DAMPAK KONSERVATISMA TERHADAP

RELEVANSI NILAI INFORMASI AKUNTANSI

DI INDONESIA

DISERTASI

Oleh:

DARSONO

99/837/PS

PROGRAM DOKTOR AKUNTANSI

FAKULTAS EKONOMIKA DAN BISNIS

UNIVERSITAS GADJAH MADA

YOGYAKARTA

2012

130

RINGKASAN

A. Pengantar

Relevansi nilai informasi akuntansi sangat rendah dan terjadi penurunan dari

tahun ke tahun. Hasil reviu Lev (1989) menunjukkan relevansi nilai laba bersih

sekitar 4-7 persen dan Barth et al. (2001) melaporkan relevansi nilai laba bersih

paling tinggi sebesar 10 persen. Hasil penelitian di Indonesia menunjukkan kondisi

hampir sama. Selama kurun waktu 1995-2004, relevansi nilai informasi akuntansi

pada perusahaan pemanufakturan berkisar 2,1-8,5 persen (Lako, 2006).

Penurunan relevansi nilai buku ekuitas dan laba bersih dilaporkan oleh

Collins et al. (1997), Francis dan Schipper (1999), serta Lev dan Zarowin (1999).

Brown et al. (1999) menguji ulang data yang digunakan oleh Collins et al. (1997)

dengan mendeflasi variabel-variabel penelitian untuk menghilangkan bias

pengukuran. Hasilnya konsisten dengan penelitian sebelumnya, relevansi nilai

buku ekuitas bersama laba bersih menurun sebesar 0,3 persen per tahun selama

kurun waktu 1958-1996. Gu (2007) memperkuat hasil penelitian di atas dan

mendapat bukti baru bahwa relevansi nilai informasi akuntansi menurun semakin

tajam sejak tahun 1970-an.

Relevansi adalah unsur utama dari kualitas informasi akuntansi. Relevansi

nilai diukur dari kekuatan asosiasi angka-angka statemen keuangan dengan harga

saham. Informasi akuntansi yang rendah relevansinya tidak dapat digunakan

sebagai dasar pengambilan keputusan ekonomik oleh investor, calon investor, dan

pihak-pihak lain yang berkepentingan karena menunjukkan kualitas statemen

keuangan yang rendah (Sinha dan Watts, 2001; Dontoh et al., 2004).

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Hasil-hasil penelitian di Indonesia menunjukkan arah tidak konsisten.

Penurunan relevansi nilai buku ekuitas dan laba bersih terjadi selama kurun waktu

1995-1998 (Mayangsari, 2004). Suwardi (2005) mendapatkan bukti bahwa

relevansi nilai buku ekuitas dan laba bersih meningkat selama tahun 1992-1994,

1996-1997, dan 1999-2001, namun menurun pada tahun 1995 dan 1998. Fluktuasi

relevansi nilai informasi akuntansi dideteksi juga oleh Lako (2006). Relevansi nilai

informasi akuntansi tahun 1997, 1999, 2001, dan 2003 menurun sedangkan tahun

1996, 1998, 2000, 2002, dan 2004 meningkat.

Penyebab rendah dan semakin menurun relevansi nilai informasi akuntansi

adalah (Lo dan Lys, 2000; Givoly dan Hayn, 2000; 2002; Watts, 2003a; Monahan,

2005): (1) mengabaikan peran informasi akuntansi dinamis dalam penelitian, dan

(2) praktik konservatisma yang semakin meningkat. Barth et al. (1998), Kothari

(2001), serta Pope dan Wang (2005) menyatakan bahwa nilai buku ekuitas

melengkapi laba dalam kajian relevansi nilai.

Peran informasi akuntansi dinamis penting dalam menilai harga saham (Lo

dan Lys, 2000). Aset/perubahan aset direspon oleh investor (Ou, 1990; Park dan

Pincus, 2001). Berbagai kelompok aset seperti aset lancar (Ou, 1990; Lev dan

Thiagarajan, 1993; Seng dan Hancock, 2012), aset tetap (Kerstein dan kim, 1995;

Cahan et al., 2000; Osborne dan Ingles, 2003), dan aset takberwujud (Sougiannis,

1994; Nelson, 2006; Camara, 2007) berasosiasi dengan harga saham.

The Association for Investment Management and Research (AIMR)

mengusulkan pendekatan semua-termasuk (all-inclusive) dalam penyajian statemen

laba-rugi. Sejak saat itu standar akuntansi global termasuk Indonesia mengarah

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pada pelaporan laba komprehensif (Johnson et al., 1995; Kanagaretnam et al.,

2009; PSAK No. 1, revisi 2009). Hasil penelitian Chambers et al. (2007)

menunjukkan sebelum penerapan laba komprehensif (data 1994-1997), laba

komprehensif lain (other comprehensive income/OCI) tidak direspon oleh investor

namun setelah mengadopsi laba komprehensif (data 1998-2003), OCI

menunjukkan relevansi nilai.

Menurut Givoly dan Hayn (2000) penurunan relevansi nilai informasi

akuntansi disebabkan oleh sikap managemen yang konservatif dalam menyajikan

statemen keuangan. Selama kurun waktu 1956-1998, konservatisma laba

meningkat. Dalam kondisi konservatif, nilai buku aset (laba) pada statemen

keuangan disajikan bias ke bawah, yaitu lebih rendah dari nilai ekonomik aset (laba

ekonomik).

Konservatisma telah menjadi praktik yang lazim sejak 500 tahun lalu (Basu,

1997). Hingga kini belum diperoleh bukti empiris yang kuat tentang pengaruh

konservatisma pada relevansi nilai informasi akuntansi (Balachandran dan

Mohanram, 2011).

B. Tujuan Penelitian

Penelitian ini dilakukan untuk mengkonfirmasi model harga (Ohlson, 1995)

dengan pengaruh faktor lingkungan berupa konservatisma. Penelitian dilakukan

untuk menginvestigasi relevansi nilai informasi akuntansi secara luas, meliputi

komponen kunci statemen keuangan (nilai buku ekuitas dan laba bersih), laba

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komprehensif lain, dan informasi akuntansi dinamis. Selain itu diuji pula pengaruh

konservatisma pada relevansi nilai informasi akuntansi.

C. Kajian Pustaka

1. Penilaian Harga Saham

Kajian relevansi nilai merupakan bagian dari analisis faktor fundamental.

Fokus kajian relevansi nilai adalah menguji kebermanfaatan angka-angka statemen

keuangan sebagai hasil proses akuntansi (Bernard, 1995). Keberadaan kajian

relevansi nilai dapat ditelusur dari teori penilaian perusahaan. Menurut Holthausen

dan Watts (2001), Beaver (2002), serta Jenkins dan Kane (2006) penilaian dapat

dilakukan dengan tiga pendekatan, yaitu; (1) pendekatan neraca, (2) pendekatan

laba, dan (3) pendekatan hubungan linear nilai pasar saham dengan nilai buku

ekuitas dan laba akuntansi (disebut juga diskonto laba residual).1

2. Relevansi Nilai Informasi Akuntansi

Penelitian relevansi nilai menjadi bidang kajian yang banyak dilakukan sejak

dikenalkan oleh Ohlson (1995) dan didukung oleh Bernard (1995). Kajian relevansi

nilai berasumsi bahwa tujuan utama statemen keuangan adalah untuk (1) mengukur

nilai ekuitas atau mengukur asosiasi dengan nilai ekuitas, atau (2) menyajikan

informasi yang relevan untuk menilai ekuitas. Beaver (1998) menggambarkan 1 Setiap penulis membagi model penilaian berbeda-beda. Pembagian selain di atas dilakukan juga

oleh Liu et al. (2002). Mereka mengindentifikasi model penilaian berdasarkan pada aliran kas

atau akrual sebagai berikut: (1) accrual flows, (2) accrual stocks, (3) cash flows, (4) forward

looking information, (5) intrinsic value measures, dan (6) sum of forward earnings. Palepu et al.,

(2004) membagi metoda penilaian menjadi; (1) diskonto terhadap dividen, (2) penilaian

berdasarkan pada kelipatan harga (price multiples), (3) diskonto terhadap aliran kas, (4) diskonto

terhadap laba residual.

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proses hubungan laba terhadap ekuitas ke dalam tiga urutan, yaitu (1) laba sekarang

berguna untuk memprediksi laba masa depan, (2) laba masa depan adalah indikator

kemampuan membayar atau membagi dividen, dan (3) dividen masa depan

didiskontokan ke nilai sekarang untuk menentukan nilai ekuitas.

Angka-angka statemen keuangan dikatakan memiliki “relevansi nilai” jika

terdapat hubungan (related) dengan harga saham (Francis dan Schipper, 1999;

Barth et al., 2001). Terdapat dua model untuk menguji relevansi nilai informasi

akuntansi, yaitu model return dan model harga (Barth et al., 2001; Kothari dan

Zimmerman, 1995). Model return digunakan untuk menguji kandungan informasi

tepat pada saatnya (in timely basis) dan cocok untuk studi peristiwa (event studies)

(Fama, 1991). Barth et al. (2001) menggolongkan model return dengan studi

peristiwa ke dalam relevansi keputusan, bukan relevansi nilai.

Pada awalnya relevansi nilai (model harga) dianggap sebagai pesaing

relevansi keputusan (model return), tetapi kemudian mulai dipahami bahwa kedua

model tersebut saling melengkapi (Kothari dan Zimmerman, 1995; Barth et al.,

2001). Sebuah penelitian sering menggunakan dua pendekatan secara bersamaan,

misalnya penelitian oleh Marquardt dan Wieldman (2004), Ali dan Hwang (2000)

serta Lev dan Zarowin (1999).

3. Model Harga

Penilaian harga saham menurut pendekatan tradisional dimulai dari

memprediksi dividen-dividen dengan persamaan sebagai berikut:

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]~

[

1

t

DEtR fHSt ………………………….………..….………….......(1)

Dalam hal ini,

HSt = harga saham pada tanggal t

D t = dividen pada tanggal t

R f = suku bunga tanpa risiko plus satu

E t [.] = nilai harapan pada tanggal t.

Persamaan di atas memperlihatkan harga sebagai nilai sekarang dari serangkaian

dividen harapan (expected dividends) yang dibayarkan.

Dalam model harga, hubungan nilai buku ekuitas dengan laba dan dividen

harus bersifat hubungan surplus bersih (clean surplus relationship). Semua

komponen pembentuk laba harus dilaporkan pada statemen laba-rugi yang disebut

laba komprehensif. Nilai buku akhir tahun berasal dari nilai buku ekuitas awal

tahun ditambah laba dikurangi pembagian laba (dividen). Persamaan pertama dan

hubungan surplus bersih tersebut membentuk model harga Ohlson (1995). Dengan

demikian, nilai ekuitas dapat dinyatakan sebagai berikut:

tI tLBKtNBEtHSt 321

……………………..……………..(2)

Dalam hal ini,

NBEt = nilai buku ekuitas pada tanggal t

LBKt = laba komprehensif tahun berjalan

It = informasi lain.

α = konstanta/intersep

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β1: β2: β3 = slope/koefisien

εt = kesalahan residual.

Persamaan 2 menjadi persamaan dasar penelitian relevansi nilai dan telah

digunakan oleh banyak peneliti, diantaranya Collins et al. (1997), Barth et al.

(1998), Ou dan Sepe (2002), Landsman et al. (2007), Gu (2007), dan Landsman et

al. (2011). Di Indonesia, model tersebut digunakan dalam penelitian Sasongko

(2008) serta Almilia dan Sulistyowati (2007).

4. Komponen Laba Komprehensif

Model harga mensyaratkan penyajian laba komprehensif. Laba komprehensif

disebutkan dalam SFAC No. 6 paragraf 70 sebagai berikut:

Laba komprehensif adalah perubahan ekuitas dari perusahaan bisnis

selama suatu perioda dari transaksi dan kejadian-kejadian lain dan

sejenisnya (circumstances) dari sumber nonpemilik. Hal tersebut

meliputi semua perubahan ekuitas selama suatu perioda kecuali yang

dihasilkan dari investasi oleh para pemilik dan distribusi kepada para

pemilik.

Cheng et al. (1993) menguji relevansi nilai 3 tingkatan laba akuntansi, yaitu

laba operasi, laba bersih, dan laba komprehensif. Laba operasi lebih relevan

dibandingkan laba bersih, dan laba bersih lebih relevan dibandingkan laba

komprehensif. Kanagaretnam et al. (2009) mendapatkan bukti di Kanada dalam

kurun waktu 1998-2003, laba komprehensif lebih relevan dibandingkan dengan

laba bersih untuk memprediksi aliran kas. Strong dan Walker (1993) membagi laba

komprehensif ke dalam tiga komponen yang disebut preexceptional earnings,

exceptional earnings, dan laba luar biasa. Laba luar biasa meningkatkan koefisien

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determinasi sebesar 20 persen. Landsman et al. (2007) mendapatkan bukti bahwa

total exclusions (laba bersih dikurangi laba operasi IBES), pos khusus (laba bersih

dikurangi laba operasi), dan other exclusions (laba operasi dikurangi laba operasi

IBES) memiliki relevansi nilai. Laba komprehensif terdiri atas laba bersih

ditambah laba komprehensif lain.

Sebelum diterapkan IFRS (sebelum PSAK No 1 revisi 2009), standar

akuntansi di Indonesia mewajibkan statemen laba bersih. Akibatnya banyak

informasi yang menerobos menjadi bagian nilai buku ekuitas tanpa melalui

statemen laba-rugi, yang dinamakan pos surplus kotor. Pos surplus kotor tersebut

adalah laba komprehensif lain. Pos-pos surplus kotor menurut pedoman penyajian

statemen keuangan di Indonesia (SK Bapepam No. 06 tahun 2000 dan SE No. 2

tahun 2002) adalah:2 (a) selisih kurs karena penjabaran statemen keuangan, (b)

selisih kurs tidak normal bilamana depresiasi mencapai 133 persen dari rata-rata

tiga tahun terakhir, maka dapat dikapitalisasi, (c) selisih transaksi perubahan

ekuitas perusahaan asosiasi, (d) laba (rugi) belum direalisasi dari efek tersedia

untuk dijual, dan (e) selisih revaluasi aset tetap.

5. Sumber Daya Perusahaan

Menurut Lako (2006) dan Canibano et al. (2000) terdapat tiga kelompok

pos neraca yang memiliki relevansi nilai, yaitu; (1) aset lancar operasi (current

2 PSAK No. 1 (revisi 2009) merinci pendapatan komprehensif lain pada paragraf 07, terdiri atas; (a)

perubahan dalam surplus revaluasi, (b) keuntungan dan kerugian aktuarial atas program manfaat

pasti, (c) keuntungan dan kerugian yang timbul dari penjabaran statemen keuangan dari entitas

asing, (d) keuntungan dan kerugian dari pengukuran kembali aset keuangan yang dikategorikan

sebagai „tersedia untuk dijual‟, (e) bagian efektif dari keuntungan dan kerugian instrumen lindung

nilai dalam rangka lindung nilai aliran kas.

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operating asset), (2) aset tetap, dan (3) aset takberwujud. Ketiga kelompok tersebut

dinamakan akuntansi informasi dinamis (Lo dan Lys, 2000).

5.1. Aset Lancar Operasi. Aset lancar terdiri atas aset keuangan dan aset operasi.

Aset lancar operasi adalah aset lancar selain kas/bank dan investasi jangka pendek,

sehingga aset lancar operasi terdiri atas piutang, sediaan barang, dan aset lancar

lainnya (Fairfield et al., 2003). Peningkatan aset lancar operasi menunjukkan

penambahan aset yang kurang produktif.

5.2. Aset Tetap. Investasi atau pengeluaran untuk pembelian aset tetap (capital

expenditure) adalah pertumbuhan aset tetap yang dapat meningkatkan kinerja

perusahaan di masa datang. Core et al. (2003) serta Kerstein dan Kim (1995)

menyatakan bahwa pertumbuhan aset berhubungan erat dengan laba abnormal.

5.3. Aset Takberwujud. Keberadaan aset takberwujud direspon oleh investor ke

dalam dua arah, yaitu positif atau negatif (Ely dan Waymire, 1999). Respon positif

terjadi bila aset takberwujud menunjukkan aset yang memiliki nilai tambah

sehingga meningkatkan harga saham, sedangkan respon negatif terjadi bila aset

takberwujud merupakan biaya yang ditangguhkan pembebanannya. Penelitian Lako

(2006) searah dengan hasil penelitian Canibano et al. (2000), yaitu aset

takberwujud sebagai sumber laba ekonomik perusahaan di masa depan, sehingga

harus diakui sebagai aset karena berpengaruh positif terhadap harga saham.

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6. Konservatisma

Setiap standar akuntansi dan perusahaan memiliki tingkat konservatisma

yang bervariasi (Xu dan Lu, 2008). Lo (2005) dan Juanda (2006) mengkonfirmasi

bahwa praktik konservatisma terjadi juga di Indonesia.

Konservatisma telah mempengaruhi praktik akuntansi sejak 500 tahun yang

lalu (Basu, 1997). Menurut Kam (1990) konservatisma di bidang akuntansi dapat

ditelusur di Inggris sejak jaman pertengahan. Pada tahun 1920-an praktisi

perbankan di AS meminta agar statemen keuangan nasabah disajikan lebih

konservatif agar tidak overstatement (melaporkan aset/laba lebih tinggi dari

kenyataan). Selama 30 tahun terakhir praktik akuntansi semakin konservatif

(Watts, 2003a) bahkan dengan aplikasi IFRS, konservatisma tetap dipraktikan

(Hellman, 2008).

Konservatisma adalah prilaku melaporkan aset (pendapatan) lebih rendah dan

kewajiban (biaya) lebih tinggi dari nilai ekonomiknya (Hendriksen dan Van-Breda,

1992; Suwardjono, 2005). Hal serupa dinyatakan dalam SFAC No. 2 paragraf 95

yang menyebutkan...”jika terdapat dua estimasi angka yang akan diterima/dibayar

di masa depan, maka konservatisma menghendaki angka yang digunakan adalah

nilai yang paling tidak optimis”.

Menurut Watts (2003b) konservatisma diukur dengan tiga pendekatan, yaitu

aset bersih, hubungan laba terhadap return saham, laba dan akrual.3 Pendekatan

3 Wang et al. (2009) merinci metoda pengukuran konservatisma akuntansi. Mereka

mengelompokkan metoda pengukuran konservatisma, sebagai berikut: (1) Differential Timeliness

(Basu, 1997), (2) Asymmetric Accrual-to-Cash-Flow (Ball dan Shivakumar, 2005), (3) BTM atau

MTB (Beaver dan Ryan, 2000), (4) Negative Accrual (Givoly dan Hayn, 2000), (5) Hidden

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aset bersih dilakukan oleh Beaver dan Ryan (2000). Konservatisma diukur dengan

cara membandingkan nilai buku ekuitas terhadap harga saham (selanjutnya

disingkat B/M). Semakin rendah rasio BM, maka semakin konservatif karena nilai

buku ekuitas semakin jauh lebih rendah dari nilai pasar saham.

Pendekatan kedua dilakukan oleh Basu (1997). Konservatisma diukur dengan

cara menghubungkan laba dengan return, yaitu melalui regresi perubahan laba

yang dideflasi dengan harga pasar awal terhadap return yang dideflasi dari

perubahan laba positif dan negatif. Koefisien (β3) menunjukkan konservatisma.

Model Basu (1997) adalah sebagai berikut:

Xit / Pit-1 = α + β1DRit + β2Rit + β3Rit*DRit + εt ………..………………………..(3)

Dalam hal ini,

Xit = laba per saham perusahaan i pada tahun t

Pit-1 = harga per saham perusahaan i pada awal perioda

Rit = return perusahaan i untuk 12 bulan

DRit = variabel dummy, 0 bila Rit > 0, dan 1 bila Rit< 0.

εt = kesalahan residual.

Ball dan Shivakumar (2005) melakukan modifikasi terhadap model Basu (1997),

dengan cara meregresi aliran kas operasi terhadap akrual.

Pendekatan ketiga, konservatisma diukur dengan cara membandingkan laba

akuntansi dengan akrual. Givoly dan Hayn (2000; 2002) menyatakan bahwa tanda

dan besaran akrual dalam jangka panjang menunjukkan konservatisma.

Reserve yang diukur dengan indeks konservatisma (Penman dan Zhang, 2002), (6) Accounting-

chioce-based.

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Konservatisma dalam model ini dideteksi dari akrual nonoperasi negatif (NNA),

seperti pada persamaan berikut ini.

Cnit = -NAit = -(TAit-OAit) ................................................................................. (4)

Dalam hal ini,

Cn it = konservatisma perusahaan i perioda t

NA it = nonoperating accrual perusahaan i perioda t

TA it = total akrual perusahaan i perioda t, yaitu laba bersih + depresiasi –aliran kas

dari operasi

OA it = operating accrual perusahaan i perioda t, yaitu ∆ piutang usaha + ∆ sediaan

barang + ∆ biaya dibayar di muka - ∆ hutang usaha -∆ hutang pajak.

D. Perumusan Hipotesis

Berdasarkan tinjauan pustaka dan hasil kajian seperti diuraikan di atas, dapat

dirumuskan hipotesis-hipotesis di bawah ini.

1. Relevansi Nilai Ekuitas

Secara konsepsi informasi akuntansi mencerminkan sumber daya perusahaan,

hak atas sumber daya perusahaan, dan perputaran sumber daya perusahaan. Hak

atas sumber daya terdiri atas hak pemilik dan hak nonpemilik. Hak pemilik atas

sumber daya perusahaan merupakan hak residual pemegang saham (Suwardjono,

2005).

Hak residual pemegang saham atau ekuitas dilaporkan dalam neraca sebagai

nilai buku ekuitas. Ekuitas mengandung nilai ekonomik yang berpengaruh positif

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pada nilai pasar perusahaan (Ohlson, 1995; Suwardi, 2005; Sasongko, 2008).

Hipotesis relevansi nilai ekuitas sebagai berikut (dalam bentuk alternatif):

H1 = Ekuitas berpengaruh positif terhadap nilai pasar perusahaan.

2. Relevansi Nilai Kinerja Perusahaan

Kinerja perusahaan dihasilkan dari perputaran aset perusahaan yang

membentuk nilai tambah. Kinerja perusahaan tercermin dari laba bersih. Chambers

et al. (2007) menyatakan bahwa laba inti (core earnings) berpengaruh pada nilai

saham dalam dua cara, yaitu (1) berpengaruh pada nilai buku ekuitas dan nilai

pasar saham dollar-for-dollar, dan (2) laba inti abnormal dikapitalisasi dan

berasosiasi dengan nilai pasar saham melalui muhibah harapan. Dalam

hubungannya dengan nilai pasar perusahaan, hipotesis tentang kinerja perusahaan

sebagai berikut (dalam bentuk alternatif):

H2 = Kinerja perusahaan berpengaruh positif terhadap nilai pasar perusahaan.

3. Relevansi Nilai Laba Komprehensif Lain

Laba komprehensif terdiri atas laba bersih dan laba komprehensif lain (OCI).

OCI menunjukkan kinerja perusahaan selain pendapatan dan beban yang

dilaporkan pada statemen laba bersih. Pada pendekatan operasi-sekarang, OCI

dilaporkan pada nilai buku ekuitas yang dikenal sebagai pos surplus kotor. OCI

tidak berpengaruh pada nilai pasar perusahaan, terutama sebelum adopsi laba

komprehensif (Chambers et al., 2007; Dhaliwal et al., 1999; Cheng et al., 1993)

tetapi berpengaruh setelah adopsi IFRS (Chambers et al., 2007; Cahan et al., 2000).

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Meskipun terdapat bukti yang saling bertentangan, secara konsepsi OCI

berpengaruh pada nilai pasar perusahaan (Johnson et al., 2005). Dalam

hubungannya dengan nilai pasar perusahaan, hipotesis tentang OCI sebagai berikut

(dalam bentuk alternatif):

H3 = Laba komprehensif lain berpengaruh positif terhadap nilai pasar perusahaan.

4. Relevansi Nilai Informasi Akuntansi Dinamis

Informasi akuntansi dinamis adalah informasi dari pos-pos statemen

keuangan selain nilai buku ekuitas dan laba bersih, yaitu aset dan liabilitas.

Berbagai kelompok aset seperti aset lancar (Ou, 1990; Lev dan Thiagarajan, 1993;

Seng dan Hancock, 2012), aset tetap (Kerstein dan kim, 1995; Cahan et al., 2000;

Osborne dan Ingles, 2003), dan aset takberwujud (Sougiannis, 1994; Nelson, 2006;

Camara, 2007) berasosiasi dengan harga saham.

4.1. Pertumbuhan Aset Lancar Operasi. Aset lancar operasi diperlukan untuk

mendukung dan meningkatkan aktivitas utama perusahaan. Ou (1990) serta Lev

dan Thiagarajan (1993) mendapatkan bukti bahwa aset lancar operasi dipersepsi

sebagai sediaan potensi ekonomik yang belum dimanfaatkan. Nilai aset lancar

operasi meningkat karena managemen tidak dapat mengalokasi sumber daya pada

aset yang lebih produktif. Hipotesis relevansi nilai aset lancar operasi adalah

(ditulis dalam bentuk alternatif):

H4= Sumber daya perusahaan berupa pertumbuhan aset lancar operasi berpengaruh

negatif terhadap nilai pasar perusahaan.

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4.2. Pertumbuhan Aset Tetap. Pengeluaran untuk kapital menunjukkan

keyakinan managemen atas peluang investasi guna meningkatkan kemakmuran

perusahaan. Osborne dan Ingles (2003) menyatakan bahwa investasi hanya dapat

meningkatkan kemakmuran jika investasi menunjukkan satu dari empat keadaan

sebagai berikut. Pertama, investasi membentuk aset baru. Kedua, investasi

menambah aset yang sudah ada. Ketiga, investasi mengganti aset lama. Keempat,

investasi meningkatkan masa manfaat atau kapasitas aset lama. Oleh karena itu

hipotesis relevansi nilai pertumbuhan aset tetap adalah (ditulis dalam bentuk

alternatif):

H5= Sumber daya perusahaan berupa pertumbuhan aset tetap berpengaruh positif

terhadap nilai pasar perusahaan.

4.3. Aset Takberwujud. Aset takberwujud yang dicatat pada neraca terdiri atas

kos dari pengeluaran untuk riset, promosi, pengembangan produk baru, muhibah,

dan paten. Pengaruh aset takberwujud bersifat kontingensi karena aset takberwujud

dapat berupa kumpulan biaya yang ditangguhkan tanpa manfaat masa depan atau

kos yang memiliki nilai tambah bagi perusahaan (Ely dan Waymire, 1999). Oleh

karena itu hipotesis relevansi nilai aset takberwujud adalah (ditulis dalam bentuk

alternatif):

H6= Sumber daya perusahaan berupa aset takberwujud berpengaruh positif

terhadap nilai pasar perusahaan.

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5. Dampak Konservatisma pada Relevansi Nilai Informasi Akuntansi

Konservatisma mengakibatkan laba (aset) ditunda pengakuannya sampai

terdapat bukti transaksi yang kuat tetapi kerugian (biaya) diakui segera, sehingga

laba (aset) tahun ini lebih kecil dibandingkan laba (aset) ekonomik. Terjadi aliran

kas dengan pengakuan aset (laba) secara akrual. Penyajian lebih rendah

mengakibatkan distorsi pada statemen keuangan.

5.1. Dampak Konservatisma terhadap Relevansi Nilai Ekuitas. Nilai buku

ekuitas bersama laba menentukan harga saham, dan satu dari kedua nilai tersebut

hilang mengarah pada model yang salah spesifikasi (misspecification) (Kothari dan

Zimmerman, 1995; Ohlson, 1995). Konservatisma menimbulkan nilai buku aset

(laba) lebih rendah dari nilai ekonomiknya. Akibatnya laba bersifat transitory dan

nilai buku ekuitas menyajikan nilai inti (Dichev, 2008; Balachandran dan

Mohanram, 2011). Investor lebih memperhatikan nilai buku ekuitas. Oleh karena

itu, dapat dirumuskan hipotesis pengaruh konservatisma terhadap relevansi nilai

ekuitas sebagai berikut (ditulis dalam bentuk alternatif):

H7 = Konservatisma memperkuat relevansi nilai ekuitas.

5.2. Dampak Konservatisma terhadap Relevansi Nilai Kinerja Perusahaan.

Laba merupakan perputaran sumber daya yang menghasilkan nilai tambah bagi

pemilik. Laba menyediakan informasi untuk memprediksi aliran kas masuk masa

depan. Konservatisma mengakibatkan terjadi mismatch antara pengakuan

pendapatan dengan biaya. Akibatnya laba mengandung bias ke bawah karena

pengakuan laba (aset) secara akrual lebih rendah dibandingkan dengan aliran kas.

Laba banyak mengandung pos transitory sehingga direspon negatif oleh investor.

146

Oleh karena itu hipotesis pengaruh konservatisma terhadap relevansi nilai kinerja

perusahaan sebagai berikut (ditulis dalam bentuk alternatif):

H8= Konservatisma memperlemah relevansi nilai kinerja perusahaan.

5.3. Dampak Konservatisma terhadap Relevansi Nilai Laba Komprehensif

Lain. Laba komprehensif lain (OCI) menunjukkan kinerja perusahaan selain laba

bersih. OCI bermakna dalam memprediksi nilai perusahaan tergantung lokasi

penyajiannya (Chambers et al., (2007). Dalam penelitian ini, OCI dikutip dari nilai

buku ekuitas, oleh karena itu karakter OCI mirip nilai buku ekuitas. Konservatisma

akan meningkatkan relevansi pos surplus kotor. Hipotesis pengaruh konservatisma

terhadap relevansi nilai OCI sebagai berikut (ditulis dalam bentuk alternatif):

H9 = Konservatisma memperkuat relevansi nilai laba komprehensif lain.

5.4. Dampak Konservatisma terhadap Relevansi Pertumbuhan Aset Lancar

Operasi. Aset lancar operasi mengandung nilai yang persisten, menyajikan

informasi return masa depan (Dichev, 2008). Dalam keadaan konservatif, maka

nilai aset lancar operasi menunjukkan bias ke bawah. Oleh karena itu, hipotesis

dampak konservatisma terhadap pertumbuhan aset lancar operasi dirumuskan

sebagai berikut (ditulis dalam bentuk alternatif):

H10 = Konservatisma memperlemah relevansi nilai sumber daya perusahaan berupa

pertumbuhan aset lancar operasi.

5.5. Dampak Konservatisma terhadap Relevansi Nilai Pertumbuhan Aset

Tetap. Pengeluaran untuk kapital (aset tetap) dilakukan sejalan dengan

pertumbuhan perusahaan. Dalam keadaan konservatif, aset tetap dinilai lebih

rendah dari nilai ekonomiknya. Oleh karena itu, hipotesis dampak konservatisma

147

terhadap relevansi nilai pertumbuhan aset tetap dapat dirumuskan sebagai berikut

(ditulis dalam bentuk alternatif):

H11 = Konservatisma memperlemah relevansi nilai pertumbuhan sumber daya

perusahaan berupa aset tetap.

5.6. Dampak Konservatisma terhadap Relevansi Nilai Aset Takberwujud. Aset

takberwujud adalah sumber daya yang paling sulit dinilai karena sumbangan

terhadap kemakmuran perusahaan sulit diukur. Dalam keadaan konservatif, aset

takberwujud cenderung dinilai lebih rendah dari nilai ekonomiknya. Managemen

lebih cepat membebankan kos menjadi biaya, akibatnya terjadi bias ke bawah. Oleh

karena itu, hipotesis dampak konservatisma terhadap relevansi nilai aset

takberwujud dapat dirumuskan sebagai berikut (ditulis dalam bentuk alternatif):

H12 = Konservatisma memperlemah relevansi nilai sumber daya perusahaan berupa

aset takberwujud.

E. Metoda Penelitian

1. Variabel Penelitian

Dalam penelitian ini terdapat tiga jenis variabel, yaitu variabel dependen

berupa harga saham, variabel independen berupa nilai buku ekuitas neto, laba

bersih, OCI, pertumbuhan aset lancar operasi, pertumbuhan aset tetap, dan aset

takberwujud, serta variabel pemoderasi adalah konservatisma.

9. Harga Saham. Harga saham dikutip dari harga penutupan pada hari publikasi

statemen keuangan tercepat di bursa atau surat kabar. Harga saham diukur

dengan harga pasar per saham.

148

10. Nilai Buku Ekuitas. Penelitian ini menggunakan nilai buku ekuitas neto, yaitu

nilai buku ekuitas akhir tahun (NBE) dikurangi laba bersih tahun berjalan (LB)

dan pos surplus kotor (OCI). Nilai buku ekuitas neto per saham, yaitu nilai

buku ekuitas neto dibagi saham beredar akhir tahun (SHM) dengan perhitungan

sebagai berikut:

)(SHM

OCILBNBENBEn

11. Laba Bersih. Laba bersih adalah laba setelah pajak dan dinyatakan per saham

(EPS), yaitu laba bersih setelah pajak (LB) dibagi rata-rata bobotan saham

beredar (SHMb) dengan perhitungan sebagai berikut:

)(SHMb

LBEPS

12. Laba Komprehensif Lain (OCI). OCI adalah pos surplus kotor yang dikutip

dari nilai buku ekuitas. Pos surplus kotor diukur dengan dummy. Angka 1

mewakili perusahaan yang melaporkan surplus kotor dan 0 sebaliknya.

13. Pertumbuhan Aset Lancar Operasi. Pertumbuhan aset lancar operasi diukur

dari perubahan nilai aset lancar operasi per saham. Perubahan nilai aset lancar

operasi per saham (ALOPS) dihitung dari aset lancar operasi (ALOP) per

saham akhir tahun berjalan dikurangi dengan aset lancar operasi per saham

tahun sebelumnya dengan perhitungan sebagai berikut:

1

1

t

t

t

t

SHM

ALOP

SHM

ALOPALOPS

14. Pertumbuhan Aset Tetap. Penambahan aset tetap berwujud per saham (INV)

diperoleh dengan cara harga perolehan aset tetap (AT) akhir tahun berjalan per

149

saham dikurangi harga perolehan aset tetap akhir tahun sebelumnya per saham

dengan perhitungan sebagai berikut:

1

1

t

t

t

t

SHM

AT

SHM

ATINV

15. Aset Takberwujud. Aset takberwujud adalah pengeluaran yang membentuk

kos dan memiliki potensi menghasilkan pendapatan. Aset takberwujud diukur

dengan dummy, angka 1 mewakili perusahaan yang memiliki aset takberwujud

dan 0 sebaliknya.

16. Konservatisma. Konservatisma adalah ukuran perbedaan antara nilai buku aset

dengan nilai ekonomiknya. Untuk mengukur konservatisma, dalam penelitian

ini digunakan negative nonoperating accrual (NNA) per saham yang dihitung

dengan persamaan 4.

2. Teknik Analisis

Persamaan statistik untuk menguji hipotesis adalah sebagai berikut:

HSuit = α + β1NBEnit + β2EPSit + β3DAKOTit + β4ALOPSit + β5INVit +

β6DATWit + β7Cnit + β8Cnit*NBEnit + β9CnitEPSit+ β10Cnit*DAKOTit +

β11Cnit*ALOPSit+ β12Cnit*INVit + β13Cnit*DATWit + εit ......................(5)

Dalam hal ini,

HSuit = harga saham perusahaan i pada hari publikasi statemen keuangan tercepat

di bursa/surat kabar.

NBEnit = nilai buku ekuitas neto perusahaan i pada tanggal t (akhir tahun)

EPSit = laba bersih perusahaan i perioda t

DAKOTit = pos surplus kotor perusahaan i pada akhir tahun (dummy).

150

ALOPSit = Pertumbuhan aset lancar operasi per saham perusahaan i perioda t.

INVit = Pertumbuhan aset tetap per saham perusahaan i perioda t.

DATWit = Aset takberwujud perusahaan i pada tanggal t (dummy).

Cnit = Konservatisma perusahaan i pada perioda t.

α = konstanta/intersep

β1:… β13 = slope/koefisien

εit = kesalahan residual.

F. Hasil Penelitian

1. Pemilihan Sampel

Penelitian ini menggunakan data perusahaan-perusahaan dalam industri

pemanufakturan yang mempublik di Bursa Efek Indonesia (BEI) perioda tahun

2000-2009. Data statemen keuangan, tanggal publikasi, dan harga saham diperoleh

dari Pusat Referensi Pasar Modal (PRPM), Pojok BEJ Universitas Diponegoro, dan

pusat referensi PT Bursa Efek Jakarta/Bursa Efek Indonesia (BEI). Sampel dipilih

melalui metoda penyampelan bersasaran (purposive sampling) dengan kriteria: (a)

statemen keuangan disajikan dalam mata uang rupiah, (b) perusahaan

mengeluarkan satu jenis saham biasa, (c) nilai buku ekuitas positif, dan (d) perioda

akuntansi adalah tahun takwim.

Jumlah perusahaan pemanufakturan yang mempublik tahun 2000-2009

sebanyak 1.502 tahun-perusahaan dan setelah diseleksi, didapatkan sampel terpilih

sebanyak 840 observasi. Sampel terdistribusi pada 10 tahun pengamatan, paling

banyak adalah 94 observasi pada tahun 2006 (66,20% dari perusahaan

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pemanufakuran tahun tersebut), sedangkan terendah pada tahun 2000 sebanyak 69

observasi (44,52%). Terdapat 506 observasi yang melaporkan pos surplus kotor

(60,24% dari seluruh sampel) dan sebanyak 364 observasi memiliki aset

takberwujud (43,33%).

2. Hasil Pengujian Relevansi Nilai Informasi Akuntansi

Hasil uji asumsi klasik terhadap data untuk menguji relevansi nilai informasi

menunjukkan bahwa: (1) tidak terdapat autokorelasi, (2) tidak terdapat masalah

multikolinearitas, (3) terdapat masalah heteroskedastisitas, dan (4) menunjukkan

data tidak normal.

Upaya memecahkan masalah heteroskedastisitas telah dilakukan dengan

melakukan deflasi, log/log natural namun tidak berhasil. Penelitian ini

menggunakan data besar (840 observasi), sehingga diasumsikan data berdistribusi

normal (Hair et al., 2010; Gujarati, 2003).

Persamaan relevansi nilai informasi akuntansi adalah sebagai berikut.

HSuit = 31,846 + 0,544NBEnit + 3,431EPSit + 244,549DAKOTit - 0,344LOPSit

+ 0,158INVit + 170,469DATWit .......................................................... (6)

R2 (Adj.) = 0,840 (0,839)

Nilai F kalkulasian sebesar 727,067 dengan nilai probabilitas sebesar 0,000 yang

berarti secara statistik signifikan pada tingkat 1 persen. Nilai R2 (adj.)

menunjukkan variasi nilai perusahaan dapat dijelaskan dengan 6 variabel

independennya sebesar 83,9 persen, sisanya (16,1 persen) dijelaskan oleh variabel

lain yang tidak masuk dalam model.

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2.1. Hasil Uji Hipotesis 1. Hipotesis satu menyebutkan bahwa Ekuitas (NBEn)

berpengaruh positif terhadap nilai pasar perusahaan. Hasil uji statistik

menunjukkan t kalkulasian sebesar 20,028 dan nilai probabilitas sebesar 0,000 serta

koefisien bertanda positif, maka Ho1 berhasil ditolak. Hasil uji tersebut

mengkonfirmasi penelitian sebelumnya (misalnya Ohlson, 1995; Cahan et al.,

2000; Sasongko, 2008).

2.2. Hasil Uji Hipotesis 2. Hipotesis dua menyebutkan bahwa kinerja perusahaan

(EPS) berpengaruh positif terhadap nilai pasar perusahaan. Hasil uji statistik

menunjukkan t kalkulasian sebesar 28,588 dan nilai probabilitas sebesar 0,000 serta

koefisien bertanda positif, maka Ho2 berhasil ditolak. Hasil tersebut

mengkonfirmasi penelitian sebelumnya (misalnya Cahan et al., 2000; Mayangsari,

2004; Naimah dan Utama, 2006; Sasongko, 2008).

2.3. Hasil Uji Hipotesis 3. Hipotesis tiga menyebutkan bahwa laba komprehensif

lain (DAKOT) berpengaruh positif terhadap nilai pasar perusahaan. Hasil uji

statistik menunjukkan t kalkulasian sebesar 4,016 dan nilai probabilitas sebesar

0,000 dan koefisien bertanda positif, maka Ho3 berhasil ditolak. Hasil uji tersebut

searah dengan temuan Cahan et al. (2000), Kanagaretnam et al. (2009) serta Jones

dan Smith (2011).

2.4. Hasil Uji Hipotesis 4. Hipotesis empat menyebutkan bahwa pertumbuhan

aset lancar operasi (ALOPS) berpengaruh negatif terhadap nilai pasar perusahaan.

Hasil uji statistik menunjukkan t kalkulasian sebesar -5,613 dan nilai probabilitas

sebesar 0,000 dan koefisien bertanda negatif, maka Ho4 berhasil ditolak. Hasil uji

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tersebut mengkonfirmasi hasil penelitian Ou (1990), Lev dan Thiagarajan (1993),

Machfoedz (1994) serta Seng dan Hancock (2012).

2.5. Hasil Uji Hipotesis 5. Hipotesis lima menghubungkan pertumbuhan

(investasi) sumber daya perusahaan berupa aset tetap dengan nilai pasar

perusahaan. Investasi pada aset tetap (INV) berpengaruh positif terhadap nilai pasar

perusahaan. Hasil uji statistik menunjukkan t kalkulasian sebesar 2,237 dan nilai

probabilitas sebesar 0,026 dan koefisien bertanda positif, maka Ho5 berhasil

ditolak. Hasil tersebut mengkonfirmasi hasil penelitian sebelumnya (misalnya

Kerstein dan Kim, 1995; Cahan et al., 2000; Sasongko, 2008).

2.6. Hasil Uji Hipotesis 6. Hipotesis enam menyatakan bahwa sumber daya

perusahaan berupa aset takberwujud (DATW) berpengaruh positif terhadap nilai

pasar perusahaan. Hasil uji statistik menunjukkan bahwa t kalkulasian sebesar

2,776 dan nilai probabilitas sebesar 0,006 dan koefisien bertanda positif, maka Ho6

berhasil ditolak. Hasil tersebut mengkonfirmasi hasil penelitian sebelumnya

(misalnya Sougiannis, 1994; Ely dan Waymire, 1999; Lako, 2006).

3. Hasil Pengujian Dampak Konservatisma terhadap Relevansi Nilai

Informasi Akuntansi

Uji asumsi klasik menunjukkan terdapat masalah heteroskedastisitas dan data

tidak normal. Namun karena menggunakan data besar (840 observasi), maka

diasumsikan normal (Gujarati, 2003). Upaya untuk memecahkan masalah

heteroskedastisitas telah dilakukan namun tidak berhasil.

154

Persamaan regresi tentang pengaruh konservatisma pada relevansi nilai

adalah di bawah ini.

HSuit = 71,318+ 0,490NBEnit + 3,815EPSit + 161,975DAKOTit - 0,303ALOPSit

+ 0,222INVit + 146,566DATWit + 0,363Cnit+ 0,001Cnit*NBEnit –

0,001Cnit*EPSit + 1,124Cnit*DAKOTit – 0,001Cnit*ALOPSit-

0,001Cnit*INVit - 0,590Cnit*DATWit ……………...………………..…(7)

R2 (Adj.) = 0,858 (0,855)

Nilai F kalkulasian sebesar 382,874 dengan nilai probabilitas sebesar 0,000,

signifikan pada tingkat 1 persen. Nilai R2 (adj.) menunjukkan bahwa variasi nilai

perusahaan dapat dijelaskan dengan 13 variabel independennya sebesar 85,5

persen, sisanya dijelaskan oleh variabel lain yang tidak masuk dalam model.

3.1. Hasil Uji Hipotesis 7. Hipotesis tujuh menyatakan bahwa konservatisma

memperkuat relevansi nilai ekuitas (Cn*NBEn). Hasil uji statistik menunjukkan

nilai t kalkulasian Cn*NBEn sebesar 2,047, probabilitas sebesar 0,041dan koefisien

bertanda positif, Ho7 berhasil ditolak. Dalam keadaan konservatif, investor lebih

memperhatikan ekuitas dalam menilai harga saham (Barth et al., 1998; Collins et

al., 1999).

3.2. Hasil Uji Hipotesis 8. Hipotesis delapan menyatakan konservatisma

memperlemah relevansi nilai kinerja perusahaan (Cn*EPS). Hasil uji statistik

menunjukkan bahwa t kalkulasian Cn*EPS sebesar -4,329, probabilitas sebesar

0,000 dan koefisien bertanda negatif, maka Ho8 berhasil ditolak. Hasil penelitian

ini mengkonfirmasi pernyataan Watts (2003a) dan hasil penelitian Barth et al.,

(1998), Collins et al., (1999), dan Gu, (2007).

3.3. Hasil Uji Hipotesis 9. Hipotesis sembilan menyatakan bahwa konservatisma

memperkuat relevansi nilai laba komprehensif lain (Cn*DAKOT). Hasil uji

155

statistik menunjukkan nilai t kalkulasian sebesar 5,984, probabilitas sebesar 0,000

dan koefisien bertanda positif, maka Ho9 berhasil ditolak. Dalam penelitian ini,

OCI dikutip dari nilai buku ekuitas berupa pos surplus kotor, maka memiliki sifat

seperti nilai buku ekuitas. Temuan ini mendukung hasil penelitian Chambers et al.

(2007) yang menyatakan bahwa lokasi OCI berpengaruh pada perhatian investor.

3.4. Hasil Uji Hipotesis 10. Hipotesis sepuluh menyebutkan bahwa konservatisma

memperlemah relevansi nilai sumber daya perusahaan berupa aset lancar operasi

(Cn*ALOPS). Hasil uji statistik menunjukkan nilai t kalkulasian sebesar -1,735

dan probabilitas sebesar 0,083, signifikan pada tingkat 10 persen dan koefisien

bertanda negatif. Oleh karena itu Ho10 berhasil ditolak pada tingkat moderat.

Pertumbuhan aset lancar operasi direspon oleh investor sebagai pertambahan aset

yang kurang produktif (Ou, 1990; Seng dan Hancock, 2012).

3.5. Hasil Uji Hipotesis 11. Hipotesis sebelas menyebutkan bahwa konservatisma

memperlemah relevansi nilai investasi pada sumber daya perusahaan berupa aset

tetap (Cn*INV). Hasil uji statistik menunjukkan nilai t kalkulasian sebesar -1,825

dan probabilitas sebesar 0,068. Hasil tersebut menunjukkan bahwa Cn*INV

signifikan pada tingkat moderat (10 persen) dan koefisien bertanda negatif, maka

Ho11 berhasil ditolak. Dalam keadaan konservatif, pertumbuhan aset tetap

menunjukkan bias ke bawah. Investor merespon negatif atas pertumbuhan aset

tetap (Lev dan Zarowin, 1999; Gu (2007).

3.6. Hasil Uji Hipotesis 12. Hipotesis duabelas menyebutkan bahwa

konservatisma memperlemah relevansi nilai sumber daya perusahaan berupa aset

takberwujud (Cn*DATW). Hasil uji statistik menunjukkan nilai t kalkulasian

156

sebesar -3,093, probabilitas sebesar 0,002 dan koefisien bertanda negatif, maka

Ho12 berhasil ditolak. Dalam keadaan konservatif, aset takberwujud dilaporkan

lebih kecil dari nilai ekonomiknya. Investor merespon negatif aset takberwujud

(Watts, 2003a).

G. Analisis Tambahan

Untuk mengetahui pengaruh konservatisma pada perusahaan berkinerja

positif dan negatif, maka sampel dibagi ke dalam dua kelompok. Pembagian ke

dalam dua sub sampel penting karena proporsi perusahaan merugi semakin

meningkat dan memiliki relevansi nilai yang berbeda (Hayn, 1995; Joos dan

Plesko, 2005). Perusahaan berkinerja positif sebanyak 660 observasi dan berkinerja

negatif sebanyak 180 observasi. Hasil uji statistik terhadap kedua kondisi

menunjukkan bahwa konservatisma berpengaruh berbeda pada Cn*NBEn, Cn*EPS,

Cn*DAKOT, Cn*ALOPS, Cn*INV, dan Cn*DATW bagi perusahaan berkinerja

positif dan negatif.

Hasil uji pada perusahaan yang berkinerja positif menunjukkan hasil yang

konsisten dengan hasil uji hipotesis tujuh-sembilan dan duabelas. Dampak

konservatisma terhadap relevansi nilai pertumbuhan aset lancar operasi (ALOPS)

dan aset tetap (INV) tidak signifikan. Pada perusahaan berkinerja negatif,

konservatisma hanya berpengaruh pada NBEn dan INV. Hasil uji terhadap

perusahaan laba/(rugi) tersebut mengkonfirmasi hasil penelitian Hayn (1995), Joos

dan Plesko (2005).

157

Pada perusahaan berkinerja positif, konservatisma memperlemah relevansi

nilai EPS, DATW lebih kuat dibandingkan perusahaan berkinerja negatif. Hal

tersebut menunjukkan bahwa dalam keadaan konservatif, EPS dan DATW

mengandung nilai transitory. Sebaliknya pada perusahaan yang berkinerja negatif,

konservatisma memperkuat relevansi nilai NBEn, lebih tinggi dibanding pada

perusahaan berkinerja positif. Pada perusahaan merugi, investor lebih memilih nilai

buku ekuitas untuk menilai harga saham.

H. Uji Sensitivitas

Dalam penelitian ini dilakukan uji sensitivitas dengan dua cara sebagai

berikut.

1. Validasi Dengan Data Normal pada Harga Publikasi Tercepat di Bursa

atau Surat Kabar

Uji sensitivitas pertama dilakukan dengan data hasil trimming data utama

sehingga sampel menunjukkan distribusi normal pada 538 observasi (64,04% dari

sampel terpilih). Hasil uji asumsi klasik menunjukkan data normal dan tidak

terdapat masalah autokorelasi dan multikolinearitas namun masalah

heteroskedastisitas belum dapat diobati.

Informasi akuntansi NBEn, EPS, DAKOT, dan INV memiliki relevansi nilai

signifikan pada tingkat 1% dan koefisien bertanda positif. Adapun ALOPS dan

DATW tidak menunjukkan adanya relevansi nilai. Hasil uji statistik menunjukkan

empat variabel (NBEn, EPS, DAKOT, dan INV) konsisten dengan hasil uji regresi

data utama (840 observasi).

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Hasil uji interaksi konservatisma dengan variabel informasi akuntansi

menunjukkan bahwa konservatisma memperlemah relevansi nilai EPS, DAKOT,

INV, dan DATW dan memperkuat relevansi nilai NBEn tetapi tidak berpengaruh

pada relevansi nilai ALOPS. Hasil uji tersebut konsisten dengan hasil uji data

utama (840 observasi) dalam hal NBEn, EPS, INV, dan DATW yang menunjukkan

hasil yang signifikan. Meskipun hasil uji statistik signifikan, Cn*DAKOT bertanda

negatif, berbeda arah dengan Cn*DAKOT data utama.

2. Validasi dengan Variabel Dependen Harga Saham Penutupan pada Hari

Publikasi di Surat Kabar

Uji validasi kedua dilakukan dengan mengganti variabel dependen menjadi

harga pada saat publikasi di surat kabar yang dibatasi sampai akhir masa

penyampaian statemen keuangan ke Bapepam, yaitu sampai dengan akhir April

(untuk data tahun 2002 dan sebelumnya) dan akhir Maret mulai statemen

keuangan tahun 2003. Harga saham pada kedua macam sampel memiliki korelasi

sangat kuat (100%). Harga pasar saham pada kedua jenis sampel memiliki nilai

minimum dan nilai rerata yang tidak jauh berbeda.

Hasil regresi informasi akuntansi terhadap harga saham penutupan pada hari

publikasi di surat kabar menunjukkan bahwa informasi akuntansi NBEn, EPS, dan

DAKOT memiliki relevansi nilai dengan probabilitas sebesar 0,000 (signifikan

pada tingkat 1%), sedangkan DATW memiliki relevansi nilai informasi dengan

probabilitas sebesar 0,030 (signifikan pada tingkat 5%) bertanda positif. Adapun

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ALOPS signifikan pada tingkat 1% bertanda negatif. Pertumbuhan aset tetap (INV)

tidak menunjukkan relevansi nilai.

Hasil uji terhadap 6 variabel tersebut konsisten dengan hasil uji hipotesis

kesatu-keempat dan keenam. Koefisien (β) dari lima variabel yang signifikan

menunjukkan tanda yang sama dengan hasil uji sampel utama (840 observasi).

Hasil yang berbeda pada variabel kelima, yaitu INV menunjukkan tidak signifikan.

Hasil uji interaksi konservatisma dengan variabel informasi akuntansi

menunjukkan bahwa konservatisma memperlemah relevansi nilai EPS, INV, dan

DATW serta memperkuat NBEn dan DAKOT. Pengaruh konservatisma pada

relevansi nilai pertumbuhan aset lancar operasi tidak signifikan.

Dari hasil dua uji sensitivitas di atas, dapat disimpulkan bahwa hasilnya

cukup konsisten dengan hasil regresi data utama (840 observasi). Konsistensi

tersebut adalah: (1) nilai buku ekuitas dan laba bersih memiliki relevansi nilai, (2)

pos surplus kotor memiliki relevansi nilai, (3) informasi akuntansi dinamis berupa

penambahan aset tetap memiliki relevansi nilai, (4) konservatisma berfungsi

sebagai variabel pemoderasi, memperlemah relevansi nilai laba bersih, pos surplus

kotor, investasi aset tetap, dan aset takberwujud serta memperkuat relevansi nilai

buku ekuitas.

I. Kesimpulan

Dari hasil pengujian dengan model harga pada 840 observasi untuk periode

2000-2009 dapat disimpulkan sebagai berikut.

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1. Informasi komponen kunci statemen keuangan (nilai buku ekuitas neto dan laba

bersih) memiliki relevansi nilai. Semakin tinggi ekuitas dan kinerja perusahaan,

semakin tinggi nilai pasar perusahaan. Penggunaan nilai buku ekuitas neto

(NBEn) hasilnya searah dengan penelitian sebelumnya yang menggunakan nilai

buku ekuitas (NBE).

2. OCI memiliki relevansi nilai informasi akuntansi. Hal itu searah dengan

harapan AIMR dan IFRS bahwa laba komprehensif menunjukkan kemanfaatan

bagi pengambilan keputusan, khususnya dalam menentukan harga saham.

3. Informasi akuntansi dinamis berupa penambahan aset tetap dan adanya aset

takberwujud memiliki relevansi nilai informasi akuntansi dan hubungannya

bertanda positif. Hal ini menunjukkan bahwa perusahaan yang menambah

investasi pada aset tetap dan memiliki aset takberwujud dapat meningkatkan

nilai pasar perusahaan.

4. Informasi akuntansi dinamis berupa pertumbuhan aset lancar operasi direspon

negatif oleh investor. Pertumbuhan aset lancar operasi dipersepsi sebagai

ketidakseimbangan antara kinerja perusahaan dengan aliran kas masuk/

pemanfaatan sumber daya perusahaan.

5. Konservatisma sebagai pemoderasi memperlemah relevansi nilai kinerja

perusahaan (EPS), pertumbuhan aset lancar operasi (ALOPS), investasi aset

tetap (INV), dan aset takberwujud (DATW), namun memperkuat relevansi nilai

ekuitas dan pos surplus kotor.

6. Hasil uji tambahan menunjukkan terdapat perbedaan pengaruh konservatisma

terhadap relevansi nilai informasi akuntansi pada perusahaan yang berkinerja

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positif dan negatif. Hal itu memperkaya temuan Hayn (1995) dan Joos dan

Plesko (2005) yang hanya membedakan relevansi nilai laba (rugi).

J. Saran

Beberapa hal yang dapat diperbaiki dan dikembangkan adalah sebagai

berikut.

8. Standar akuntansi keuangan berbasis IFRS memberi peluang pada kajian

relevansi nilai, baik angka statemen keuangan sebagai agregat maupun individu

(pos per pos).

9. Ekuitas sebaiknya diukur dengan nilai buku ekuitas neto karena bebas dari

pengaruh laba bersih dan pos surplus kotor.

10. Penelitian yang menggunakan harga saham perlu memperhatikan likuiditas

perdagangannya. Saham yang aktif diperdagangkan berhubungan erat dengan

informasi terpublikasi, sedangkan saham yang pasif cenderung diperdagangkan

dalam jumlah yang sangat kecil dan tidak berkaitan dengan informasi

terpublikasi.

11. Untuk memecahkan masalah heteroskedastisitas, perlu dicarikan skala

pengukuran dan transformasi data yang tepat.

---o0o---

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SUMMARY

A. Introduction

Value relevance of accounting information is very low and declines

continuously. Based on the review of Lev (1989), the value relevance of net

income was about 4-7 percent and Barth et al. (2001) reported the highest of value

relevance of net income was up to 10 percent. The study in Indonesia showed

almost the same conditions. During the period of 1995-2004, the value relevance of

accounting information ranged from 2.1 to 8.5 percent for manufacturing

companies (Lako, 2006).

Declining in value relevance of equity book value and net income is reported

by Collins et al. (1997), Francis and Schipper (1999), and Lev and Zarowin (1999).

Brown et al. (1999) reexamined the data that were used by Collins et al. (1997)

with deflate of their variables to eliminate the measurement bias. The conclusions

are consistent with previous research, the value relevance of the book value of

common equity and net income has been declined by 0.3 percent yearly during the

period of 1958-1996. Gu (2007) reinforces the above findings and got a new

evident that the value relevance of accounting information dropped more sharply

since the 1970s.

Relevance is a primary decision-specific quality of information. Value

relevance is measured by the strength of association of financial statement numbers

to its stock price. Low value relevance of accounting information shows the low

quality of financial statements and it can‟t be used as a basis of economic decisions

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making by investors, potential investors and other parties (Sinha and Watts, 2001;

Dontoh et al., 2004).

The results of the study in Indonesia on the value relevance of accounting

information showed inconsistent. There was declining in value relevance of equity

book value and net income during the period of 1995-1998 (Mayangsari, 2004).

Suwardi (2005) found the value relevance of equity book value and net income has

been increased during the years 1992-1994, 1996-1997, and 1999-2001, but

declined in 1995 and 1998. Fluctuation in the value relevance of accounting

information also was detected by Lako (2006). Value relevance of accounting

information in 1997, 1999, 2001, and 2003 has been decreased, while the 1996,

1998, 2000, 2002, and 2004 increased.

Factors that cause of low and declining of the value relevance of accounting

information are (Lo and Lys, 2000; Givoly and Hayn, 2000; 2002; Watts, 2003a;

Monahan, 2005): (1) ignores the role of dynamic accounting information in

research model, and (2) increasing in conservatism practice. Barth et al. (1998),

Kothari (2001), as well as the Pope and Wang (2005) stated that the book value of

equity is complement to net income in predicting an equity value.

Role of dynamic accounting information is also important in assessing the

stock prices (Lo and Lys, 2000). Asset/asset changes are responded by investors

(Ou, 1990; Park and Pincus, 2001). Various assets such as current asset (Ou, 1990;

Lev and Thiagarajan, 1993; Seng and Hancock, 2012), fixed asset (Kerstein and

Kim, 1995; Cahan et al., 2000; Osborne and Ingles, 2003), and intangible asset

(Sougiannis, 1994; Nelson, 2006; Camara, 2007) influence a stock price.

164

Since the proposal of the Association for Investment Management and

Research (AIMR) to adopt all-inclusive approach, global accounting standards

including Indonesia led to the reporting of comprehensive income (Johnson et al.,

1995; Kanagaretnam et al., 2009; SFAS No. 1, revised 2009). The study of

Chambers et al. (2007) showed that before the implementation of comprehensive

income (data 1994-1997), other comprehensive income (OCI) didn‟t responded by

the investor, but after the adoption of comprehensive income (data 1998-2003), the

OCI was responded by investors.

According to Givoly and Hayn (2000) declining in the value relevance of

accounting information is caused by an attitude of management to perform

conservatively in presenting of the financial statements. During the period of 1956-

1998, conservatism in reporting income has increased. In a conservative condition,

the book value of asset (income) on the financial statements is presented downward

biased, which is lower than the economic value of asset (economic income).

Conservatism has been practicing since 500 years ago (Basu, 1997). Up to

now, it has no strong empirical evidence about the effect of accounting

conservatism on the value relevance of the accounting information (Balachandran

and Mohanram, 2011).

B. Purposes of Research

This research is conducted to confirm the pricing model (Ohlson, 1995) with

the influence of environmental factors, i.e. conservatism. The study is conducted to

investigate value relevance of accounting information extensively, covering the key

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components of financial statements (the book value of equity and net income),

other comprehensive income, and dynamic accounting information. In addition,

this study is conducted to test the effect of accounting conservatism on the value

relevance of accounting information.

C. Literature Review

1. Valuation of Common Stock

Value Relevance is a part of the analysis of fundamental factors. The focus of

the study is to test the usefulness of the value relevance of the financial statement

figures as an output of accounting practice (Bernard, 1995). The existence of value

relevance studies can be traced from the theory of corporate valuation. According

to Holthausen and Watts (2001), Beaver (2002), and Jenkins and Kane (2006)

valuation can be done by the three approaches, namely: (1) the balance sheet

approach, (2) income approach, and (3) the linear relationship of book value of

equity and accounting earnings to stock price approach (also called the discounted

of residual income).1

2. Value Relevance of Accounting Information

Value relevance becomes an interesting area of research since it‟s introduced

by Ohlson (1995) and supported by Bernard (1995). It assumes that the primary

1 Liu et al. (2002) identified valuation model is based on cash flows or accruals basis as follows: (1)

accrual flows, (2) accrual stocks, (3) cash flows, (4) forward looking information, (5) intrinsic

value measures, and (6) sum of forward earnings. Palepu et al., (2004) divided the methods of

valuation to: (1) discount to the dividend, (2) a valuation based on a multiple of the price (price

multiples), (3) discount to the cash flow, (4) discount on residual income.

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objective of financial statements is to (1) measure value of equity or association to

equity value, or (2) provide relevant information for assessing equity. Beaver

(1998) described the relationships between earnings and equity value into three

sequences, namely (1) current earnings are useful for predicting future earnings, (2)

future earnings is an indicator of liquidity or ability to pay dividends, and (3) future

dividends are discounted to present value to determine the value of equity.

Financial statement figures are said to have "value relevance" if they

associated to the stock price (Francis and Schipper, 1999; Barth et al., 2001). There

are two models to assess the value relevance of the accounting information, e.g. the

return and price models (Barth et al., 2001; Kothari and Zimmerman, 1995). Return

model is used to assess the information content in timely basis and suitable for the

event studies (Fama, 1991). Barth et al. (2001) classified the return model into the

decisional relevance, not the value relevance.

At the first time introduction, value relevance (pricing model) is considered

as a competitor of decision relevance (return model), but now to be accepted as

complement (Kothari and Zimmerman, 1995; Barth et al., 2001). Some studies

using two approaches simultaneously, for example, research by Marquardt and

Wieldman (2004), Ali and Hwang (2000), and Lev and Zarowin (1999).

3. Price Model

According to traditional approach, valuation of the stock price as a present

value of the dividends, stated by the following equation:

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]~

[

1

tDERHS tft

……………...........…………..….……………..………. (1)

In this case,

HSt = price of the common stock at date t

D t = dividend at date t

R f = free risk interest rate plus 1

E t [.] = Expected value at date t.

The equation above shows the price as the present value of a series of expected

dividends.

All components of earnings must be reported on the statement of income that

be called as comprehensive income. Price model requires clean surplus relationship

that is the year-end book value of equity comes from the beginning book value of

equity plus income reduced by income distributions (dividends). The first model

and clean surplus relationship formulated a price model of Ohlson (1995). Thus,

the equity value can be expressed as follows:

ttttt ILBKNBEHS 321………….................………..…………..(2)

In this case,

NBEt = book value of equity at date t

LBKt = comprehensive income current year

It = other information.

α = constant / intercept

β1: β2: β3 = slope / coefficient

εt = residual error.

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Equation 2 is the basic equation of value relevance that has been used by

many researchers, including Collins et al. (1997), Barth et al. (1998), Ou and Sepe

(2002), Landsman et al. (2007), Gu (2007), and Landsman et al. (2011). In

Indonesia, that model was used in the study by Sasongko (2008) and Almilia and

Sulistyowati (2007).

4. Component of Comprehensive Income

Price model requires the presentation of comprehensive income (all inclusive

approach). Comprehensive income stated in SFAC No.6 paragraph 70 as follows:

Comprehensive income is the change in equity of a business

enterprise during a period from transactions and other events and

circumstances from nonowner sources. It includes all changes in

equity during a period except those resulting from investments by

owners and distributions to owners.

Cheng et al. (1993) compared the value relevance of the three levels of

accounting income, i.e. the operating income, net income and comprehensive

income. Operating income is more relevant than net income, and net income is

more relevant than comprehensive income. Kanagaretnam et al. (2009) reported in

Canada for sample period of 1998-2003, comprehensive income is more relevant

than net income to predict cash flow. Strong and Walker (1993) divided

comprehensive income into three components called pre-exceptional income,

exceptional income, and extraordinary items. Extraordinary items increased a

coefficient of determination by 20 percent. Landsman et al. (2007) reported that

total exclusions (net income minus operating earnings IBES), specific account (net

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income minus operating income), and other exclusions (operating income minus

operating earnings IBES) have a value relevance.

Before adoption of IFRS (before revision of SFAS No.1, 2009), accounting

standards in Indonesia require statement of income based on current operating

approach. In that circumstance, a lot of information goes through the book value of

equity, called the dirty surplus relationship. Dirty surplus items under the

guidelines of the presentation of financial statements in Indonesia (regulation of

Bapepam No.06 of 2000 and No. 2 of 2002) are:2 (a) foreign currency translation

of financial statements, (b) abnormal foreign exchange when the depreciation

reaching 133 percent of the average of the last three years, so that it can be

capitalized, (c) differences arising from transaction of changes in equity of

associated companies, (d) unrealized gain (loss) of securities available for sale, and

(e) the revaluation effect of fixed asset.

5. Corporate Resources

According to Lako (2006) and Canibano et al. (2000) there are three groups

of balance sheet items which have value relevance, namely: (1) current operating

asset, (2) fixed asset, and (3) intangible asset.

5.1. Current operating asset. Current asset consist of financial asset and operating

asset. Current operating asset are current asset other than cash / bank and short-

2 Indonesian SFAS No. 1 (revised 2009) detailing other comprehensive income at paragraph 07,

comprising: (a) changes in revaluation surplus, (b) actuarial gains and losses on defined benefit

program, (c) gains and losses arising from translation of financial statements of the foreign entity,

(d) the gains or losses of financial asset are classified as 'available for sale', (e) an effective part of

the gains or losses of hedging instruments in order to cash flow hedges.

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term investments, therefore the current operating asset consist of accounts

receivable, inventory, and other current asset (Fairfield et al., 2003). Increase in

current operating asset shows that the addition of less productive asset.

5.2. Fixed Asset. Capital expenditures or investment of fixed asset is the growth of

fixed asset that can improve the performance of companies in the future. Core et al.

(2003) and Kerstein and Kim (1995) stated that fixed asset growth is closely linked

to abnormal earnings.

5.3. Intangible asset. Intangible asset is responded by investors in two directions,

i.e. positive or negative (Ely and Waymire, 1999). Positive response occurs when

intangible asset show asset that has added value and increases common stock value,

whereas a negative response occurs when an asset is deferred expenses. Findings of

Lako (2006) have the same direction of research results by Canibano et al. (2000),

which intangible asset as a source of economic income in the future, so it should be

recognized as an asset.

6. Conservatism

Each accounting standards and companies have varying levels of

conservatism (Xu and Lu, 2008). Lo (2005) and Juanda (2006) confirmed that the

practice of accounting conservatism is common in Indonesia.

Conservatism has influenced an accounting practice since 500 years ago

(Basu, 1997). According to Kam (1990) conservatism in accounting can be traced

in England since medieval times. In the 1920's banking practitioners in the U.S.

have requested that their financial statements are presented more conservative in

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order to anticipate overstatement. Over the last 30 years accounting practices is

more conservative (Watts, 2003a) even with the application of IFRS, conservatism

still exists (Hellman, 2008).

Conservatism is the behavior to report asset (income) are lower and liabilities

(the expense) is higher than the economic value (Hendriksen and Van-Breda, 1992;

Suwardjono, 2005). The similar statement is expressed in SFAC No. 2 paragraph

95 which states ... "if two estimates of amounts to be received or paid in the future

are about equally likely, conservatism dictates using the less optimistic

estimate…".

According to Watts (2003b) conservatism is measured by three approaches,

namely the net asset, earnings relationship of stock returns, earnings and accruals.3

The net asset approach undertaken by Beaver and Ryan (2000). Conservatism is

measured by comparing the book value of equity shares to price of common stock

(hereinafter referred to as B/M). The lower BM ratio, the more conservative

because of the equity book value is much lower than the price of common stock.

The second approach was formulated by Basu (1997). Conservatism is

measured by connecting earnings to return, i.e. through a regression of earnings

changes are deflated by beginning price of common stock to return deflated by

positive and negative earnings changes. Coefficient (β3) shows an accounting

3 Wang et al. (2009) classified conservatism measurement methods, as follows: (1) Differential

Timeliness (Basu, 1997), (2) Asymmetric Accrual-to-Cash-Flow (Ball and Shivakumar, 2005),

(3) BTM or MTB (Beaver and Ryan, 2000), (4) Negative Accrual (Givoly and Hayn, 2000), (5)

Hidden reserve as measured by the index conservatism (Penman and Zhang, 2002), (6)

Accounting-choice-based.

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conservatism. Model of Basu (1997) is as follows:

Xit / Pit-1 = α + β1DRit + β2Rit + β3Rit*DRit + εt ………........................................(3)

In this case,

Xit = earnings per share of firm i in year t

Pit-1 = price per share of firm i at the beginning of period

Rit = return of firm i in 12 months

DRit = dummy variable, 0 if Rit > 0, and 1 if Rit< 0.

εt = residual error.

Ball and Shivakumar (2005) modified the model of Basu (1997) by regressed of

operating cash flow to accrual.

The third approach, conservatism is measured by comparing earnings to

accrual accounting. Givoly and Hayn (2000; 2002) stated that the sign and

magnitude of long-term accruals indicate conservatism. Conservatism in that model

is detected from the negative non operating accrual (NNA), as stated in the

following equations.

Cnit = -NAit = -(TAit-OAit) ................................................................................. (4)

In this case,

Cn it = conservatism of firm i period t

NAit = non operating accrual of firm t period t

TAit = total accruals firm i period t, i.e. net income + depreciation - cash flow from

operations

OAit = operating accrual firm t period t, i.e. Δ account receivable + Δ inventory +

Δprepaid expenses – Δ account payable - Δ tax debt.

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D. Hypothesis Developments

Based on a literature review as described above, it can be formulated

hypotheses below.

1. Value Relevance of Equity

Financial statement reflects the company's resources, the owner‟s claim to

resources, and turnover of resources. The claim over resources consists of equity

and creditor‟s right. The equity is the residual claim of the company‟s resources

(Suwardjono, 2005).

Residual rights of shareholders or equity is reported in the balance sheet as

book value of equity. Equity refers to economic value that has a positive effect on

the company's market value (Ohlson, 1995; Suwardi, 2005; Sasongko, 2008). The

hypothesis of value relevance of equity as follows (in alternative form):

H1 = Equity positively influences on the company's market value.

2. Value Relevance of Firm Performance

Performance of the company resulting from the turnover of asset that builds

the value-added of an enterprise. Company's performance reflected in net income.

Chambers et al. (2007) stated that core earnings effect on the value of the shares in

two ways, i.e. (1) effect on equity book value and stock market value dollar-for-

dollar, and (2) an abnormal core earnings are capitalized and associated with the

price of stock through the expected return. In conjunction with the company's

market value, the hypothesis about the performance of the company as follows (in

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alternative form):

H2 = Firm performance is positively influences on the company's market value.

3. Value Relevance of Other Comprehensive Income

Comprehensive income consists of net income and other comprehensive

income (OCI). OCI shows the performance of companies in addition to revenues

and expenses are reported on the statement of net income. In current operating

approach, OCI is reported on book value of equity as dirty surplus accounts. OCI

has no effect on the company's market value especially prior to the adoption of

accounting standards of comprehensive income (Chambers et al., 2007; Dhaliwal et

al., 1999; Cheng et al., 1993) however it has effect after the adoption of IFRS

(Chambers et al., 2007; Cahan et al., 2000).

Although there is conflicting evidence, the concept is that OCI influences on

the company's market value (Johnson et al., 2005), therefore the hypothesis of OCI

as follows (in alternative form):

H3 = Other comprehensive income positively affects the company's market value.

4. Value Relevance of Dynamic Accounting Information

Dynamic accounting information is information that taken from the financial

statement other than the book value of equity and net income, which is an asset or a

liability. Various assets such as current asset (Ou, 1990; Lev and Thiagarajan,

1993; Seng and Hancock, 2012), fixed asset (Kerstein and Kim, 1995; Cahan et al.,

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2000; Osborne and Ingles, 2003), and intangible asset (Sougiannis, 1994; Nelson,

2006; Camara, 2007) associated with stock prices.

4.1. Value Relevance of Current Operating Asset Growth. Current operating

asset is needed to support and enhance the company's activity. Ou (1990) and Lev

and Thiagarajan (1993) reported that the current operation asset was perceived as a

stock of potential economic value that is not used yet. Current operating asset

increases due to management can‟t allocate resources to more productive asset.

Hypothesis of value relevance of current operating asset is (stated in alternative

form):

H4 = Company resource in the form of a growth of current operating asset

negatively affects the company's market value.

4.2. Value Relevance of Fixed Asset Growth. Capital expenditure shows that

management believes on investment opportunities in order to increase the

prosperity of the company. Osborne and Ingles (2003) stated that investment can

only improve welfare if it represents one of four conditions as follows. First, forms

a new asset. Second, adds to the existing asset. Third, replaces an old asset. Fourth,

increases the useful life or capacity of the old asset. Therefore hypothesized of

value relevance of fixed asset growth is (written in an alternative form):

H5 = Company resource in the form of fixed asset growth positively influences on

the company's market value.

4.3. Value Relevance of Intangible asset. Intangible asset consists of research and

development cost, promotion, new product development, goodwill, and patents.

Intangible asset has contingency effect because the asset is deferred expense

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without effect in the future or actual cost that has added value to the company (Ely

and Waymire, 1999). It is therefore hypothesized of value relevance of intangible

asset is (written in alternative form):

H6 = Company resource in the form of intangible asset positively influences on the

company's market value.

5. Impact of Conservatism on the Value Relevance of Accounting Information

Conservatism recognizes income (asset) delayed until there is strong

evidence that the transaction occurred but the loss (expense) are recognized

immediately, so that the income (asset) is lower than economic income (asset).

There is different between cash inflow and recognition of asset based on accrual

basis. Presentation of understatement distorts the financial statements figures.

5.1. Impact of Conservatism on the Value Relevance of Equity. The book value

of common equity and earnings determine stock prices, if one of the two values is

lost leading to the misspecification model (Kothari and Zimmerman, 1995; Ohlson,

1995). Conservatism cause the book value of asset (income) is lower than the

economic value. As a result, earnings are transitory and book value of equity

presents the core value (Dichev, 2008; Balachandran and Mohanram, 2011).

Investors pay more attention to the book value of equity. Therefore, the hypothesis

of the impact of accounting conservatism on the value relevance of equity as

follows (written in alternative form):

H7 = Conservatism strengthen the value relevance of equity.

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5.2. Impact of Conservatism on the Value Relevance of company performance.

Earning as company performance is the movement of the resources that generate

added value for owners. It provides information to predict future cash flow.

Conservatism resulting mismatch between the recognition of revenues and

expenses, so that the earning downward bias. Net income as accrual basis is lower

than cash flow. Earnings that contain a lot of transitory items are negatively

responded by investors. Therefore, the hypothesis of the accounting conservatism

that influence the value relevance of the company‟s performance as follows

(written in an alternative form):

H8 = Conservatism weaken the value relevance of the company's performance.

5.3. Impact of Conservatism on the Value Relevance of Other Comprehensive

Income. Other comprehensive income (OCI) shows the company's performance

other than net income. OCI affects in predicting the company's value depends on

the location of it (Chambers et al., (2007). In this study, OCI quoted from the book

value of equity, therefore the OCI character similar to the book value of equity.

Conservatism will increase the relevance of dirty surplus items. Hypothesis on

influence of conservatism to the value relevance of the OCI as follows (written in

alternative form):

H9 = Conservatism strengthen the value relevance of other comprehensive income.

5.4. Impact of Conservatism on the Value Relevance of Current Operating

Asset Growth. Current operation asset contains the value that is persistent,

presents of future information of the return (Dichev, 2008). In a conservative

condition, the value of current operating asset shows downward bias. Therefore, the

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hypothesis of conservatism impact on the growth of current operating asset is

defined as follows (written in alternative form):

H10 = Conservatism weaken the value relevance of the growth of current operating

asset.

5.5. Impact of Conservatism on the Value Relevance of Fixed Asset Growth.

Expenditures for capital (fixed asset) are in line with company growth. In a

conservative condition, fixed asset reported less than its economic value.

Therefore, the hypothesis of conservatism impact on the value relevance of fixed

asset growth can be formulated as follows (written in alternative form):

H11 = Conservatism weaken the value relevance of the growth of fixed asset.

5.6. Impact of Conservatism on the Value Relevance of Intangible Asset.

Intangible asset is resource that is most difficult to measure because of the

contributions to the prosperity of the company is difficult to be measured. In a

conservative condition, intangible asset is reported lower than its economic value.

Management is faster expensing intangible asset, so that it‟s downward bias.

Hypothesis of conservatism impact on the value relevance of intangible asset can

be formulated as follows (written in alternative form):

H12 = Conservatism weaken the value relevance of intangible asset.

E. Research Design

1. Interest Variables

In this study there are three types of variables, the dependent variable in the

form of stock prices, the independent variables in the form of net book value of

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equity, net income, OCI, current operating asset growth, growth in fixed asset, and

intangible asset, as well as a moderating variable, i.e. conservatism.

(1). Stock Price. Stock price is quoted from closing price on the day of

publication of financial statements in organized stock market or the

newspaper, where the faster. The stock price is measured by the market price

per share.

(2). Book Value of Equity. This study uses the net book value of equity, i.e. the

end of the book value of equity (NBE) minus current year's net income (LB)

and dirty surplus items (OCI). Net book value of equity per share, i.e. the net

book value of equity divided by shares outstanding at the end of year (SHM)

is calculated as follows:

)(SHM

OCILBNBENBEn

(3). Net Income. Net income is earning after tax and declared per share (EPS),

the net income after tax (LB) divided by average shares outstanding (SHMb)

is calculated as follows:

)(SHMb

LBEPS

(4). Other Comprehensive Income (OCI). OCI is dirty surplus item that quoted

from the book value of equity. Dirty surplus item is measured by a dummy.

Figure 1 represents the company reported a dirty surplus and 0 otherwise.

(5). Current Operating Asset Growth. Growth in current operating asset is

measured from changes in current operating asset value per share. Change in

current operating asset is measured per share (ALOPS) that is calculated from

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the current operating asset (ALOP) per share at the end of the current year is

reduced by the current operating asset per share at the previous year,

calculated as follows:

1

1

t

t

t

t

SHM

ALOP

SHM

ALOPALOPS

(6). Growth of Fixed Asset. The growth of tangible fixed asset per share (INV)

is obtained by the historical cost of fixed asset (AT) at the end of the year per

share minus it of fixed asset per share beginning of the year, calculated as

follows:

1

1

t

t

t

t

SHM

AT

SHM

ATINV

(7). Intangible asset. Intangible asset is expenditure that makes up the cost and

has the potential economic value to generate revenue. Intangible asset is

measured with a dummy, figure 1 represents a company that has intangible

asset and 0 otherwise.

(8). Conservatism. Conservatism is a measurement of the difference between the

book value of asset to its economic value. To measure conservatism, this

study uses the negative non-operating accruals (NNA) per share, calculated

by equation 4.

2. Technical Analysis

Statistical equation to test the hypotheses is as follows:

HSuit = α + β1NBEnit + β2EPSit + β3DAKOTit + β4ALOPSit + β5INVit +

β6DATWit + β7Cnit + β8Cnit*NBEnit + β9CnitEPSit + β10Cnit*DAKOTit +

β11Cnit*ALOPSit + β12Cnit*INVit + β13Cnit*DATWit + εit …................(5)

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In this case,

HSuit = stock price of firm i on the day of publication of financial statements fastest

in the organized stock market or a newspaper.

NBEnit = net book value of equity of firm i on date t (the year ended)

EPSit = net income of firm i period t

DAKOTit = dirty surplus items of firm i at the year ended (dummy).

ALOPSit = Growth in current operating asset per share of firm i period t.

INVit = Growth of fixed asset per share of firm i period t.

DATWit = intangible asset of firm i on date t (dummy).

Cnit = Conservatism firm i in period t.

α = constant/intercept

β1: … β13 = slope/coefficient

εit = residual error.

F. Empirical Results

1. Sample Selection

This study uses data of companies in the manufacturing industry that are

listing in Indonesia Stock Exchange (BEI) of 2000-2009. Financial statement,

publication date, and stock price obtained from the Capital Market Reference

Center (PRPM), JSX of Diponegoro University corner, and a reference center of

the Jakarta Stock Exchange/ Indonesia Stock Exchange (BEI). The sample is

selected through a purposive sampling with the following criteria: (a) the financial

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statements are presented in the rupiah currency, (b) the company issued one type of

common stock, (c) the book value of equity is positive, and (d) the accounting

period is the year calendar.

The number of manufacturing companies that is listing in BEI for years of

2000-2009 is 1502 firm-years. After the selection process is done, obtained a

selected sample is 840 observations. Samples distributed in 10 years of

observation, the most is 94 observations in 2006 (66.20% of the manufacturing

companies), while the lowest in 2000 is 69 observations (44.52%). There are 506

observation reported dirty surplus items (60.24% of all samples) and 364

observations have intangible asset (43.33%).

2. Empirical Results of Value Relevance on the Accounting Information

Classical assumptions of data show that: (1) no autocorrelation, (2) no

multicollinearity problem, (3) there is a heteroscedasticity problem, and (4) indicate

not normal ditstribution. Efforts have been made to solve the problem of

heteroscedasticity by deflation, logs/ natural logs, but it doesn‟t solve the problem.

This study uses a large data (840 observations), so the assumed as normal

distribution (Hair et al., 2010; Gujarati, 2003). Equation of value relevance of

accounting information is as follows.

HSuit = 31,846 + 0,544NBEnit + 3,431EPSit + 244,549DAKOTit - 0,344LOPSit

+ 0,158INVit + 170,469DATWit ………............................................. (6)

R2 (Adj.) = 0,840 (0,839)

It shows that F value is 727.067 with a probability value is 0.000, which it means

statistically significant at 1 percent. Value of R2 (adj.) showing the variation can be

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explained by the six company's independent variables are 83.9 percent, the

remainder (16.1 percent) is explained by other variables not included in the model.

2.1. Hypothesis 1. The hypothesis one states that equity (NBEn) positively affects

the company's market value. Statistical test result shows that t-calculation is 20.028

and the probability is 0.000 and the coefficient is positive, so that the Ho1

successfully rejected. This result confirms previous studies (e.g. Ohlson, 1995;

Cahan et al., 2000; Sasongko, 2008).

2.2. Hypothesis 2. The hypothesis two states that the performance of the company

(EPS) positively affects on the company's market value. Statistical test result shows

that t-calculation is 28.588 and the probability is 0.000 and the coefficient is

positive, then the Ho2 successfully rejected. This result confirms previous studies

(e.g. Cahan et al., 2000; Mayangsari, 2004; Naimah and Main, 2006; Sasongko,

2008).

2.3. Hypothesis 3. The hypothesis three states that other comprehensive income

(DAKOT) positively affects the company's market value. The result of the

statistical test shows that t-calculation is 4.016 and the probability is 0.000 and the

coefficient is positive, then the Ho3 successfully rejected. The test result is in line

with the findings of Cahan et al. (2000), Kanagaretnam et al. (2009) and Jones and

Smith (2011).

2.4. Hypothesis 4. The hypothesis four states that growth in current operating asset

(ALOPS) negatively affects the company's market value. The result of the

statistical test shows t-calculation is -5.613 and probability value is 0.000 and the

coefficient is negative, then Ho4 successfully rejected. The test result confirms the

184

results of research Ou (1990), Lev and Thiagarajan (1993), Machfoedz (1994) as

well as Seng and Hancock (2012).

2.5. Hypothesis 5. The hypothesis five links the growth (investment) company

resource in the form of fixed asset to a market value of the company. Investment in

fixed asset (INV) has a positively effect on the company's market value. The result

of the statistical test shows t-calculation is 2.237 and probability value is 0.026, and

the coefficient is positive, then Ho5 successfully rejected. This result confirms

previous research results (for example, Kerstein and Kim, 1995; Cahan et al., 2000;

Sasongko, 2008).

2.6. Hypothesis 6. The hypothesis six states that the company's resource in the

form of intangible asset (DATW) positively affects the company's market value.

Statistical test result showed that t is 2.776 and the probability value is 0.006, and

the coefficient is positive, then Ho6 successfully rejected. This result confirms

previous research results (e.g., Sougiannis, 1994, Ely and Waymire, 1999; Lako,

2006).

3. Empirical result of the Conservatism Impact on Value Relevance of

Accounting Information

Classical assumption test shows there is a heteroscedasticity problem and the

data is not normal. Because of using 840 observations, it is assumed to be normal

distribution (Gujarati, 2003). Attempts to solve the problem of heteroscedasticity

has been done but was not successful.

185

Regression equation of conservatism impact on the value relevance of

accounting information is below.

HSuit = 71,318+ 0,490NBEnit + 3,815EPSit + 161,975DAKOTit - 0,303ALOPSit

+ 0,222INVit + 146,566DATWit + 0,363Cnit + 0,001Cnit*NBEnit –

0,001Cnit*EPSit + 1,124Cnit*DAKOTit – 0,001Cnit*ALOPSit -

0,001Cnit*INVit - 0,590Cnit*DATWit…………………………………(7)

R2 (Adj.) = 0,858 (0,855)

It shows that F value is 382.874 with a probability value is 0.000, significant at 1

percent. Value of R2 (adj.) shows that the variation can be explained by the 13

company's independent variables are 85.5 percent, the rest of it is explained by

other variables not included in the model.

3.1. Hypothesis 7. The hypothesis seven states accounting conservatism strengthen

the value relevance of equity (Cn*NBEn). Statistical test result shows the value of t

is 2.047, a probability is 0.041 and the coefficient is positive, so that Ho7

successfully rejected. In a conservative condition, investors pay more attention to

equity in assessing stock prices (Barth et al., 1998; Collins et al., 1999).

3.2. Hypothesis 8. Hypothesis eight states accounting conservatism weaken the

value relevance of corporate performance (Cn*EPS). Statistical test result shows

that t is -4.329, the probability is 0.000 and the coefficient is negative, then Ho8

successfully rejected. This result confirms the statement of Watts (2003a) and the

findings of Barth et al., (1998), Collins et al., (1999), and Gu, (2007).

3.3. Hypothesis 9. The hypothesis nine states conservatism strengthen the value

relevance of the other comprehensive income (Cn*DAKOT). The result of

statistical test shows that t is 5.984, the probability is 0.000 and the coefficient is

positive, then Ho9 successfully rejected. In this study, OCI is quoted from the book

186

value of equity in form of dirty surplus items, it has the nature of the book value of

equity. This finding supports the results of the study by Chambers et al. (2007)

which stated that the location of OCI affects on investor concern.

3.4. Hypothesis 10. The hypothesis ten states conservatism weaken the value

relevance of corporate resource in the form of current operating asset

(Cn*ALOPS). Statistical test result shows the value of t is -1.735 and a probability

is 0.083, significant at 10 percent and the coefficient is negative. Therefore Ho10

successfully rejected at moderate level. Growth in current operating asset is

responded by investors as the accretion of less productive asset (Ou, 1990; Seng

and Hancock, 2012).

3.5. Hypothesis 11. The hypothesis eleven states conservatism weaken the

relevance of corporate resources in the form of fixed asset growth (Cn*INV).

Statistical test result shows t is -1.825 and probability is 0.068. This result indicates

that Cn*INV significant at moderate levels (10 percent) and the coefficient is

negative, therefore Ho11 successfully rejected. In a conservative condition, the

growth of fixed asset shows a downward bias. Investors responded negatively on

the growth of fixed asset (Lev and Zarowin, 1999; Gu (2007).

3.6. Hypothesis 12. The hypothesis twelve states conservatism weaken the value

relevance of corporate resource in the form of intangible asset (Cn*DATW).

Statistical test result shows the value of t is -3.093, the probability is 0.002 and the

coefficient is negative, so that Ho12 successfully rejected. In a conservative

condition, intangible asset is reported less than its economic value. The investor

responses negatively to intangible asset (Watts, 2003a).

187

G. Additional Test

To determine the effect of conservatism on the corporate positive or negative

performance, the sample is divided into two groups. It‟s important because the

increasing of proportion of loss firm and has different of value relevance between

loss and profit firm (Hayn, 1995; Joos and Plesko, 2005). There are 660

observations of positive performance and 180 observations of negative

performance. The results of statistical tests show that on these two circumstances,

conservatism has different effect on Cn*NBEn, Cn*EPS, Cn*DAKOT,

Cn*ALOPS, Cn*INV, and Cn*DATW for positive companies performing and its

negative.

Test results on the company's positive performance show consistent with the

results of hypothesis testing seven-nine and twelve. Conservatism impact on the

value relevance of growth in current operating asset (ALOPS) and fixed asset

(INV) is not significant. At the company's negative performance, conservatism

only affects NBEn and INV. The test results of the company's income (loss)

confirm the results of the findings of Hayn (1995), Joos and Plesko (2005).

At the company's positive performance, conservatism weaken the relevance

of the EPS, DATW more powerful than it‟s negative. It shows that in a

conservative condition, the EPS and DATW contain transitory value. In contrast to

the negative-performing companies, conservatism reinforces the value relevance of

NBEn, higher than the company's positive performance. At the company's losses,

investors prefer to use equity book value to assess the stock price.

188

H. Sensitivity Test

To check the robustness of my findings, I run two sensitivity tests are below.

1. Reexamining with Normal Data

The first sensitivity test is done with the trimming data (reduced data) of

main sample so that the samples showed normal distribution in 538 observations

(64.04% from the selected sample). There are no autocorrelation and

multicollinearity problems but the problem of heteroscedasticity can‟t be treated.

Accounting information of NBEn, EPS, DAKOT, and INV has a value

relevance and significant at 1%, and the coefficient is positive. The DATW and

ALOPS don‟t indicate a value relevance. The results of statistical tests show the

four variables (NBEn, EPS, DAKOT, and INV) are consistent with the results of

the regression test of the main data (840 observations).

The test results show that conservatism interaction to accounting information

indicates that conservatism weaken the value relevance of the EPS, DAKOT, INV,

and DATW and strengthen the value relevance of the NBEn, but has no effect on

the value relevance of ALOPS. The test results are consistent with the results of

testing the main data (840 observations) in the case of NBEn, EPS, INV, and

DATW. Although statistically significant, coefficient of Cn*DAKOT is negative,

in contrast to the direction of the Cn*DAKOT in main data.

189

2. Validation with the Price of Common Stock at the Time of Publications of

Financial Statement on Newspapers

The second validation test is done by replacing the dependent variable to the

price at the time of publication of financial statement in the newspapers that are

restricted until the end of the submission of financial statements to Bapepam, i.e.

until the end of April (for 2002 data and earlier) and the end of March (for 2003

data and after). Stock prices in both kinds of samples have a very strong correlation

(100%). Stock prices on both kinds of samples have minimum and average values

are not much different.

Regression results of accounting information on stock prices suggest that the

accounting information of NBEn, EPS, and DAKOT has value relevance with

probability value is 0.000 (significant at 1%), whereas DATW has value relevance

with probability is 0.030 (significant at the 5 %) in positive direction. The ALOPS

is significant at 1 percent in negative direction. The growth of fixed asset (INV)

does not indicate value relevance.

The test results of the 6 variables are consistent with the results of hypothesis

testing first-fourth and sixth. Coefficients (β) of the five variables are significant

and show the same sign with the result of main sample (840 observations).

Different result is on the fifth variable, which INV shows no significant.

The test of influence of conservatism to accounting information indicates that

it weakens the value relevance of the EPS, INV, and DATW and strengthens the

value relevance of the NBEn and DAKOT. The impact of conservatism on the

value relevance of the growth in current operating asset is not significant.

190

The results of both sensitivity tests report that the results are quite consistent

with the results of regression of main data (840 observations). Their consistency

are: (1) the book value of equity and net income have value relevance, (2) dirty

surplus items (OCI) has value relevance, (3) the dynamic accounting information in

the form of the growth of fixed asset has value relevance, (4) conservatism as

moderating variable, weaken the value relevance of net income, dirty surplus items,

growth of fixed asset, and intangible asset and reinforce the value relevance of

equity book value.

I. Conclusions

Using a large sample, i.e. 840 observations over the period of 2000-2009, my

findings are summarized as follows.

1. A key component of financial statements (the net book value of equity and net

income) has relevance value. The higher equity and corporate performance will

increase market value of the company. Net book value of equity (NBEn)

positively influences to stock price. It has the same direction to book value of

equity (NBE) as used by former researchers.

2. OCI has value relevance of accounting information. This is in line with

expectations of IFRS and AIMR that suggest applying comprehensive income

is more benefits for decision-making, particularly in determining stock price.

3. Dynamic accounting information in the form of fixed asset growth and the

intangible asset has value relevance and their relationship is positive. This

191

shows that companies that increase capital expenditure (fixed asset) and have

intangible asset will increase the company's market value.

4. Dynamic accounting information in the form of growth in current operating

asset is responded negatively by investors. Growth in current operating asset is

perceived as mismatch between the performances of companies and cash

inflow/utilization of company resources.

5. Conservatism as a moderating variable weaken the value relevance of corporate

performance (EPS), growth in current operating asset (ALOPS), investment in

fixed asset (INV), and intangible asset (DATW), but reinforce the value

relevance of equity and dirty surplus items (OCI).

6. Additional test results show there are differences in the influence of

conservatism to the value relevance of accounting information between

companies‟ positive performance and its negative. It enriches the findings of

Hayn (1995) and Joos and Plesko (2005) which distinguishes only value

relevance of the income (loss).

J. Suggestions

Some opportunities and problems that can be improved and developed are as

follows.

1. IFRS-based accounting standards provide an opportunity to study the value

relevance of financial statements as an aggregate figure and the individual

(item per item).

192

2. Equity should be measured by the net book value of equity because it is free

from the influence of net income and dirty surplus items.

3. Studies that use stock prices should be pay attention to liquidity trading.

Actively traded stocks is closely related to published information, while the

passive stock tends to trade in very small quantities and not related to the

information published.

4. To solve the problem of heteroscedasticity, it is important to look for an

appropriate data transformation and measurement.

--o0o--

193

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