PREDIKSI KINERJA PERUSAHAAN BERBASIS INVESTMENT OPPORTUNITY SET DAN RASIO KEUANGAN TERTIMBANG

Abstract

The purpose of this study is to investigates the usefulness of traditional and weighted financial ratios as presictors of return on assets. This study also employ financial decision and investment opportunity set in order to predict return on assets. The second objective is to identify the managerial behavior in order to maintain tradeoff between current and future company performance. Data for this study comparises of the financial ratios calculated from the financial statement of the go-public manufacture companies in Indonesia over the eight-year period 1990-1997. The data used in this study are pooled time series cross-section data for consecutive years 1990-1994 for the sample analysis and three consecutive years 1995-1997 for the holdout sample prediction. This research explores twenty-four ratios as proxies if traditional and weighted financial ratios, leverage ratio and investment opportunity set aspredictors of return on assets. Logit model (logistic regression) is used to this study and forward likelihood ratio selection procedure was used to determine set of ratios that should be included in the model. The research finding can be summarized as follow. First, seven ratios have statistically significant in order to predict return on assets. Those ratios are cost of good sold to inventories of the companies, equity to sales of the companies, fixed assets to sales of the companies, accumulated retained earning to total assets of the companies, total assets to sales of the companies, current liabilities to equity of the companies to industries ratio, and equity to sales of the companies to industries ratio. Two, the model has a stable and moderate power to predict return on assets to the next three years. Third, investment opportunity set is superior to predict return on assets than other predictors.