LAMPIRAN
LAMPIRAN A
Daftar Perusahaan Manufaktur di Bursa Efek Indonesia
No Kode Nama Perusahaan Tanggal Tanggal Sub-Sektor Berdiri Listing
31. ASII Astra Internasional Tbk. 20/02/1957 04/04/1990 Otomotif & Komponen 32. AUTO Astra Otoparts Tbk. 20/09/1991 15/06/1998 Otomotif & Komponen 33. BATA Sepatu Bata Tbk. 15/10/1931 24/03/1982 Alas Kaki
34. BRAM Indo Kordsa Tbk. 08/07/1981 05/09/1990 Otomotif & Komponen 35. BUDI Budi Acid Jaya Tbk. 15/01/1979 08/05/1995 Kimia
36. FAST Fast Food Indonesia Tbk. 19/06/1978 11/05/1993 Makanan & Minuman 37. DLTA Delta Djakarta Tbk. 15.06/1970 27/02/1984 Makanan & Minuman 38. DVLA Darya-Varia Laboratoria Tbk. 05/02/1976 11/11/1994 Farmasi
39. GDYR Goodyear Indonesia Tbk. 26/01/1917 22/12/1980 Otomotif & Komponen 40. GGRM Gudang Garam Tbk. 26/01/1958 27/08/1990 Rokok
41. HMSP HM Sampoerna Tbk. 27/03/1905 15/08/1990 Rokok 42. IKBI Sumi Indo Kabel Tbk. 23/07/1981 21/01/1991 Kabel
43. INDF Indofood Sukses Makmur Tbk. 14/08/1990 14/07/1994 Makanan & Minuman 44. INTP Indocement Tunggal Prakasa Tbk. 16/01/1985 05/12/1989 Semen
45. KAEF Kimia Farma Tbk. 23/01/1969 04/07/2001 Farmasi 46. KLBF Kalbe Farma Tbk. 10/09/1966 30/07/1991 Farmasi
47. LION Lion Metal Works Tbk. 16/08/1972 20/08/1993 Logam & Sejenisnya 48. MLBI Multi Bintang Indonesia Tbk. 03/06/1929 15/12/1981 Makanan & Minuman 49. MRAT Mustika Ratu Tbk. 14/03/1978 27/07/1995 Kosmetik & Barang R.
50. SCCO Sucaco Tbk. 09/11/1970 20/07/1982 Kabel
51. SMGR Semen Gresik Tbk. 23/03/1953 08/07/1991 Semen
52. SMSM Selamat Sempurna Tbk. 19/01/1976 09/09/1996 Otomotif & Komponen 53. TCID Mandom Indonesia Tbk. 05/11/1969 30/09/1993 Kosmetik & Barang R. 54. TKIM Pabrik Kertas Tjiwi Kimia Tbk. 02/10/1972 30/04/1990 Pulp & Kertas
55. TSPC Tempo Scan Pasific Tbk. 20/05/1970 17/06/1994 Farmasi
56. TURI Tunas Ridean Tbk. 24/07/1980 16/05/1995 Otomotif & Komponen 57. UNTR United Tractors Tbk. 04/04/1979 01/10/1993 Otomotif & Komponen 58. UNVR Unilever Indonesia Tbk. 05/12/1933 11/01/1982 Kosmetik & Barang R. 59. INDS Indo Spring Tbk. 05/05/1978 10/08/1990 Otomotif & Komponen
LAMPIRAN B
DATA PERUSAHAAN TAHUN 2009
No KODE
PERUSAHAAN NAMA PERUSAHAAN
VARIABEL INDEPENDEN VARIABEL
DEPENDEN
MOMENTUM RETURN SAHAM
1 ASII
Astra Internasional
Tbk. 2,480.02 0.00 0.35 24150 2,289,099,526
Goodyear Indonesia
Tbk. 2,953.31 2.20 1.06 4600 0.92
10 GGRM Gudang Garam Tbk. 1,796.02 2.30 0.42 17300 4,070,588,235
11 HMSP HM Sampoerna Tbk. 1,160.70 2.40 0.23 2300 0.283950617
12 IKBI Sumi Indo Kabel Tbk. 93.85 2.48 0.99 1120 2.24
13 INDF
Indofood Sukses
Makmur Tbk. 236.42 2.56 0.5 2620 2,817,204,301
14 INTP
Indocement Tunggal
Prakasa Tbk. 746.12 2.64 0.24 9100 197,826,087
15 KAEF Kimia Farma Tbk. 11.25 2.71 0.08 1224 1,610,526,316
16 KLBF Kalbe Farma Tbk. 91.47 2.77 6.79 -273 -0.6825
17 LION Lion Metal Works Tbk. 646.21 2.83 2.08 -975 -0.317073171
18 MLBI
Multi Bintang
Indonesia Tbk. 16,158.42 2.89 0.03 172050 3,475,757,576
19 MRAT Mustika Ratu Tbk. 49.10 2.94 1.88 242 1,581,699,346
20 FAST
Fast Food Indonesia
Tbk. 407.84 3.00 0.18 5369 2,209,677,419
21 SMGR Semen Gresik Tbk. 560.82 3.04 0.23 3375 0.808383234
22 SMSM
Selamat Sempurna
Tbk. 92.28 3.09 0.39 292 0.449230769
23 TCID
Mandom Indonesia
Tbk. 619.75 3.14 0.54 2600 0.472727273
24 TKIM
Pabrik Kertas Tjiwi
Kimia Tbk. 223.55 3.18 8.58 1100 1,571,428,571
25 TSPC
Tempo Scan Pasific
Tbk. 79.99 3.22 0.74 330 0.825
26 TURI Tunas Ridean Tbk. 222.50 3.26 0.41 990 1.32
27 UNTR United Tractors Tbk. 1,147.48 3.30 0.26 11100 2,522,727,273 28 UNVR
Unilever Indonesia
Tbk. 398.97 3.33 0.04 3250 0.416666667
29 INDS Indospring Tbk 1.567 3.37 13.47 1203 0.041666667
LAMPIRAN C
DATA PERUSAHAAN TAHUN 2010
No KODE
PERUSAHAAN NAMA PERUSAHAAN
VARIABEL INDEPENDEN VARIABEL
DEPENDEN
MOMENTUM RETURN
SAHAM
Goodyear Indonesia
Tbk. 1,623.89 7.04 0.81 2900 0.302083333
10 GGRM Gudang Garam Tbk. 2,154.93 10.33 0.28 18450 0.856148492
11 HMSP HM Sampoerna Tbk. 1,465.08 9.93 0.08 17750 1,706,730,769
12 IKBI Sumi Indo Kabel Tbk. 15.03 6.4 1.34 -420 -0.259259259
13 INDF
Indofood Sukses
Makmur Tbk. 336.30 10.65 0.46 1325 0.373239437
14 INTP
Indocement Tunggal
Prakasa Tbk. 876.05 9.64 0.22 2250 0.164233577
15 KAEF Kimia Farma Tbk. 24.98 7.41 1.26 -1141 -0.877692308
16 KLBF Kalbe Farma Tbk. 126.66 8.86 0.17 3123 2,459,055,118
17 LION Lion Metal Works Tbk. 742.68 5.72 1.31 1700 0.80952381
18 MLBI
Multi Bintang Indonesia
Tbk. 21,021.17 7.04 0.08 97950 0.553389831
19 MRAT Mustika Ratu Tbk. 57.05 5.96 1.21 255 0.64556962
20 FAST
Fast Food Indonesia
Tbk. 447.28 7.12 2.04 550 0.055276382
21 SMGR Semen Gresik Tbk. 612.53 9.65 0.22 1900 0.251655629
22 SMSM Selamat Sempurna Tbk. 104.48 6.97 0.39 128 0.135881104
23 TCID Mandom Indonesia Tbk. 653.74 6.95 0.65 -900 -0.111111111
24 TKIM
Pabrik Kertas Tjiwi
Kimia Tbk. 313.04 9.91 1.33 1200 0.666666667
25 TSPC
Tempo Scan Pasific
LAMPIRAN D
DATA PERUSAHAAN TAHUN
2011
VARIABEL INDEPENDEN
VARIABEL
RATIO MOMENTUM
RETURN SAHAM
1 ASII
Astra Internasional
Tbk. 5.273 11.94 0.25 19450 0.356554
Goodyear Indonesia
Tbk. 908 7.08 1.09 -2950 -0.236
10 GGRM Gudang Garam Tbk. 2,577 10.57 0.21 22050 0.55125
11 HMSP HM Sampoerna Tbk. 3.674 9.87 0.06 10850 0.385435
12 IKBI Sumi Indo Kabel Tbk. 58 6.42 2.18 -450 -0.375
13 INDF
Indofood Sukses
Makmur Tbk. 571 10.89 0.78 -275 -0.05641
14 INTP
Indocement Tunggal
Prakasa Tbk. 978 9.81 0.25 1100 0.068966
15 KAEF Kimia Farma Tbk. 31 7.49 0.66 181 1,138,365
16 KLBF Kalbe Farma Tbk. 152 9.02 0.19 150 0.046154
17 LION
Lion Metal Works
Tbk. 1.01 5.9 1.11 1450 0.381579
18 MLBI
Multi Bintang
Indonesia Tbk. 24.081 7.11 0.07 84050 0.305692
19 MRAT Mustika Ratu Tbk. 60 6.05 1.67 -150 -0.23077
20 FAST
Fast Food Indonesia
Tbk. 497 7.12 0.18 -550 -0.05238
21 SMGR Semen Gresik Tbk. 668 9.89 0.22 2000 0.21164
22 SMSM
Selamat Sempurna
Tbk. 152 7.04 0.34 290 0.271028
23 TCID
Mandom Indonesia
Tbk. 698 7.03 0.66 500 0.069444
24 TKIM
Pabrik Kertas Tjiwi
Kimia Tbk. 348 10.06 2.37 -875 -0.29167
25 TSPC
Tempo Scan Pasific
Tbk. 130 8.35 0.27 840 0.491228
26 TURI Tunas Ridean Tbk. 58 7.84 0.26 20 0.034483
27 UNTR United Tractors Tbk. 1.572 10.75 7.37 2550 0.107143
28 UNVR
Unilever Indonesia
Tbk. 546 9.26 0.48 2300 0.139394
29 INDS Indospring Tbk 535 7.04 0.8 -700 -0.66667
LAMPIRAN E
Hasil Uji Data
Descriptive Statistics
N Minimum Maximum Mean Std. Deviation
RETURN SAHAM 90 .017 34.758 1.66531 4.728159
EARNING PER SHARE 90 1.010 21021.170 1174.82419 3034.228868
FIRM SIZE 90 .690 11.940 6.26408 2.996044
BOOK VALUE TO MARKET
RATIO
90 .020 20.330 1.27911 2.801564
MOMENTUM 90 20.000 172050.000 9268.77778 2.347883E4
Coefficientsa
Model
Collinearity Statistics
Tolerance VIF
1 LN_EarningPerShare .799 1.252
LN_FirmSize .902 1.108
LN_BookToMarketRatio .792 1.263
LN_Momentum .788 1.269
a. Dependent Variable: LN_ReturnSaham
One-Sample Kolmogorov-Smirnov Test
Unstandardized
Predicted Value
N 90
Normal Parametersa,,b Mean -.6522880
Std. Deviation .80978002
Most Extreme Differences Absolute .065
Positive .065
Negative -.046
Kolmogorov-Smirnov Z .613
Asymp. Sig. (2-tailed) .846
a. Test distribution is Normal.
Coefficientsa
a. Dependent Variable: LN_ReturnSaham Model Summaryb
Model R R Square
Adjusted R
Square
Std. Error of the
Estimate Durbin-Watson
1 .582a .338 .307 1.15877 1.658
a. Predictors: (Constant), LN_Momentum, LN_FirmSize, LN_EarningPerShare,
LN_BookToMarketRatio
b. Dependent Variable: LN_ReturnSaham
Uji Korelasi Dan Determinasi
Model R R Square
Adjusted R
Square
Std. Error of the
Estimate Durbin-Watson
1 .582a .338 .307 1.15877 1.658
a. Predictors: (Constant), LN_Momentum, LN_FirmSize, LN_EarningPerShare,
LN_BookToMarketRatio
Coefficientsa
Model
Unstandardized
Coefficients
Standardized
Coefficients
t Sig. B Std. Error Beta
1 (Constant) -1.865 .682 -2.736 .008
LN_EarningPerShare -.049 .066 -.073 -.739 .462
LN_FirmSize -.762 .206 -.344 -3.700 .000
LN_BookToMarketRatio -.060 .109 -.055 -.552 .583
LN_Momentum .361 .074 .486 4.895 .000
a. Dependent Variable: LN_ReturnSaham
ANOVAb
Model Sum of Squares df Mean Square F Sig.
1Regression 58.361 4 14.590 10.866 .000a
Residual 114.134 85 1.343
Total 172.495 89
a. Predictors: (Constant), LN_Momentum, LN_FirmSize, LN_EarningPerShare,
LN_BookToMarketRatio
