ANALISIS CROSS-SECTIONAL….




  • ANALISIS CROSS-SECTIONAL DAN TEMPORAL HUBUNGAN ANTARA FINANCIAL LEVERAGE DAN RISIKO SISTEMATIS

    Drs. Ibnu Qizam, SE, MSi, Akt.

    Fakultas Syari`ah UIN Sunan Kalijaga

    Abstract

    This research is intended to examine both cross-sectionally and inter-temporally the correlation between financial leverage and systematic risk (beta). Financial leverage is usually considered as one proxy of risk derived from financial data and as one domain that has distinctive determinants. Beta, on the other domain, is regarded as one proxy of risk derived from market that has some other determinants. It is the research that tries to combine both cross-sectionally and inter-temporally the two domains that most of accounting researchers devote themselves little to.

    Cross-sectionally, this result fail to support hypothesis 1, that is the relation between financial leverage and systematic risk will be stronger when sizes of the firms are relatively smaller that the other firms and conversely, the relation between financial leverage and systematic risk will be stronger when the size is relatively larger that the others. Hypotheis 2 (the relation between financial leverage and systematic risk will be negatively stronger when the firms belong to a group of relatively more homogeneous industries than the others; and conversely, the relation between financial leverage and systematic risk will be positively less strong when the firms belong to a group of relatively less homogeneous industries than the others) and hypothesis 3b (the relation between financial leverage and systematic risk will be stronger when the significant effect of operating leverage variable is higher) is empirically supported (when using interaction model C.1). In spite of the significant results, the coefficients of financial leverage, operating leverage, and industry on the main effects show inconsistent signs. The result, however, is consistent with Sufiyati (1977)`s findings where some of her results showed that financial leverage was negatively related to beta.

    On the other test, inter-temporally the result shows that financial leverage is significantly and symmetrically related to beta. This means that the two variables show bidirectional causality. The high (low) beta can result in the high (low) financial leverage; and on the contrary, the high (low) financial leverage can result in the high (low) beta. This means that hypothesis 4a is supported. Nevertheless, the conditioning variables (operating leverage and size) do not significantly influence the causal relation between beta and financial leverage.

    Key words: Beta (systematic risk), Financial leverage, Operating Leverage, Size, Cross-sectional, inter-temporal, bidirectional, interaction model.

    I. Latar Belakang Masalah

    Riset ini dimaksudkan untuk menganalisis secara cross-sectional dan temporal hubungan antara financial leverage dan risiko sistematis atau beta. Financial leverage biasanya dianggap satu proksi risiko yang bersumber data keuangan perusahaan yang biasanya dianggap satu domain yang memiliki determinan yang terpisah; sementara di satu sisi, yaitu beta dianggap satu proksi risiko yang bersumber dari pasar yang juga memiliki determinan tersendiri. Namun, sayangnya beberapa peneliti belum mencoba menghubungan kedua proksi risiko dengan memasukkan beberapa variabel yang mempengaruhi hubungan keduanya secara lebih intens baik secara cross-sectional maupun temporal.

    Riset domain pertama, yaitu analisis determinan financial leverage antara lain dilakukan oleh Gupta (1969), Ferry and Jones (1979), Kale, Noe, and Ramirez (1991) dan lain-lain. Dalam temuan-temuannya, financial leverage ditempatkan sebagai variabel dependen yang dipengaruhi oleh berbagai variabel independen seperti size, growth, industri, risiko bisnis dan lain-lain. Sedangkan riset-riset berkaitan determinan risiko sistematis dan sekaligus yang mencoba menghubungkan antara kedua domain tersebut bisa lihat kembali pada temuan-temuan Hamada (1972), Ben-Zion and Shalit (1975), Mandelker and Rhee (1984), Bowman (1979, 1981), Robichek and Cohn (1974), Melicher and Rush (1974), dan lain-lain atau literatur keuangan seperti pada Foster (1986).

    * Simposium Nasional Akuntansi 10 – Makassar

    Download Jurnal

    Tinggalkan Balasan

    Alamat email Anda tidak akan dipublikasikan. Ruas yang wajib ditandai *

    This site uses Akismet to reduce spam. Learn how your comment data is processed.