PENGARUH ECONOMIC VALUE ADDED DAN SUSTAINABILITY REPORT DISCLOSURE TERHADAP RETURN SAHAM PADA PERUSAHAAN YANG TERGABUNG DALAM JAKARTA ISLAMIC INDEX DI BURSA EFEK INDONESIA PERIODE 2014-2016

FITRIANI, AMIRA ROHANDIANA (2018) PENGARUH ECONOMIC VALUE ADDED DAN SUSTAINABILITY REPORT DISCLOSURE TERHADAP RETURN SAHAM PADA PERUSAHAAN YANG TERGABUNG DALAM JAKARTA ISLAMIC INDEX DI BURSA EFEK INDONESIA PERIODE 2014-2016. S1 thesis, Universitas Negeri Jakarta.

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Abstract

AMIRA ROHANDIANA FITRIANI. The Influence of Economic Value Added and Sustainability Report Disclosure on Stock Return of Companies Incorporated in Jakarta Islamic Index of Indonesian Stock Exchange for 2014-2016 Period. Faculty of Economics, Universitas Negeri Jakarta. 2018. The study was conducted to determine the effect of the Economic Value Added and Sustainability Report Disclosure on Stock Returns of companies incorporated in Jakarta Islamic Index of Indonesia Stock Exchange. The period in the study covers 3 years, which is along 2014-2016. Data in the study were obtained using secondary data collection techniques. A total of 18 companies were sampled in the study based on purposive sampling method, with a total of 54 observations. The research methodology used panel data regression analysis with a random effect model as a regression model. The results showed that the economic value added variable had a positive and significant effect on stock returns. This is because investors are more entrusting their funds to companies that are able to produce economic value added from their profits, so it could increase the reputation of the stock and influence the formation of stock return with the better value. Meanwhile, the sustainability report disclosure variable has a negative and significant influence on stock returns. This is because the sustainability report disclosure is not required yet in Indonesia, and the behavior of investors who still doubt the cost effectiveness of the company to conduct sustainability report disclosures, thereby reducing the reputation of the company's shares that influence the formation of stock returns with the lower value. This study only uses two independent variables, so that it can only represent 5.78% of stock returns. Therefore, for a better result, the next researcher is suggested to add other independent variables that are considered as factors that can affect stock returns. In addition, the next researcher can also add the number of samples, the length of the observation period, and the period of stock prices that will be used as a reference so that the results of the study can explain stock returns better. Keywords : stock return, economic value added, sustainability report disclosure.

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