study is to empirically examine the impact of the covid-19 pandemic on firms’ performance. The impacts are also observed on firms in different industries, income and investment levels. This study employed sample of all non-financial firms in Indonesia and Singapore during the 2018-2020 period. The ordinary least square, fixed effect, and random effect models are adopted to test the hypotheses using the panel data. The results of the study showed that, generally, Covid-19 had a negative effect on firms’ performance in Indonesia and Singapore. The Indonesian firms with higher level of income got less severe Covid-19 effect on their performance. However, the level of investment strengthened the negative effect of Covid-19 on firm performance in both countries’ sample. In addition, the study documented that the effects of covid-19 were varied across the industry sectors.

HOW DO INTELLECTUAL CAPITAL DISCLOSURES MEDIATE FINANCIAL STRUCTURE AND COMPANY PERFORMANCE? EVIDENCE FROM INDONESIA AND SINGAPORE Dea Mitzi Yusphita; Erni Ekawati
Jurnal Ekonomi Bisnis dan Kewirausahaan Vol 12, No 1 (2023): Jurnal Ekonomi Bisnis dan Kewirausahaan
Publisher : Fakultas Ekonomi dan Bisnis, UNTAN

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26418/jebik.v12i1.54767

This study examines the effect of disclosure of intellectual capital in mediating the financial structure and performance of companies using path analysis method. This study also compares the effect of disclosing intellectual capital on companies listed on the Indonesian and Singapore stock exchanges from 2018 to 2020. A two-stage least squares statistical model is used to test the research hypothesis. The findings show that the financial structure in Indonesia and Singapore has a significant negative effect on financial performance. Meanwhile, financial structure has a significant negative effect on market performance only in Singapore, while Indonesia has no effect. Disclosure of intellectual capital which is used as a mediating variable on financial structure and performance has a significant positive effect in Singapore. Meanwhile, there is no significant effect on the relationship between financial structure and market performance after being mediated by disclosure of intellectual capital. This study can be used by managers as a starting point for designing more effective methods of using intellectual capital to gain competitive advantage through leverage.JEL: M41, O34.

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