Equivalent: Jurnal Ilmiah Sosial
Teknik
Vol. 6, No. 1, January 2024
THE EFFECT OF INVESTOR
SENTIMENT, INVESTMENT DECISION, AND PROFITABILITY ON STOCK RETURNS THROUGH FIRM
VALUE
Andini
Nurwulandari, Maison Hamonangan
Faculty of Economics and Business, Universitas Nasional, Indonesia
Email:
futuresmart03@gmail.com, andinmanajemen@gmail.com
ABSTRACT
Stock Return is the goal of
investors in investing their capital and high company value is the company's
goal. This study examines the effect of investor sentiment, investment
decisions, and profitability on stock returns with firm value as an intervening
variable. The population in this study were 25 public companies indexed on IDX
SRI KEHATI in the period May 2018 - May 2023. The type of data is the company's
annual panel in the form of volatility from stock price fluctuations. The data
collection technique uses purposive sampling and the analysis method used is
panel data regression with the Structural Equation Model (SEM) which is
processed with STATA 16 software. The sample that meets the criteria is 14
issuers. The results showed empirical evidence (1) Investor sentiment has a
negative and significant direct effect on firm value; (2) Investment decisions
have a positive and insignificant direct effect on firm value; (3)
Profitability has a positive and significant direct effect on firm value; (4)
Investor sentiment has a negative and insignificant direct effect on stock
returns; (5) Investment decisions have a positive but insignificant direct
effect on stock returns; (6) Profitability has a negative and insignificant
direct effect on stock returns; (7) Firm value has a negative and insignificant
direct effect on stock returns; (8) Investor sentiment has a positive and
insignificant indirect effect on stock returns through firm value; (9)
Investment decisions have a negative and insignificant indirect effect on stock
returns through firm value; (10) Profitability has a negative and insignificant
indirect effect on stock returns through firm value. The Intervening test
results with the Sobel test show that Firm Value cannot mediatthe
Investor Sentiment, Investment Decision, and Profitability variables on Stock
Returns.
Keywords: Investor
Sentiment, Investment Decision, Profitability, Firm Value, Stock Returns
INTRODUCTION
Financial
management is concerned with finding ways to create and maintain economic value
or wealth. Consequently, all decision making must be focused on wealth
creation. Important financial decisions such as introducing new products, when
to invest in new assets, when to replace existing assets, when to take out
loans from banks, when to issue shares or bonds, when to extend credit to
customers, and how much cash to maintain . Financial expert JF Bradley said,
"Financial Management is the area of the business, management devoted to
a judicious use of capital and a careful selection of sources of capital in
order to enable spending units to make in the direction of reaching its
goals." Management must be able to use its capital wisely and be able to
carefully select existing capital sources to enable the expenditure unit to
move towards its goals.
The company's
activities are related to its efforts to obtain funding at the minimum possible
cost, both related to allocating funds in various forms of investment such as
shares, as well as efforts to collect funds to finance investments or spend
efficiently. The accuracy of strategic financial decision making (or the
financial management function) is highly dependent on the accuracy of available
accounting data and financial ratios.
Investment in
the money market and capital market has become part of the economic
fundamentals of a country, not only advanced countries but also developing
countries, so appropriate macroeconomic policies will greatly influence the
trading process and stock price movements. In countries that adhere to a market
economic system, the capital market has become a source of economic progress,
because the capital market can be an alternative source of funds for companies
(Widiatmojo, 1997).
The money
market can be a place where fund owners and fund borrowers meet directly. This
meeting usually coincides with short-term transaction offers, for example
certificates of deposit, treasury bills, interbank call money, etc. With the
existence of a money market, capital owners and capital borrowers are brought
together. This is different from the capital market which offers investors
investment, especially in the long term, through the instruments and various
investment products offered. The capital market is a market where investors who
want to invest capital meet and issuers or companies that need funds for
business development, for example companies selling shares, the government
selling bonds and mutual funds, derivative instruments, etc. The purpose of
establishing a capital market is so that a country's system and economy can run
well in carrying out its economic and financial functions.
Investment in
the capital market has a very important role in achieving profits for a company
because the company must look for sources of funds outside the company and will
increase economic growth and financial efficiency in a country. Law number 8 of
1998 concerning the capital market which states that the capital market is the
activity of trading securities and public offerings of companies. Companies
that have gone public must provide financial information to be published so
that investors and potential investors can easily choose investments,
especially in today's digital era, they can easily buy shares of companies that
have gone public on the securities stock market.
The offering
or sale of shares of a company for the first time to the public (read: public)
on the capital market or stock exchange is called an IPO (Initial Public
Offering). So a company that has carried out an IPO is called a public company.
The initial offering was carried out after the company received permission from
BAPEPAM (Capital Market Supervisory Agency), the company that issues shares
which is then called the "Emiten".
According to KBBI, an issuer is a business entity (government) that issues
valuable paper for sale and purchase. Buyers consisting of the general public,
both domestic and foreign, can be referred to as "Investors".
When
companies issue shares on the capital market, they are in the form of ordinary
shares and preferred shares. The magnitude of the company's value can also be
seen from the movement of share prices which are stable and tend to increase in
the long term. So, if the higher the share price movement of a company, the
higher the value of the company. Shares are one of the securities traded on the
capital market. Issuing shares is one of the company's choices when deciding to
fund the company.
In 2020, the
Central Statistics Agency (BPS) has released the number of public companies
listed on the stock exchange market via the Indonesian Stock Exchange (BEI) at
709 (seven hundred and nine) companies as of October 2020. Composite Stock
Price Index (IHSG) It can be said to be a lead indicator or an economic
reference to see which direction the business is moving in the future and is
influenced by global sentiment. Polakitan(2015)says that most share prices of a security
tend to increase when the IHSG rises, and vice versa. A stock index is a
combination of several individual shares listed in a security that have the
same criteria into one group. These criteria can be based on many things, such
as industry type, market area boundaries, company size, stock performance level
and market capitalization(Cagan,
2017).
Companies
that are registered on the IDX are required to report or publish their company
financial reports openly every year. IDX has the authority to exclude and/or
exclude one or several listed companies from the IHSG calculations. The basic
consideration is that if the number of shares of the listed company owned by
the public (free float) is relatively small while the market capitalization is
quite large, then changes in the share price of the listed company have the
potential to affect the fairness of the JCI movement.
One of the
stock indexes on the IDX besides IHSG is "SRI- KEHATI" which was
published on June 8 2009, consisting of 25 (twenty five) shares of public
companies which are always evaluated twice a year, namely in May and November.
This index measures the share price performance of 25 (twenty five) shares of
listed public companies that have good performance in encouraging sustainable
businesses, have principles and awareness of the environment, social and good
corporate governance. The SRI-KEHATI stock index was launched, managed and
collaborates with the Indonesian Biodiversity Foundation (KEHATI) which acts as
a catalyst to find various more modern and innovative ways to conserve, manage
and utilize biodiversity in Indonesia in a sustainable manner.
At the
beginning of 2019, the Covid-19 pandemic hit throughout the world and resulted
in very worrying changes in various sectors of global society and especially in
Indonesia, for example many large companies closed permanently. When we look at
it from the investment side, this condition has greatly influenced financial
risk because investors experience uncertainty both in terms of economics and
individual behavior which can result in a
"negative sentiment" regarding the volatility of share prices on
global exchanges and the share prices of companies in the world. Indonesia. Ichev & Marin Research(2023), examines the impact of the Ebola
epidemic that occurred in 2014-2016, resulting in negative returns on financial
markets. In fact, after 2019, one year later what was feared would happen, in
Indonesia the Covid-19 pandemic has affected the stock exchange and capital
markets in Indonesia and the IHSG experienced a quite significant sharp decline
on March 15 2020 and became the lowest point in the four year period. . This
happened because of the impact of the detection of the first Covid-19 case in
Indonesia in March 2020 which caused negative sentiment towards the JCI.
The initial
negative sentiment emerged due to changes in people's behavior
caused by the implementation of social distancing by the government, namely
Large-Scale Social Restrictions (PSBB), which hampered the overall pace of
business movements, not only domestically but also abroad. Business activities
and operations are limited, which means a significant reduction in company
productivity. The decline in the JCI also adds uncertainty to business and
makes investors reluctant to invest capital in companies.
A stock
investment product is a piece of paper that states that the owner of the paper
is the owner of the company that issued the securities. Tandelilin
(2010) defines that shares are proof of
ownership of the assets of the company issuing shares. By owning shares in a
company, investors will have the right to the company's income and assets,
after deducting the payment of all company obligations so that the capital
market can be a means for investors to invest in the hope of getting the
expected reward (read: return) in the future. as well as low liquidation costs.
The
investor's goal in investing their capital is to get a return or return on the
funds that have been invested in the company they choose with as little risk as
possible. Investors, when deciding on their investment policy on the stock
investment products they have chosen, really pay attention to the income they
will get in the future, meaning that the availability of funds that are not
disturbed for the long term is very suitable for use in buying shares. One form
of return on stock investment is "stock returns" in the form of price
differences or capital gains(Restiawan & Asytuti,
2020). Stock returns are defined as the results
of profits or losses obtained from a stock investment product.
Wahyudi
& Pawestri in Fenandar (2019), states that in the "Signaling Theory" investment expenditure provides a
signal or signal regarding the company's growth in the future, so that it can
increase the share price which is used as an indicator of company value.
Company value can be influenced by financial management decisions which include
investment decisions, funding decisions or dividend policies and asset
management decisions.
Agus Harjito & Martono (2017) also
stated, to achieve the company's goals, several main financial decisions are
made, including:
(1)
Investment decisions, namely how the company obtains investment funds
efficiently and the composition of assets that must be maintained and which
must be reduced. Investment decisions involve a long period of time, so the
decisions taken must be considered very carefully; (2) Funding decisions or
dividend policy, namely policies concerning the decision whether profits earned
by the company should be distributed to shareholders or retained to finance
future investments (retained profits); (3) Asset management decisions (working
capital), namely decisions regarding the allocation of funds or assets, the
composition of funding sources that must be maintained and the appropriate use
of capital from both inside and outside the company.
Morck (2017)
said, in an inefficient market, the variable that also shapes stock market
prices is investor sentiment, namely investor confidence in the company's
expected cash flows in the future which is not supported by strong fundamental
information. Investors can be optimistic or pessimistic. Optimistic investor
sentiment will push share prices up and vice versa. This financial behavior can occur and is a pattern of investor behavior such as a person's psychological emotional process
that influences the decision to invest. So the behavior
of speculating is often associated with the psychological side of investors.
Investor behavior is greatly influenced by the information and data
they receive. This shows that individuals receive information and revise beliefs
sequentially in a continuous process through receiving information contained in
financial reports and also from other information sources such as social media
or the internet, and other announcements that can influence investors'
investment decisions. The inconsistency of profitability and company value is
also an impact of investor sentiment behavior in
determining their decisions. The following are several differences in research
(research gaps) or gaps in research results, including:
The influence
of investor sentiment on company value researched by Julia & Budi (2019)
states that investor sentiment does not moderate the influence of profitability
on company value. This is contrary to the results of research conducted by
Maria (2012) which shows that the negative influence of attachment mechanisms
on company value occurs significantly after being moderated by investor
sentiment. According to Maria, "there is inefficiency in financial
resources because the allocation of funds obtained from debt is not optimal
given investor sentiment." Therefore, debt management plays an important
role in preventing inefficiencies in financial resources created by investor
sentiment to increase company value.
The influence
of investment decisions on company value researched by Putu Shiely(2021)shows that investment decisions have no
effect on company value. This is contrary to the results of research conducted
by Adelia Rantika, Sri Hermningsih
and Alfiatul (2020) showing that investment decisions
have a positive and significant effect on company value. He said, "The R
Square (R2) value of the investment decision variable can explain the company
value variable. This means that the greater/higher the value (in percentage) of
the investment decision, the greater the value of the company, and achieving
the company's goals will only be generated through the company's investment
activities with investment decisions."
The effect of
profitability on company value was researched by Kusna
& Setijani(2018)shows that profitability has a negative
effect on company value, this is because "when investors want to invest in
a company they are not only fixated on the level of profits generated by the
company, sometimes an investor prefers to buy company shares even though the
company's profit level has decreased because the company's share price the
lower (cheaper)”. Contrary to the results of research conducted by Anesty &
Laily(2022)which shows that profitability has a
positive and significant effect on company value. These results mean that
profitability can be a basic consideration for investors before investing.
The influence
of investor sentiment on stock returns was researched by Eno Casmi(2019)which states that investor sentiment has
no significant effect on stock returns. This is contrary to the results of
research conducted by Anissa Putri (2021) which shows that investor sentiment
has a positive and significant effect on stock returns, even greater than before
the Covid-19 pandemic. Research by Anisa Putri also uses the three factors
model developed by Fama-French to increase the accuracy of the model in
research. According to Anisa Putri, "investor sentiment during the
pandemic has had a positive or unidirectional, significant and greater
influence than before the pandemic on stock returns, especially in the
Agriculture, Mining, Basic Industry and Chemical, Trade-Services-Investment
sectors, as well as the Consumer Goods Industry. However, this influence is no
greater than before the pandemic on stock returns in the Property, Real Estate
and Building Construction Sectors.
"Infrastructure-Utilities-Transportation Sector, Miscellaneous Industry
and Financial Sector, investor sentiment during the pandemic had a positive or
unidirectional but not significant influence on stock returns."
The influence
of investment decisions on stock returns as researched by Dyah
Ayu P (2016) states that investment decisions have a
negative and significant effect on stock returns, contrary to the results of
research conducted by Verenika Glory, et al (2021) which shows that investor
sentiment has a positive and positive effect. significant to stock returns.
According to Verenika, "the higher the investment decision, the greater the
impact on the share price of LQ45 companies on the IDX." The results of
this research are in line with the Signaling Theory
concept which states that it is important for companies to provide information
to investors, positive information signals will be viewed favorably
and the market will tend to be proactive compared to negative information. A
good positive signal will be able to attract investors to invest in shares,
which will have a positive impact on share prices.
The effect of
profitability on stock returns studied by Milka Prasetya (2021) states that profitability has no effect on
stock returns, contrary to the results of research conducted by RR Ayu Dika
& Gede Mertha (Parwati
& Mertha, 2016), which shows the results that partial
(overall) profitability has a positive and significant effect on stock returns.
According to Ayu Dika & Gede Mertha, with "increasing share prices,
the company's share returns will also increase," this theory is supported
by signal theory which is a guide for investors to assess the company's
prospects. Thus, profitability as a proxy for return on assets (ROA) has a
positive and significant effect on stock returns.
Furthermore,
in the intervening variable there is an influence of company value on stock
returns. It turns out that research researched by Okalesa,
et al (2020) shows that company value has a negative and significant effect on
stock returns. He believes that "good company value can occur if it has
good financial performance because the assessment of a company is reflected in
its financial performance which is reflected by the price of the shares owned
so that the value of the company increases, the share return also
increases." However, the research results are inversely proportional.
Contrary to the results of research conducted by Fidhayatin
(2012) which shows that company value has a positive and significant effect on
stock returns.
The
research results above show that there are inconsistencies in research results.
So there is a need for further research regarding the influence of the
variables above. This research was conducted with the aim of finding out and
proving how much "Influence of Investor Sentiment, Investment Decisions
and Profitability on Stock Returns through Firm Value in companies listed on IDX SRI-KEHATI in the period May 2018 -
May 2023".
RESEARCH METHOD
The
quantitative research method used in this research is based on annual panel
data sourced from the movement or volatility of stock prices of 14 public
companies listed on the IDX SRI-KEHATI stock index during the period May 2018 -
May 2023. The data collection technique used is documentation, which includes
data from official documents issued by Bank Indonesia, the Central Statistics
Agency, data and information on the Indonesian Stock Exchange, market watch,
yahoo finance, google finance, stockbit, investing,
previous research journals, as well as the issuer's annual financial report
which is a source of information.
Quantitative Research Method
Steps:
Selection
of Data Sources: Identify data sources that are relevant to the research topic,
such as stock price movement data, financial reports, and related information
from the sources mentioned.
Data
Collection: Collect data from selected sources, according to the specified time
period.
Data
Analysis: Carry out data analysis using descriptive statistical analysis
techniques, classical assumption tests, and multiple linear regression analysis
to obtain a comprehensive picture of the relationship between research
variables.
Data Processing: Data will be processed using
statistical software STATA 16.0 for Window, which has the advantage of using
syntax type commands and provides ease in interpreting data and a high level of
accuracy.
By following the steps above, this research will be
able to provide an in-depth understanding of the relationship between research
variables and financial report panel data as well as annual published share
price movements of 14 public companies listed on IDX SRI-KEHATI during the
period May 2018 – May 2023.
RESULTS AND DISCUSSION
A.
Classic
assumption test
Kuncoro (2018) said that the normality test aims to see
whether the data in the study is normally distributed or not. However, the normality
test is not a requirement for the Best Linear Unbias
Estimator (BLUE). The classical assumption test in this research was carried
out so that the panel data regression results used met BLUE, including that
there were no symptoms of multicollinearity, heteroscedasticity and
autocorrelation.
a.
Multicollinearity Test
Multicollinearity
is a situation where there is a strong correlation between one independent
variable and other independent variables in regression analysis. If
multicollinearity is detected in the analysis, the estimated regression
coefficient figures obtained have values that are not in accordance with the
substance, so that interpretation can be misleading. Apart from that, the
standard error value for each regression coefficient can be infinite. Variance
Inflation Factor (VIF) is a value that can be used as a reference to check for
multicollinearity.
The model is
said to be free from multicollinearity if the VIF value < 10 or the
tolerance value is getting closer to 1 and the 1/VIF value > 10. Meanwhile,
if the VIF value > 10 and 1/VIF < 10 indicates that an independent
variable is multicollinearity (Ghozali, 2013).
c.
Heteroscedasticity Test
This test is
carried out to find out whether in a regression model there is an inequality of
variance from the residuals of one observation to another observation. If the
variance from the residual from one observation to another observation is
constant then it is called homoscedasticity and if it is different it is called
heteroscedasticity. A good regression model is one where heteroscedasticity
does not occur. The Breusch-Pagan test was used in this research to carry out
heteroscedasticity tests. If the probability value (prob > chi2) is greater
than the significance level of 0.05, then it is concluded that
heteroscedasticity does not occur.
d.
Autocorrelation Test
The Run Test
was used in this research to carry out the autocorrelation test. If the
probability value is > 0.05 significance level, then it is concluded that
there is no autocorrelation. However, if the probability value is <0.05,
then it is concluded that autocorrelation has occurred.
B. Path Diagram Analysis
Path analysis
is used to describe and test the relationship model between variables in the
form of cause and effect. In this study, path analysis was also used to
determine the effect among independent variables and intervening on stock
returns. Referring
to table 4.6 from thesis (page 70), using standard coefficients, the two
regression equations are as follows:
FV
= 7.44 - 16.88 IS + 0.067 KI + 0.023 Pr
Rt
= 0.01194 – 0.316 IS + 0.00015 ID - 0.0035 FV
Research Equation 1:
The
coefficients values are used to determine the magnitude and significance of
the influence of the variables χ1, χ2, and χ3 on Z (NP) and to formulate the
regression equation after using the General Least Square (GLS) method.
Analysis:
The constant value (α) has a
positive value of 7.44. The positive sign means that it shows a unidirectional
influence between the independent variable and the dependent variable. This
shows that if all independent variables including IS, ID and Pr, are worth 0 percent or have no change, then the FV is
7.44. The beta values (β1,2,3) that form the substructure 1 equation are the
path coefficients that connect the independent variables to FV (Z). The TV
variable has a regression coefficient (β1) = (-) 16.88, which means that a one
percent decrease in TV will result in a decrease of 1688% in firm value. Then
the investment decisions increases by one percent will increase the firm value
by 6.7%, and if profitability grows by 1 rupiah, the firm value will experience
a growth of 2.3%. Assuming all other variables are constant.
Research Equation 2:
The
coefficient values are used to determine the magnitude and significance of
the influence of the variables χ1, χ2, χ3 and Z on Y (Rt) and to formulate the
regression equation after using the GLS method.
Analysis:
The constant
value (α) has a positive value of 0.1194. The positive sign means that it shows
a unidirectional influence between the independent variable and the dependent
variable. This shows that if all independent variables including IS, ID, Pr, and FV (Z) are 0 percent or have no change, then the
stock returns is 0.1194. The beta values (β1,2,3,4) that form the substructure
2 equation are the path coefficients that connect the independent variables and
β4 (Z) to Rt. The TV variable has a regression coefficient (β1) = (-) 0.316,
which means that every one percent decrease in TV, stock returns will decrease
by 31.6%. Then the investment decisions increases by one percent, Rt will
increase by 0.015% and a decrease of 1 rupiah in profitability will reduce the
value of Rt by 0.007%, also a one percent decrease in PBV will result in a
decrease in the value of Rt by 0.35%. Assuming all other variables are
constant.
Ghozali
(2016) explains that the core purpose of the coefficient of determination
(goodness of fit R-Square or R2) is to measure how far the model's ability is
to explain how the influence of the independent variables together
(simultaneously) influences the dependent variable. The coefficient of
determination value is between zero and one. A small R2 value means that the
ability of the independent variables to explain variations in the dependent
variable is very limited. An R2 value that is close to the total value = 1
(one) means that the independent variables provide almost all the information
needed to predict the dependent variable. Based on table 4.6, the path diagram
results are as follows:
Figure 1. Path Diagram
It is known
that the magnitude of the error value for each influence of the independent
variable on the dependent variable is:
ε1 = 0.79 ε2 = 0.97
In triming theory, testing the validity of the research model
is observed through calculating the total coefficient of determination (R2):
= 1 – (0.79²)
(0.97²)
= 1 –
(0.6241)(0.9409)
= 1 – 0.5872
R2 = 0.41
(41%)
The R2 value in table 4.6 overall
is 0.41 or 41%, which shows that the independent variable is able to explain or
predict the variance of the dependent variable and the remaining 59% is
explained by error and other variables outside the model.
C. Hypothesis test
Based on the various data and information
presented above, the following information on the results of hypothesis testing
is obtained:
1.
Hypothesis
Testing 1
H1: There is a
direct effect of investor sentiment on firm value. The test results show that
investor sentiment has a negative and significant direct effect on firm value,
with a path coefficient value (-) of 16.88 and a p-value = 0.01 < 0.05. So
hypothesis 1 is accepted.
2.
Hypothesis
Testing 2
H2: There is no direct effect of investment decisions on firm value. The test
results show that investment decisions have a positive but insignificant direct
effect on firm value, with a path coefficient value of 0.07 and a p-value =
0.16 > 0.05. Thus hypothesis 2 is rejected
3.
Hypothesis
Testing 3
H3: There is a direct effect of profitability on firm value. The
test results show that profitability has a positive and significant direct
effect on firm value, with a path coefficient value of 0.023 and a p-value =
0.000 < 0.05. So hypothesis 3 is
accepted.
4. Hypothesis
Testing 4
H4: There is
no direct effect of investor sentiment on stock returns. The test results show
that investor sentiment has a negative and insignificant direct effect on stock
returns, with a path coefficient value (-) of 0.26 and a p-value = 0.13 >
0.05. Thus hypothesis 4 is rejected.
5. Hypothesis
Testing 5
H5: There is no direct effect of investment
decisions on stock return. The test results show that investment decisions have
a positive but insignificant direct effect on stock returns, with a path
coefficient value of 0.000088 and a p-value = 0.94 > 0.05. Thus hypothesis 5
is rejected.
6. Hypothesis
Testing 6
H6: There is no direct effect of profitability on stock returns. The
test results show that profitability has a negative and insignificant direct
effect on stock returns, with a path coefficient value (-) of 5.8 and a p-value
= 0.97 > 0.05. Thus hypothesis 6 is rejected.
7. Hypothesis
Testing 7
H7: There is no direct effect of firm value on stock return. The
results show that firm value has a negative and insignificant direct effect on
stock returns, with a path coefficient value (-) of 0.003 and a p-value = 0.19
> 0.05. Thus hypothesis 7 is rejected.
8. Hypothesis
Testing 8
H8: There is no indirect effect of investor sentiment on stock
returns through firm value. The test results show that investor sentiment has a
positive and insignificant indirect effect on stock returns through firm value,
with a path coefficient value of
0.044 and a
p-value = 0.321 > 0.05. Thus hypothesis 8 can be
said there is “no mediation”.
9. Hypothesis
Testing 9
H9: There is
no indirect effect of investment decisions on stock returns through firm value.
The test results show that investment decisions have a negative and
insignificant indirect effect on stock returns through firm value, with a path
coefficient value of (-) 0.00016 and a p-value = 0.42 > 0.05. Thus
hypothesis 9 can be said, there is “no mediation”.
10. Hypothesis Testing 10
H10: There is no indirect effect of profitability on stock returns
through firm value. The test results show that profitability has a negative and
insignificant indirect effect on stock returns through firm value, with a path
coefficient value of (-) 0.0007 and a p-value = 0.27 > 0.05. Thus hypothesis
10 can be said, there is “no mediation”.
The following
is a summary of the results of the hypothesis testing above:
Table 1. Summary of Hypothesis Testing Results
|
Hypothesis: |
Test result: |
Information: |
|
H1: Sentiment investors influential directly negative and significant to company value |
The path
coefficient value (–) is 16.88 and p value =
0.01 < 0.05 |
Accepted |
|
H2:
Investment decisions have a positive but not significant direct effect on
company value |
The path
coefficient value is 0.07 and the p value = 0.16 > 0.05 |
Rejected |
|
H3:
Profitability has a positive and significant direct effect on value company |
The path
coefficient value is 0.023 and the p value = 0.000 < 0.05 |
Accepted |
|
H4: Sentiment investors the direct effect is negative and not significant on stock
returns |
The path
coefficient value is (-) 0.26 and the p value = 0.13 > 0.05 |
Rejected |
|
H5: Investment decisions have a direct positive but not
significant effect on stock returns |
The path
coefficient value is 0.000088 and p value =
0.94 > 0.05 |
Rejected |
|
H6: Profitability has a direct negative and insignificant
effect on stock returns |
The path
coefficient value is (-) 5.8 and the p value = 0.97 > 0.05 |
Rejected |
|
H7: Mark company influential directly negative and not significant to stock returns |
Path
coefficient value (-) 0.003 and p
value = 0.19 > 0.05 |
Rejected |
|
H8: Investor sentiment has a postive
and insignificant indirect effect on stock returns through the firm value |
The path
coefficient value is 0.044 and the p value = 0.321 > 0.05 |
No Mediation |
|
H9: Decision investment has a negative but not
significant indirect effect on returns shares through firm value |
The path
coefficient value is (-) 0.00016 and the p value = 0.42 > 0.05 |
No
Mediation |
|
H10: Profitability has a negative but not significant
indirect effect on stock returns through firm value |
The path
coefficient value is (-) 0.00007 and the p value = 0.27 > 0.05 |
No
Mediation |
Source: Processed data (2023)
D.
Discussion
of Research Results
1. The
Influence of Investor Sentiment on Firm Value
Based on the
results of research that has been conducted, empirical evidence was obtained
that investor sentiment has a direct negative and significant effect on company
value on IDX SRI KEHATI in the period May 2018 - May 2023. The results of this
research are in line with the results of research conducted by Maria. A (2012),
long before the pandemic, showed results that the negative influence of
embeddedness mechanisms on company value occurred significantly after being
moderated by investor sentiment.
During the
Covid pandemic, it has now again been proven to have a negative impact on
company value, such as a decline in share prices and financial performance, in
this case profit, this is because investors or the market are too sensitive to
information/news that is spread so that it can affect company value and
investor sentiment. optimistic. In the end, a falling company valuation cannot
provide maximum prosperity to shareholders. Liu et al., (2020) said that
investor sentiment significantly influence the stock market. When the market is
experiencing an uptrend and when there is a slight risk, new investors will
behave more positively or optimistically. However, when the market is in a down
trend, investor sentiment becomes negative and pessimistic and tends to wait
and then open a position in the market.
In the period
before and after the pandemic, the tendency of investors to be pessimistic and
risk averse or even moderate would of course still consider it very carefully
and choose to withdraw their funds from the capital market and then invest
their funds in safe haven investment schemes or instruments. has a low level of
risk and is safer, for example gold or property. If the investor is a risk
taker, perhaps he will maintain his share investment in the capital market or
even choose derivative products.
2. The Influence of Investment Decisions on Firm Value
Based on the
results of research that has been carried out, empirical evidence was obtained
that investment decisions have a direct positive and insignificant effect on
company value on IDX SRI KEHATI in the period May 2018 - May 2023. The results
of this research are in line with research conducted by Adelia Rantika Sari et
al (2020), Hilmy Pradana Sundawan and Prof. Sukirno
(2018).
The results
of this research reflect that investment decisions are used as an important
consideration for investors in investing their capital, one of which is because
investment decisions take into account stock market prices where stock market
prices are also reflected in the company value. Investment decisions are stated
to not significantly affect company value. This shows that the use of company
funds in investing has not been able to increase company value to the maximum.
An increase in company value occurs if the company experiences an increase in
the amount of investment. This increase in the number of investments shows that
investor confidence in the company has also increased because it shows the
company's growth.
A high PER
will be considered by investors as a good signal as "good news" which
can accurately indicate the company's value. A high PER indicates that the company's
share price is overvalued, but a high PER owned by the company also indicates
that the company has the ability to grow better compared to companies with a
lower PER.
3. The Effect of Profitability on Firm Value
Based on the
results of research that has been conducted, empirical evidence was obtained
that profitability has a direct positive and significant effect on the value of
the IDX SRI KEHATI company in the period May 2018 - May 2023. The results of
this research are in line with research conducted by Amnesty D & Laily N
(2022) , Sekar Aditya Dwikirana
and Prasetiono (2017).
Brigham &
Houston (2010) state that the stock market value can be shown by comparing the
market price of a company's shares with its book value. If the market value of
a company's shares is greater than its book value, then the company's value can
be said to be good because investors are willing to pay for shares greater than
its accounting book value. Company value is greatly influenced by the size of
the profitability generated by the company. Significant company profitability
is the most important indicator for a company and a positive signal for
investors, where the higher the ratio, the higher the company's profits and
profit growth, so it can be said that the company is "profitable".
4. The Influence of Investor Sentiment on Stock
Returns
Based on the
results of research that has been conducted, empirical evidence was obtained
that investor sentiment has a direct negative and insignificant effect on stock
returns. The results of this research are in line with research conducted by
William W. Ary (2020), Eno Casmi
(2019).
The rise of
negative sentiment towards the Indonesian capital market has made many
investors reluctant to invest in several companies. For example, negative
sentiment occurs due to rising interest rates in the United States, a decline
in the dollar exchange rate or inflationary turmoil during the pandemic. This
can trigger a decline in share prices resulting in fewer investors from
Indonesia than foreign investors. However, there is also a wave of novice
investors or newcomers starting to try and enter the stock market. Beginner
investors are known to be vulnerable to sentiment-based decisions, especially
when they are not supported by strong fundamental information.
Investor
sentiment is difficult to measure because it is a fairly abstract concept.
Baker & Wurgler (2006) also state that investor sentiment is investors'
beliefs about future cash flows and investment risks that are not supported by
facts. Investor responses can be positive or negative, depending on the results
of the investor's rational or irrational analysis. Investors need to analyze the return and risk of their stock investments. The
relationship between return and risk is linear, meaning that the higher the
return, the higher the risk faced by investors.
5. The Influence of Investment Decisions on Stock
Returns
Based on the
results of research that has been conducted, empirical evidence was obtained
that investment decisions have a direct positive and insignificant effect on
stock returns on IDX SRI KEHATI in the period May 2018 - May 2023. The results
of this research are in line with research conducted by Diantia
Amendy (2022) .
The results
of this research have shown that investment decisions and the type of
investment used for investment are in line with expectations but are not
optimal. Companies that have a high asset growth value indicate that the
company has good profit projections in the future period. This is seen by
investors as a good opportunity to invest in a company if it has a high total
asset growth value, because a high total asset growth value will provide hope
of large profits in the future.
Investment
decisions are an important factor in the company's financial function, where
the value of the company is solely determined by investment decisions, meaning
that investment decisions are very important to achieve the company's goals,
namely maximizing shareholder prosperity which will only be generated through
the company's investment activities.
6. The Effect of Profitability on Stock Returns
Based on the
results of research that has been carried out, empirical evidence was obtained
that profitability has a direct negative and insignificant effect on Stock
Returns on IDX SRI KEHATI in the period May 2018 - May 2023. The results of
this research are in line with research conducted by Milka
Prasetya (2022), Ni lu Putu
Ika and Ni Nyoman Ayu (2016) obtained empirical evidence that profitability as
proxied by Return On Equity (ROE) cannot be proven to have an effect or a
negative effect on stock returns.
The test
results show that profitability has a direct negative and insignificant effect
on stock returns, which means that the company does not grow significantly on
stock returns. This is because the company's growth opportunities are not only
due to increases or decreases in fixed assets but also due to other factors.
Apart from that, there is a tendency for investors to prefer to make short-term
investments (short term trading), so they pay less attention to the issuer's
profitability aspects when buying company shares because they look more at the
current market conditions when they want to buy or sell shares.
7. The Influence of Firm Value on Stock Returns
Based on the
results of research that has been conducted, empirical evidence was obtained
that company value has a direct negative and insignificant effect on stock
returns on IDX SRI KEHATI in the period May 2018 - May 2023. The results of
this research are close to the results of research conducted by Okalesa et al (2020 ), which states that company value has
a negative but significant influence on stock returns.
This negative and insignificant result
indicates that investors' perceptions or views on company value and company
performance as reflected in share price fluctuations indicate a poor assessment
or response from the market, so it can be said that company shares are less
attractive to investors, demand for company shares is not increased
significantly followed by a decrease in share prices which affected capital
gains as an element of stock returns. The inversely proportional influence of
company value on stock returns can also be caused by factors outside the
company's internal factors, such as the exchange rate, inflation rate, interest
rates and the transition period of the Covid pandemic.
8.
Investor
Sentiment Indirectly Influences Stock Returns Through Firm Value
Based on the results of the Sobel
test, the indirect effect of investor sentiment on stock returns through the
firm value of the IDX SRI KEHATI in the period May 2018 - May 2023 can be said
not to mediate the influence between investor sentiment and stock returns. So
the hypothesis stating that investor sentiment has an indirect effect on stock
returns through firm value is not proven.
A decrease in the firm's selling point
will affect the stock market because the market response tends to be
insignificant. The activity of the company's stock trading volume is actually positive
but slowing which in the end can lead to a downward trend in the value of
returns, so that it does not motivate investors to open positions and investors
do not want to take higher risks so that the issuer's stock returns are not
optimal.
9.
Investment
Decisions Indirectly Influence Stock Returns Through Firm Value
Based on the results of the Sobel
test, the indirect effect of investment decisions on stock returns through
company value on the IDX SRI KEHATI in the period May 2018 - May 2023 can be said
not to mediate the influence between investment decisions and stock returns. So
the hypothesis stating that investment decisions have an indirect effect on
stock returns through firm value is not proven.
Lack of
investor confidence in company performance if it increases, investors or
traders will decide not to buy company shares on an ongoing basis. In the end,
the declining company value and financial performance will affect the
investment decisions that will be taken so that the achievement of the company's
goal of increasing the value of stock returns is not optimal.
10. Profitability
Indirectly Influences Stock Returns Through Firm Value
Based on the
results of the Sobel test, the indirect effect of profitability on stock
returns through company value on the IDX SRI KEHATI in the period May 2018 -
May 2023 can be said not to mediate the effect between profitability and stock
returns. So the hypothesis stating that profitability has an indirect effect on
stock returns through firm value is not proven.
Decreased
company value and financial performance will affect the company's profitability
rate so that the issuer's stock return value is not optimal. Shareholders can
measure back with the ROE ratio, the extent to which profits can be generated.
When the issuer has a high company value, it will increase the attractiveness
of the firm and will indirectly increase the level of return.
CONCLUSION
Referring to
the results of the research that has been carried out as well as the discussion
of the research results that have been presented and discussed in the previous
chapter, several important conclusions that can be drawn are as follows; (1) Investor
sentiment directly has a negative and significant influence on the value of the
company on IDX SRI KEHATI in the period May 2018 - May 2023. This means that
the pessimistic perspective of investors has directly given negative results to
the value of TV, resulting in a very significant decline in the value of the
company; (2) Direct investment decisions have a positive and insignificant
influence on the value of the company at IDX SRI KEHATI in the period May 2018
- May 2023. This means that changes in the PER value have provided positive
results on direct investment decisions and have provided a significant change
in the value of the company; (3) Profitability directly has a positive and
significant effect on the firm value of the IDX SRI KEHATI in the period May
2018 - May 2023. This means that a change in transactions on the ROE’s value
has given positive results in increasing the company's profitability directly
and provides significant growth in the firm value; (4) Investor sentiment
directly has a negative and insignificant effect on stock returns of the IDX
SRI KEHATI in the period May 2018 - May 2023. This means that there is a change
in the perspective of investors who have given negative results on the value of
TV’s directly, resulting in a significant decrease in the value of stock
returns; (5) Direct investment decisions have a positive and insignificant
influence on stock returns on IDX SRI KEHATI in the period May 2018 - May 2023.
This means that there is a change in the PER value which has provided positive
results on direct investment decisions and provided a significant increase. on
the stock return value; (6) Profitability directly has a negative and
insignificant effect on stock returns of the IDX SRI KEHATI in the period May
2018 - May 2023. This means that there is a change in transactions on the ROE’s
value which has given negative results on profitability directly resulting in a
significant decrease in the value of stock returns; (7) Firm value directly has
a negative and insignificant effect on stock returns of the IDX SRI KEHATI in
the period May 2018 - May 2023. This means that there is a change in the PBV’s
value which has given negative results on the firm value directly resulting in
a significant decline in the value of stock returns; (8) Investor sentiment
indirectly has a positive and insignificant effect on stock returns through the
firm value of the IDX SRI KEHATI in the period May 2018 - May 2023. This means
that a change in perspective or an optimistic response from investors has
indirectly provided positive results in a little bit significant increase in
the value of stock returns through firm value; (9) Investment decisions
indirectly have a negative and insignificant effect on stock returns through
the firm value of the IDX SRI KEHATI in the period May 2018 - May 2023. This
means that there are investment changes that have given negative results on the
PER’s value indirectly and provide a significant decrease in the value of stock
returns through the firm value, and (10) Profitability indirectly has a
negative and insignificant effect on stock returns through the firm value of
the IDX SRI KEHATI for the period May 2018 - May 2023. This means that a change
in ROE transactions has given negative results on profitability indirectly
providing a significant decrease in the value of stock returns through firm
value.
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|
Andini Nurwulandari, Maison Hamonangan
(2024) |
|
First publication right: Equivalent: Jurnal Ilmiah
Sosial Teknik |
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