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All Journal JAM Jurnal Keuangan dan Perbankan Jurnal Manajemen & Keuangan Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi UNIAT Jurnal Riset Akuntansi dan Keuangan International Research Journal of Business Studies
John Iwan Kusno
Universitas Prasetiya Mulya
Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Social Sciences Other

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Dampak Pengumuman Pembagian Dividen Kas Terhadap Abnormal Return Pada Indeks LQ-45 Kusno, John Iwan; Hartanto, Fransisca Tharia
Jurnal Riset Akuntansi dan Keuangan Vol 6, No 3 (2018): Jurnal Riset Akuntansi dan Keuangan. Desember 2018 [DOAJ & SINTA Indexed]
Publisher : Program Studi Akuntansi FPEB UPI

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.17509/jrak.v6i3.14328

Abstract

The aim of this research is to examine the impact of cash dividend announcement to the abnormal return in the period before announcement, at the announcement, and after the announcement. The sample of this research is publicly listed companies in the LQ-45 index from 2015 to 2016. Market model is chosen to calculate the abnormal return. To test whether abnormal return is significant or not, we use t-test, one tailed test, at 5% significance level. Results of this research shows that Indonesian stock market is still not efficient since the abnormal return is significant at day two, day four, and day five after the cash dividend announceme
STOCK PORTFOLIO PERFORMANCE BASED ON STOCK VOLATILITY: A STUDY OF INDONESIA STOCK MARKET Kusno, John Iwan; Teja, Adrian
Jurnal Riset Manajemen dan Bisnis (JRMB) Fakultas Ekonomi UNIAT Vol 4 No 1 (2019)
Publisher : Economic Faculty, Attahiriyah Islamic University

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (317.831 KB) | DOI: 10.36226/jrmb.v4i1.238

Abstract

The aim of the study was to investigate the relevancy of capital asset pricing model (CAPM) in Indonesia. CAPM states investor who has willingness to take higher risk should compensate with higher return as compensation. Hypothesis testing uses the one sample t-test to validate the return portfolio is not equal to zero. The result of the study revealed that portfolio with highest risk did not provide highest return. Supposition of the results is because limitation of CAPM theory (frictionless market and everyone has risk averse profile). This creates low risk anomaly phenomenon in Indonesia stock market which lower risk portfolio can provide higher return and contractive monetary policy magnify the portfolio performance differences.
Investor Limited Information Processing Capacity: Industry Level Analysis Winston Sutandar; Angel Angel; Trixie Josunarto; John Iwan Kusno; Adrian Teja
Jurnal Manajemen dan Keuangan Vol 8 No 1 (2019): JURNAL MANAJEMEN DAN KEUANGAN
Publisher : Program Studi Manajemen Fakultas Ekonomi Universitas Samudra

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33059/jmk.v8i1.1307

Abstract

Investor has cognitive limitation in the form of limited information-processing capacity relative to the amount of information available to them. This limitation force investors to optimize their valuable resources by focusing only to a specific set of information based on their unique preference. Since different industry have different information complexities, different industries will have different investor segment in terms of investor number, investor sophistication, and investor speed to gather and to comprehend information from other industry. We investigate the prevalence of investor’s limited information-processing capacity in Indonesian stock market using autoregressive model. We used monthly data from 31 December 1999 to 30 September 2015 to identify whether there are industries that consistently lead other industries. We find only mining industry return, with small market capitalization only 3.3% relative to total Jakarta Composite Index market capitalization, which consistently leads Jakarta Composite Index return for one to two months.
The M&A Short-Term Wealth Effect of A Consistent Dividend-Paying Firm Veeghan Frances Tirtasaputra; Veren Geby Salim; John Iwan Kusno; Adrian Teja
Jurnal Keuangan dan Perbankan Vol 26, No 2 (2022): APRIL 2022
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v26i2.6572

Abstract

AbstractThe paper examines the MA short-term wealth effect of a consistent dividend-paying firm. The consistent dividend-paying firm is unique because they are associated with lower agency problems. Hence, it is expected that the MA by the dividend-paying firm has a short-term positive wealth effect. To test the hypothesis, we perform two steps analysis. The event-study method examines the acquirer stock performance on the announcement date, the deal close date, and the announcement to deal close date. The cross-section regression to test the short-term wealth effect of MA by the dividend-paying firm. The dependent variable is the acquirer's stock performance from the event-study method. The independent variable is a dividend-paying firm. The control variables are the acquisition deal value relative to the acquirer's stock market capitalization, the acquirer's stock dividend yield, and the acquirer's price-to-book value (PBV) ratio. The samples are MA transactions in ASEAN-5 (Indonesia, Malaysia, The Philippines, Thailand, and Vietnam) for 2015-2019. The regression analysis shows that the variable representing a dividend- paying firm has a negative sign. The finding suggests that investors react negatively to the MA by the dividend-paying firm. The negative wealth effect is relatively small compared to the MA deal value and the acquirer's stock valuation. The result is that the MA by a dividend-paying firm provides a short-term positive wealth effect.JEL: G34, G35
A Model to Identify the Potential Target for Leveraged Buyout Hermawan, Devina; Tanuwijaya, Elaine; Aditama, Jonathan; Kusno, John Iwan; Teja, Adrian
Jurnal Keuangan dan Perbankan Vol 26, No 1 (2022): January 2022
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/jkdp.v26i1.6265

Abstract

This study aims to find a model based on agency theory to identify the target firms of leveraged buyout (LBO) transactions one year ahead. The likelihood of a firm being a target in an LBO transaction is estimated using logistic regression. The dependent variable is defined as one for the LBO target and zeroes otherwise. The independent variables are a firm's financial characteristics related to agency problems: leverage, tangible assets, free cash flow, market-to-book value ratio, profitability, and revenue growth. The sample is public-to-private LBO transactions in the United States from 2009 to 2019. We find that a firm with high leverage and free cash flow is more likely to become an LBO target. The findings are consistent with the agency theory. The management uses firm high free cash flow to gain more debt to pursue their benefits which is detrimental to shareholders' interest. Contrary to previous research, the firm's tangible asset does not increase the likelihood of becoming an LBO target.
Dampak COVID-19 Pada Saham Perusahaan Farmasi di Bursa Efek Indonesia: Analisis Pasar Modal Indonesia Hartanto, Fransisca Tharia; Kusno, John Iwan
Akuntansi dan Manajemen Vol. 19 No. 2 (2024): Jurnal Akuntansi dan Manajemen
Publisher : Jurusan Akuntansi Politeknik Negeri Padang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30630/jam.v19i2.289

Abstract

The pharmaceutical industry has demonstrated resilience and potential for growth within the ongoing COVID-19 pandemic. Hence, pharmaceutical sub-sector stocks in Indonesia Stock Exchange emerge as a viable stock investment option for investors within the ongoing epidemic. The objective of this study is to establish empirical evidence regarding the notable market response from pharmaceutical stocks following the announcement of the first COVID-19 case in Indonesia. The research methodology employed in this study is an event study. The findings indicated a negative market reaction in one day before the first COVID-19 case was announced. On the day of the first COVID-19 case announcement, a statistically significant and favourable market response was found. Nonetheless, a negative reaction also found in H+7 after the first COVID-19 announcement. The present investigation also identified a positive cumulative abnormal return throughout the time period from H+1 to H+3, followed by a subsequent shift to a negative cumulative abnormal return from H+4 to H+7. The mixed market reaction was attributed on the market uncertainty in the beginning of COVID-19 pandemic.
ESG Scores’ Impact on Portfolio Performance, An Evidence from Indonesia Kusno, John Iwan; Hartanto, Fransisca Tharia; Trilaksono, Teddy
International Research Journal of Business Studies Vol. 17 No. 2 (2024): August - November 2024
Publisher : Universitas Prasetiya Mulya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21632/irjbs.17.2.199-212

Abstract

This study is to determine the effect of using the Refinitiv ESG score in stock picking and its impact on portfolio performance using the ESG Score. Methodology for this research using a two-sample t-test of Net Asset Value (NAV) price-return portfolios and the Sharpe ratio as a proxy for risk adjustment return for portfolio evaluation. The results of this study indicate that the use of a Refinitiv rating may serve as a suitable metric for stock selection strategy because companies with higher ESG scores tend to exhibit superior performance. Since ESG ratings in Indonesia are still difficult to obtain, those with access to ESG ratings will have more advantages. Greater return performance is followed by an increased level of risk. Given the assumption of a well-diversified portfolio, it is hypothesized that the increased risk can be attributed to a larger variance coefficient. So that the Sharpe ratio must be used for portfolio evaluation to measure risk-adjusted returns.
Co-Authors Aditama, Jonathan Adrian Teja Angel Angel Devina Hermawan, Devina Hartanto, Fransisca Tharia Hartanto, Fransisca Tharia Tanuwijaya, Elaine Teddy Trilaksono Trixie Josunarto Veeghan Frances Tirtasaputra Veren Geby Salim Winston Sutandar