DAFTAR PUSTAKA. Ang, Robert Buku Pintar: Pasar Modal Indonesia. Mediasoft Indonesia.

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64 DAFTAR PUSTAKA

Adenso, D.B and Fernando Gascon, 2007.

Linking and Weighting Efficiency

Estimates with Stock Performance in Banking Firms, Financial Institutions

Center, The Wharton School, University of Pennsylvania.

Ang, Robert. 2005. Buku Pintar: Pasar Modal Indonesia. Mediasoft Indonesia.

Basyori, Kurnia. 2008. Analisis Pengaruh Pengumuman Dividen Terhadap Return

Saham. Skripsi

,

Fakultas Ekonomi Universitas Islam Indonesia

Yogyakarta. (Tidak dipublikasikan).

Harahap,

Sofyan Syafri. 2009. “Analisis Kritis Atas Laporan Keuangan”. Jakarta:

RajaGrafindo Persada.

Haryanto

, Sahmuddin, Arifuddin,

2007

, Akuntasi Sektor Publik, Semarang,

Badan Penerbit UNDIP.

Henry Simamora, 2006. Akuntansi Basis Pengambilan Keputusan Bisnis,. Jakarta

: Salemba Empat.

Husnan, Suad. 2006. Dasar-dasar Teori Porotofolio dan Analisis Sekuritas. Edisi

Revisi. Yogyakarta: AMP YKPN

Jogiyanto HM, 2005,

Analisis dan Desain: Sistem Informasi Pendekatan

Terstruktur Teori dan Praktik Aplikasi Bisnis, Penerbit : Andi Offset,

Yogyakarta

Makridakis, S. dan Wheelwright, S.C. 2005.

Metode dan Aplikasi Peramalan.

Edisi. Ke-2. Terjemahan Hari Suminto. Jakarta: Binarupa

Natarsyah, Syahib, 2005,

Analisis Pengaruh beberapa Faktor Fundamental dan

Risiko Sistematik terhadap Harga Saham, Journal Ekonomi dan Bisnis

Indonesia,Vol 15, No. 3.

Sutrisno.(2005).Manajemen Keuangan Teori, Konsep, dan Aplikasi.Yogyakarta:

Ekonisi.

Van Horne, James C. and John M. Wachowicz. 2005.

Fundamentals of

Financial:Management

Prinsip-Prinsip

Manajemen

Keuangan.

Penerjemah: Dewi Fitriasari dan Deny Arnos Kwary. Penerbit Salemba

Empat: Jakarta.

Wahyudi, Sugeng, 2006,

Pengukuran Return Saham, Jurnal Ekonomi, Suara

Merdeka.

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DATA PENELITIAN

NO

Nama Perusahaan

DPR

ROE

Return Saham

2009

2010

2011

2009

2010

2011

2010

2011

2012

1 Aneka Tambang Tbk

0.5 _0.157848

_0.605077

0.2779

_0.362662652

_0.585658

_{8 4.475}

_5.457

2 Astra Agro Lestari Tbk

0.2551

0.65082

0.151616

0.0701

0.286446719

0.485994

12.6

28

32

3 Astra Internasional Tbk

0.3847

_0.163577

_0.201863

0.5238

_0.165898097

_0.24179

_15.7

_27.3

₄₅

4 Berlian Laju Tanker Tbk

0.3611

_0.066007

_0.201005

0.2094

_0.384930848

_0.228914

_1.74

_2.65

_3.245

5 Bakrie Sumatra Plantation Tbk

0.4 _0.129833

_0.21328

0.0039

_0.269107347

_0.086607

_{9.7 2.275}

_5.458

6 Bumi Reseources Minerals Tbk

0.3067

_0.00014

_0.000153

0.1134

_0.617605232

_0.703236

₉₀₀

₆

₄₅₂

7 Citra Marga Nusaphala Tbk

0.5 _0.205725

_0.298514

0.3162

_0.094692664

_0.088611

_1.65

_2.2

_4.5

8 Gajah Tunggal Tbk

0.5 0.135135

0.172414

0.1401

0.055450858

0.038075

580

490

523

9 International Nickel Ind. Tbk

0.002 0.004808

0.815583

0.2053

0.30506579

0.846024

31 96.25

80.257

10 Indosat Tbk

0.4496

0.572327

0.345273

0.3432

0.092758627

0.123426

6.75

8.65

7.36

11 Indocement Tunggal Perkasa Tbk

0.4 0.310494

0.112268

0.0481

0.982637777

0.142028

5.75

8.2

9.2

12 Lippo Karawaci Tbk

0.0075

_0.45

_0.1925

0.3051

_0.10972316

_83934253

_1.07

₆₉₀

₇₅₂

13 Perusahaan GAS Negara Tbk

0.4381

_0.250239

_2.714286

0.1341

_0.339435769

_0.012473

_{11.6 15.35}

₁₂₇

14 PT. Apexindo Pratama Duta Tbk

1.0968

_0.132231

_0.483129

0.0928

_0.146159423

_0.146364

_1.73

_2.1

_1.25

15 PT. Semen Gresik Tbk

0.3025

_2.032661

_3.652375

0.2259

_0.235565681

_0.267895

_36.3

_5.6

₄₇₈

16 Tambang Batubara Bukit Asam Tbk

0.4984

0.480841

0.319433

0.3394

0.211578507

0.271588

3.525

12

15

17 Telekomunikasi Indonesia Tbk

0.4583

0.088477

0.075224

0.0838

5.320073244

0.380965

10.1 10.15

10.89

18 Timah Tbk

0.023 0.243599

0.058314

0.3921

0.124146129

0.531279

4.425

28.7

275

19 United Tractor Tbk

0.0009

0.138037

0.114504

0.4264

0.202499675

0.260413

6.55

10.9

14.58

20 Unilever Indonesia Tbk

0.3054

0.353982

0.350195

0.0455

0.726863152

0.729773

6.6

6.75

6.88

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OUTPUT SPSS

Descriptive Statistics

Mean Std. Deviation N Return Saham (Y) 99.3403 212.33929 60 Deviden Pay Out Ratio

(DPR) (X1) .4139 .61014 60 Return On Equity (ROE) (X2) 1.3989E6 1.08359E7 60

Correlations

Return Saham (Y)

Deviden Pay Out Ratio (DPR) (X1)

Return On Equity (ROE)

(X2) Pearson Correlation Return Saham (Y) 1.000 .135 .404

Deviden Pay Out Ratio

(DPR) (X1) .135 1.000 -.048 Return On Equity (ROE) (X2) .404 -.048 1.000 Sig. (1-tailed) Return Saham (Y) . .152 .001

(DPR) (X1) .152 . .359 Return On Equity (ROE) (X2) .001 .359 .

N Return Saham (Y) 60 60 60

(DPR) (X1) 60 60 60

Return On Equity (ROE) (X2) 60 60 60

Variables Entered/Removedb Model Variables Entered Variables Removed Method 1 Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)a

. Enter

a. All requested variables entered. b. Dependent Variable: Return Saham (Y)

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Model Summaryb Model R R Square Adjusted R Square Std. Error of the Estimate 1 .432a .187 .158 194.82287 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden

Pay Out Ratio (DPR) (X1)

b. Dependent Variable: Return Saham (Y)

ANOVAb

Model Sum of Squares df Mean Square F Sig. 1 Regression 496701.241 2 248350.621 6.543 .003a

Residual 2163489.193 57 37955.951 Total 2660190.434 59

a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)

Coefficientsa Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 (Constant) 65.793 30.748 2.140 .037 Deviden Pay Out Ratio

(DPR) (X1) 53.837 41.618 .155 1.294 .201 Return On Equity (ROE)

(X2) 8.052E-6 .000 .411 3.436 .001 a. Dependent Variable: Return Saham (Y)

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Residuals Statisticsa

Minimum Maximum Mean Std. Deviation N Predicted Value 65.8006 752.0000 99.3403 91.75328 60 Std. Predicted Value -.366 7.113 .000 1.000 60 Standard Error of Predicted

Value 25.374 194.823 33.909 27.580 60 Adjusted Predicted Value 51.6071 241.3962 85.6702 29.10961 59 Residual -1.69626E2 8.17695E2 .00000 191.49232 60 Std. Residual -.871 4.197 .000 .983 60 Stud. Residual -.937 4.234 .014 1.006 60 Deleted Residual -1.96320E2 8.32269E2 2.60805 203.18960 59 Stud. Deleted Residual -.936 5.069 .033 1.103 59 Mahal. Distance .018 58.017 1.967 8.422 60 Cook's Distance .000 .789 .021 .103 59 Centered Leverage Value .000 .983 .033 .143 60

a. Dependent Variable: Return Saham (Y)

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. Enter

Model Summary Model R R Square Adjusted R Square Std. Error of the Estimate 1 .432a .187 .158 194.82287 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden

ANOVAb

Residual 2163489.193 57 37955.951 Total 2660190.434 59

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Coefficientsa Model Unstandardized Coefficients Standardize d Coefficients t Sig. Collinearity Statistics B Std. Error Beta Toleranc e VIF 1 (Constant) 65.793 30.748 2.140 .037

Deviden Pay Out

Ratio (DPR) (X1) 53.837 41.618 .155 1.294 .201 .998 1.002 Return On Equity

(ROE) (X2) 8.052E-6 .000 .411 3.436 .001 .998 1.002 a. Dependent Variable: Return Saham(Y)

Collinearity Diagnosticsa

Model

Dimensi

on Eigenvalue Condition Index

Variance Proportions

(Constant)

Deviden Pay Out Ratio (DPR) (X1) Return On Equity (ROE) (X2) 1 1 1.587 1.000 .21 .20 .02 2 .985 1.269 .00 .03 .94 3 .427 1.927 .79 .76 .03 a. Dependent Variable: Return Saham (Y)

Minimum Maximum Mean Std. Deviation N Predicted Value 65.8006 752.0000 99.3403 91.75328 60

Residual -1.69626E2 8.17695E2 .00000 191.49232 60 Std. Predicted Value -.366 7.113 .000 1.000 60 Std. Residual -.871 4.197 .000 .983 60

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Unstandardized Residual Test Valuea -68.90331 Cases < Test Value 30 Cases >= Test Value 30 Total Cases 60 Number of Runs 33

Z .521

Asymp. Sig. (2-tailed) .602 a. Median

One-Sample Kolmogorov-Smirnov Test

Unstandardized Residual

N 60

Normal Parametersa Mean .0000000 Std. Deviation 1.91492319E2 Most Extreme Differences Absolute .394

Positive .394 Negative -.280 Kolmogorov-Smirnov Z 3.055 Asymp. Sig. (2-tailed) .000 a. Test distribution is Normal.

. Enter

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Model R R Square Adjusted R Square Std. Error of the Estimate Durbin-Watson 1 .432a .187 .158 194.82287 2.233 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1) b. Dependent Variable: Return Saham (Y)

ANOVAb

Residual 2163489.193 57 37955.951 Total 2660190.434 59

Coefficientsa Model Unstandardized Coefficients Standardized Coefficients t Sig. B Std. Error Beta 1 (Constant) 65.793 30.748 2.140 .037 Deviden Pay Out Ratio

(DPR) (X1) 53.837 41.618 .155 1.294 .201 Return On Equity (ROE) (X2) 8.052E-6 .000 .411 3.436 .001 a. Dependent Variable: Return Saham (Y)

Minimum Maximum Mean Std. Deviation N Predicted Value 65.8006 752.0000 99.3403 91.75328 60

Residual -1.69626E2 8.17695E2 .00000 191.49232 60 Std. Predicted Value -.366 7.113 .000 1.000 60 Std. Residual -.871 4.197 .000 .983 60

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Model Variables Entered Variables Removed Method 1 Return On Equity (ROE) (X2), Deviden Pay Out Ratio (DPR) (X1)a

. Enter

Model Summaryb Model R R Square Adjusted R Square Std. Error of the Estimate 1 .432a .187 .158 194.82287 a. Predictors: (Constant), Return On Equity (ROE) (X2), Deviden

b. Dependent Variable: Return Saham (Y)

ANOVAb

Residual 2163489.193 57 37955.951 Total 2660190.434 59

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Minimum Maximum Mean Std. Deviation N Predicted Value 65.8006 752.0000 99.3403 91.75328 60 Std. Predicted Value -.366 7.113 .000 1.000 60 Standard Error of Predicted

Value 25.374 194.823 33.909 27.580 60 Adjusted Predicted Value 51.6071 241.3962 85.6702 29.10961 59 Residual -1.69626E2 8.17695E2 .00000 191.49232 60 Std. Residual -.871 4.197 .000 .983 60 Stud. Residual -.937 4.234 .014 1.006 60 Deleted Residual -1.96320E2 8.32269E2 2.60805 203.18960 59 Stud. Deleted Residual -.936 5.069 .033 1.103 59 Mahal. Distance .018 58.017 1.967 8.422 60 Cook's Distance .000 .789 .021 .103 59 Centered Leverage Value .000 .983 .033 .143 60

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Tabel Nilai-Nilai "Product Moment"

N

Taraf Signifikansi

N

Taraf Signifikansi

N

Taraf Signifikansi

5%

1%

5%

1%

5%

1%

3 0,997

0,999

26 02,388

0,496

55 0,266

0,345

4 0,950

0,990

27 0,381

0,487

60 0,254

0,330

5 0,878

0,959

28 0,374

0,478

65 0,244

0,317

29 0,367

0,470

70 0,235

0,306

30 0,361

0,463

75 0,227

0,296

6 0,811

0,917

31 0,355

0,456

80 0,220

0,286

7 0,754

0,874

32 0,349

0,449

85 0,213

0,278

8 0,707

0,834

33 0,344

0,442

90 0,207

0,270

9 0,666

0,798

34 0,339

0,436

96 0,202

0,263

10 0,632

0,765

35 0,334

0,430

1 00

0,195

0,256

11 0,602

0,735

36 0,329

0,424

1 25

0,176

0,230

12 0,576

0,708

37 0,325

0,418

1 50

0,159

0,210

13 0,553

0,684

38 0,320

0,413

1 75

0,148

0,194

14 0,532

0,661

39 0,316

0,408

2 00

0,138

0,181

15 0,514

0,641

40 0,312

0,403

3 00

0,113

0,148

16 0,497

0,623

41 0,308

0,398

4 00

0,098

0,128

17 0,482

0,606

42 0,304

0,393

5 00

0,088

0,115

18 0,468

0,590

43 0,301

0,389

19 0,456

0,575

44 0,297

0,384

6 00

0,080

0,105

20 0,444

0,561

45 0,294

0,380

7 00

0,074

0,097

21 0,433

0,549

46 0,291

0,376

8 00

0,070

0,091

22 0,423

0,537

47 0,288

0,372

23 0,413

0,526

48 0,284

0,368

9 00

0,065

0,086

24 0,404

0,515

49 0,281

0,364

25 0,396

0,505

50 0,279

0,361

10 00

0,062

0,081

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Tabel Nilai t

Derajat

Probabilitas

bebas

0,1

0,05

0,01

0,001

1 6,314

12,706

63,657

636,619

2 2,920

4,303

9,925

31,598

3 2,353

3,182

5,841

12,924

4 2,132

2,776

4,604

8,610

5 2,015

2,571

4,032

6,869

6 1,943

2,447

3,707

5,959

7 1,895

2,365

3,499

5,408

8 1,860

2,306

3,355

5,041

9 1,833

2,262

3,250

4,781

10 1,812

2,228

3,169

4,587

11 1,796

2,201

3,106

4,437

12 1,782

2,179

3,055

4,318

13 1,771

2,160

3,012

4,221

14 1,761

2,145

2,977

4,140

15 1,753

2,131

2,947

4,073

16 1,746

2,120

2,921

4,015

17 1,740

2,110

2,898

3,965

18 1,734

2,101

2,878

3,922

19 1,729

2,093

2,861

3,883

20 1,725

2,086

2,845

3,850

21 1,721

2,080

2,831

3,819

22 1,717

2,074

2,819

3,792

23 1,714

2,069

2,807

3,767

24 1,711

2,064

2,797

3,745

25 1,708

2,060

2,787

3,725

26 1,706

2,056

2,779

3,707

27 1,703

2,052

2,771

3,690

28 1,701

2,048

2,763

3,674

29 1,699

2,045

2,756

3,659

30 1,697

2,042

2,750

3,646

40 1,684

2,021

2,704

3,551

60 1,671

2,000

2,660

3,460

120 1,658

1,980

2,617

3,373

Y

1,645

1,960

2,576

3,291

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Tabel Nilai-Nilai Chi Square

d.f

Taraf Signifikansi

50%

30%

20%

10%

5%

1%

1 0,455

1,074

1,642

2,706

3,841

6,635

2 1,386

2,408

3,219

4,605

5,991

9,210

3 2,366

3,665

4,642

6,251

7,815

11,341

4 3,357

4,878

5,989

7,779

9,488

13,277

5 4,351

6,064

7,289

9,236

11,070

15,086

6 5,348

7,231

8,558

10,645

12,592

16,812

7 6,346

8,383

9,803

12,017

14,067

18,475

8 7,344

9,524

11,030

13,362

15,507

20,090

9 8,343

10,656

12,242

14,684

16,919

21,666

10 9,342

11,781

13,442

15,987

18,307

23,209

11 10,341

12,899

14,631

17,275

19,675

24,725

12 11,340

14,011

15,812

18,549

21,026

26,217

13 12,340

15,119

16,989

19,812

22,362

27,688

14 13,339

16,222

18,151

21,064

23,685

29,141

15 14,339

17,322

19,311

22,307

24,996

30,578

16 15,338

18,418

20,465

23,542

26,296

32,000

17 16,338

19,511

21,015

24,769

27,587

33,409

18 17,338

20,601

22,760

25,989

28,869

34,805

19 18,238

21,689

23,900

27,204

30,144

36,191

20 19,337

22,775

25,038

28,421

31,410

37,366

21 20,337

23,858

26,171

29,615

32,671

38,932

22 21,337

24,939

27,301

30,813

33,924

40,289

23 22,337

26,018

28,429

32,007

35,172

41,638

24 23,337

27,096

29,553

33,196

36,415

42,980

25 24,337

28,172

30,675

34,382

37,652

44,314

26 25,336

29,246

31,795

35,563

38,885

45,642

27 26,336

30,319

32,912

36,741

40,113

46,963

28 27,336

31,391

34,027

37,916

41,337

48,278

29 28,336

32,461

35,139

39,087

42,557

49,588

30 29,336

33,530

36,250

40,256

43,773

50,892